Results of Comprehensive Assessment 2014

UniCredit's strong resilience confirmed after the thorough and extensive Comprehensive Assessment carried out by ECB in cooperation with EBA and Bank of Italy

Overall results of the exercise confirmed the solid capital position of UniCredit, exceeding significantly all the thresholds set out in the Comprehensive Assessment

CET1 ratio (1) 2016 stands at 7.8% including all capital enhancement actions taken in 1H14

Including capital generation measures already disclosed in 1H14 and acknowledged by Bank of Italy and ECB, the CET1 ratio at the end of Comprehensive Assessment stands at a very comfortable level of 7.5%,

resulting in a capital excess above Euro 8.7 billion²

Asset Quality Review impact on CET1 ratio very limited 19bps confirming UniCredit's balance sheet resilience and prudential approach towards classification and provisioning

As a result of the Comprehensive Assessment, under the adverse scenario of the Stress Test, the CET1 ratio stands at 6.8% well above the minimum required (5.5%)

Federico Ghizzoni, CEO of UniCredit commented: "In spite of the conservative approach of ECB and EBA in the Comprehensive Assessment, on top of the current negative macroeconomic environment, the results of the exercise confirm UniCredit's strong capital position, with 6.8% CET1 ratio under the adverse scenario. This ratio increases to 7.8% including the capital enhancing measures we have undertaken in 1H14 as well as the retained earnings of the period, jointly amounting to almost 100 bps. The impact on our capital ratios of the Comprehensive Assessment is only 298bps, making UniCredit one of the most resilient banks in Europe. In particular, the impact of the AQR on CET1 ratio is very limited (19bps), confirming the prudential approach towards classification and provisioning. Considering the positive results of Comprehensive Assessment, UniCredit confirms its net profit target for 2014 and its focus on lending to households and corporates in Italy and across Europe".

UniCredit was subject to the EU-wide Comprehensive Assessment ("CA") carried out by the European Central Bank ("ECB"), in cooperation with the European Banking Authority ("EBA") and the Bank of Italy (Bankit), before assuming full responsibility for supervision under the Single Supervisory Mechanism (SSM) in November 2014. UniCredit notes the announcement made today by the ECB, the EBA and Bankit concerning the CA and fully acknowledges the outcome of this exercise.

Results of Comprehensive Assessment

The results of the ECB-led CA exercise confirmed UniCredit's provisioning approach, its resilient balance sheet to adverse scenarios and its capital strength in an Italian and European context, the joint results (AQR and ST) being summarised below:

• under the baseline scenario 27bps, leading to a CET1 ratio of 9.5% as of end of 2014,
• under the adverse scenario 298bps, leading to a CET1 ratio of 6.8% as of end of 2016.

The above results compare with an initial CET1 ratio 2013 of 9.8%.

In particular, the CA exercise can be summarised as follows:

-        AQR:

• Focus on Credit risk: UniCredit's provisioning approach translated into a very limited impact deriving from AQR which amounts to a mere 19bps on CET1 ratio 2013 (versus an average of 40bps of the banks assessed in the CA), leading to 9.6%. This results into a very limited increase on selected portfolios in both the non-performing exposure ratio (+1% versus an average of +1.9%) and the coverage ratio (+0.5% versus an average of +2.8%), confirming UniCredit's high coverage ratio at above 50% on a Group-wide basis. A relevant part of the AQR-related additional provisioning had been already carried out in 1H14.
• Focus on Market risk: no P&L or capital impact and no additional charges on CVA (1) versus average of a 27% increase, confirming the soundness of UniCredit financial instruments' methodologies and evaluation systems.

-   ST: Similarly, ST results confirm UniCredit's balance sheet resilience in adverse scenario. The impact being a mere 279bps, versus  an average of 300bps in the adverse one confirming the important results achieved on the back of the strategic plans in terms of balance sheet restructuring and business refocusing. The major negative impacts relate to loan loss provisions, decreasing trading income and lower NII given the extremely severe macro-economic assumptions imposed by ECB/EBA in the exercise.  The residual impacts pertain to other capital deductions and higher RWA.

Additional Capital Measures disclosed in 1H14 and acknowledged by ECB and Bank of Italy

Noteworthy are the additional impacts on CET1 ratio 2016 of 6.79% deriving from the capital generation already disclosed in 1H14 and not embedded in the CA exercise.

The additional benefit which amounts to 73bps translating into a CET1 ratio 2016 of 7.52% is broken down in the following table according to the disclosure templates of ECB and Bankit:

Additional capital measures such as retained earnings as of 1H14 translate into a CET1 ratio 2016 of 7.76%.

As such, the results determine that UniCredit exceeds significantly the capital thresholds set out for the purpose of the CA, confirming the significant focus on capital strength of UniCredit.

Description of the Comprehensive Assessment

The CA is composed of two pillars:

-   Asset Quality Review (AQR): to enhance the transparency of bank balance sheets by reviewing the quality of banks' assets, including the adequacy of asset and collateral valuation and related provisions. The minimum capital requirement (CET1 ratio) needed for the AQR exercise is 8%. Noteworthy that the portfolios which were analyzed were selected on the basis of a high degree of riskiness. It is important to mention that the AQR was carried out on the basis of FY13 which was characterized by an adverse economic environment

-   Stress Test (ST): performed in close cooperation with the EBA, covering a three-year time horizon (2014-2016). The minimum capital requirements (CET1 ratio) needed for the baseline and adverse scenario are 8% and 5.5% respectively. The ST was carried out based on common simplified assumptions (e.g. constant balance sheet as of 31 December 2013, no management actions, etc.) as published by EBA. In addition, the ST exercise is designed as 'what-if' scenarios including plausible but extreme assumptions, which are therefore not very likely to materialise.

Comprehensive Assessment on Bank Pekao

KNF has announced the official results of the CA carried out in Poland with similar methodologies, confirming Bank Pekao's exceptional capital position, ranking number one in Poland, and underlining its strong balance sheet resilience. The joint results of the AQR and ST (adverse scenario) leads to a CET1 ratio 2016 of 18.1%.

Milan, October 26 2014

The detailed results of the AQR and ST under the baseline and adverse scenarios as well as information on UniCredit credit exposures and exposures to central and local governments are provided in the accompanying disclosure tables based on the common format provided by the ECB and EBA.

For more details on the EU measures to restore confidence in the banking sector please refer to ECB (https://www.ecb.europa.eu), EBA (http://www.eba.europa.eu), and Bankit website (https://www.bancaditalia.it)

Notes

1) CET1 ratio calculated according to ECB guidelines in the context of the Comprehensive Assessment.

2) Please refer to Bankit website (https://www.bancaditalia.it).

3) Credit value adjustment