UniCredit has been present in Russia since 2005 and has experience in adapting to, and fully complying with, sanctions. We are closely monitoring the developments in the country, in full cooperation with regulators, and with dedicated cross expert teams which defined robust and tested contingency plans to protect our people on the ground, our clients in all Europe and our shareholders.
UniCredit Bank Russia has a self-funded loan position at 2021 year end of EUR7.8bn, RWA of EUR9.4bn and equity of EUR2.5bn. Net of FX hedges, our direct exposure to UniCredit Bank Russia ("UCBR") is reduced to around EUR1.9bn.
Russian client cross border exposure[1] is currently around EUR4.5bn, net of guarantees of around EUR1bn by non-Russian State Export Agencies, and accounts for around EUR3bn RWA. The exposure is almost entirely to leading Russian multinational corporations and mostly in EUR and USD currencies, with contracts governed by international laws and subject to international courts of law. Counterparties impacted by sanctions currently in place represent less than 5% of the total cross border exposure. The main sector exposures of the portfolio are around 30% to oil & gas, around 20% each to transport, and machinery & metals, around 10% to chemicals, around 8% to financial institutions and with the balance to a mix of other sectors.
We have a current mark-to-market derivative exposure to Russian banks of around EUR300m, net of collateral received. The maximum potential loss in the event that the RUB would tend to zero is around EUR1bn.
In the extreme scenario, where the entirety of our maximum exposure described above is non-recoverable and zeroed, the impact on UniCredit's 2021 year end CET1 ratio (15.03% inclusive of EUR1.2bn accrued dividend) would be around 200bps. Our strong capital position would allow us to absorb such impact without falling below 13% CET1.
Whilst we do not consider this extreme scenario as our base case, we are taking a prudent and sustainable approach to our distributions. As such, we are confirming our 2021 proposed cash dividend of EUR1.2bn, maintaining a 2021 CET1 ratio pro-forma above 13% even in the extreme scenario. Furthermore, we confirm our intention to execute the share buyback up to the previously agreed amount of EUR2.58bn2,3, subject to our pro-forma 2021 year end CET1 remaining above 13.0%. An ultimate capital impact from our Russian exposures lower than 200bps will enable us to use up to an equivalent amount for the share buyback. We will provide market updates on the development of the 200bps exposure on a quarterly basis unless the improvement is more than 25bps at which point we will provide an ad hoc update.
Our target CET1 capital ratio remains within the range of 12.5-13.0%.
We continue to dynamically manage our risk exposure, whilst constantly assessing the potential impact of the conflict on global GDP and public policies.
Milan, 8 March 2022
Notes
[1] Exposure at Default including Russian counterparts/Groups not directly booked in UniCredit Bank Russia and Russian counterparts/Groups with country of incorporation outside of Russia. Managerial Data
2 Legally capped at 10% of share capital
3 Subject to regulatory, and shareholder approval at the Annual Meeting on April 8, 2022