Unicredit — Investor Presentation 2021

May 6, 2021

1Q21 Results

6 May 2021

Table of contents

Executive summary

• Page 4: Highlights
• Page 5: Group key figures

Group P&L

• Page 7: Net interest
• Page 8: Fees
• Page 9: Trading and dividends
• Page 10: Costs
• Page 11: LLPs and CoR
• Page 12: 1Q21 underlying net profit

Group balance sheet

• Page 14: Group excluding Non Core asset quality
• Page 15: Non Core asset quality
• Page 16: CET1

Closing remarks

▪ Page 18: Closing remarks

Annex

• Page 20: ESG ratings (1/2)
• Page 21: ESG ratings (2/2)
• Page 22: Group P&L
• Page 23: Divisional data CB Italy
• Page 24: Divisional data CB Germany
• Page 25: Divisional data CB Austria
• Page 26: Divisional data CEE
• Page 27: Divisional data CIB
• Page 28: Divisional data Group Corporate Centre
• Page 29: Divisional data Non Core
• Page 30: Divisional data Commercial loans & rates
• Page 31: Divisional data Commercial deposits & rates
• Page 32: TFAs
• Page 33: FTEs and branches
• Page 34: 1Q21 stated vs underlying net profit
• Page 35: Non operating items 2020
• Page 36: Non operating items 2021
• Page 37: Risk story Expected loss
• Page 38: Risk story Loan book by sector
• Page 39: Risk story Loan book by sector deep dive
• Page 40: Risk story Moratoria
• Page 41: Risk story Moratoria expirations
• Page 42: Risk story State guarantees
• Page 43: Risk story Asset quality by division
• Page 44: Risk story Loan book by stage
• Page 45: TLAC
• Page 46: TLAC/MREL funding plan
• Page 47: RWAs
• Page 48: Tangible equity
• Page 49-54: End notes
• Page 55: Disclaimer

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Agenda

Executive summary – Highlights

Revenues up 7.1% Y/Y driven by excellent fees and buoyant trading results offsetting persistent net interest headwinds Significant positive operating jaws with costs down 3.1% Y/Y resulting in C/I ratio at record 51.5%

Seasonally low CoR further supported by write-backs in 1Q21 FY21 underlying CoR(a) guidance now below 60bps

Rock solid balance sheet with strong capital and liquidity position 1Q21 CET1 ratio at 15.92%(b) with CET1 MDA buffer at 689bps(b), 1Q21 LCR at 183²%

FY20 dividend per share of €0.12 paid on 21 Apr 21

Ordinary share buyback of €179m approved by ECB and AGM and expected to be completed by end 3Q21

(a) Underlying CoR: defined as stated CoR excluding regulatory headwinds.

4

(b) Including deduction of ordinary share buyback of 179m, but not yet including extraordinary share buyback of 652m already approved by AGM and subject to ECB approval (provided

Underlying RoTE at 6.9% driven by higher revenues and seasonally low CoR

	Executive summary – Group key figures
	1Q20	4Q20	1Q21	%∆ vs 4Q20	%∆ vs 1Q20
Revenues, bn	4.4	4.2	4.7	+10.6%	+7.1%
Costs, bn	-2.5	-2.5	-2.4	-1.8%	-3.1%
CoR, bps	104	179	15	-165	-89
Underlying net profit1 , bn	-0.2	0.2	0.9	n.m.	n.m.
Gross NPE, bn	24.9	21.2	22.4	5.5%	-10.0%
Gross NPE ratio, %	4.9	4.5	4.8	+0.3p.p.	-0.1p.p.
CET1 MDA buffer(a), bps	436	611	(a) 689	+78	+253
Tangible equity, EoP bn	51.2	50.5	51.7	+2.3%	+0.9%
Underlying RoTE2 , %	-1.2	1.6	6.9	+5.3p.p.	+8.1p.p.

5 (a) 1Q21 including deduction of ordinary share buyback of 179m. 1Q21 CET1 MDA transitional buffer at 751bps.

Agenda

Net interest down 3.1% Q/Q due to pressure on customer loan rates

• Adjusting for days effect (-29m Q/Q) and TLTRO catch-up payment in 4Q20 (-18m Q/Q), net interest income -1.0% Q/Q
• Lower yielding government guaranteed loans impacting customer loan rates. Lending volumes affected by slow demand mainly in CIB
• Positive Q/Q contribution from deposits driven by successful commercial actions lowering customer remuneration

7

Strong performance in fees despite an outstanding 1Q20 and continued lockdowns

▪ Exceptional commercial activity resulting in AuM upfront fees up 41.7% Y/Y thanks to robust +32.7% Y/Y increase in AuM gross sales (mainly in CB Italy). AuM management fees +2.3% Y/Y thanks to higher average volumes

▪ Financing fees down 1.8% Y/Y reflecting weaker lending activity due to lockdown extensions, with lower credit protection insurance sales

▪ Transactional fees down 3.5% Y/Y with lower card volumes

8

Solid client driven trading income up 87.1% Y/Y

▪ Client driven trading income up 87.1% Y/Y, thanks to strong performance in fixed income

9

• Sound performance in non-client driven trading income up 109m Y/Y mainly thanks to Treasury
• 1Q21 dividends up 9.7% Y/Y with negative contribution from Yapi (-22m Y/Y), more than offset by other equity and financial investments (+31m Y/Y)

Continued cost control with C/I ratio at 51.5%, best in over a decade FY21 cost guidance confirmed

• Lower HR costs Y/Y thanks to lower FTEs (-2.3% Y/Y) mainly in CB Italy and CEE and lower pension costs in CB Austria
• Non HR costs Y/Y reduction supported by lower travel and real estate expenses
• FY21 guidance confirmed with total costs expected to be flat relative to FY19

1Q21 provisioning impacted by seasonality and write backs

• 1Q21 CoR at 15bps, reflecting seasonally low CoR further supported by write-backs and anticipation of future impacts¹ in 2020
• FY21 guidance of underlying CoR(c) now below 60bps, stated CoR now below 70bps
  • (a) Specific LLPs: analytical and statistical LLPs related to non performing portfolio (stage 3), excluding changes in NPE selling scenario.
  • (b) Includes among others: IFRS9 macro, sector based provisioning, proactive classification and coverage increases in Stage 2.
  • (c) Underlying CoR: defined as stated CoR excluding regulatory headwinds.

11

Sound 1Q21 profitability with all business divisions profitable

Group P&L – 1Q21 underlying net profit

▪ All divisions returning to profitability already in 1Q21 despite booking of majority of yearly systemic charges

▪ CIB and CB Italy delivering strong performance supported by positive revenue dynamics in the quarter

Agenda

NPE ratio increase driven by the first application of the new definition of default

• Gross NPE ratio for Group excluding Non Core in line with European average (EBA definition)
• Coverage ratio down 1.6 p.p. Q/Q mainly due to the increase in UTPs driven by the first application of new definition of default²

Full runoff confirmed

8.1

1Q20

Group balance sheet - Non Core asset quality

Non Core - Non performing exposures¹

3.7 3.6

-2.7%

, bn Actions on Non Core rundown, bn

▪ Non Core portfolio almost flat Q/Q in a seasonally quiet quarter

4Q20

78.4% 79.0% 79.1%

-55.6%

0.8 1.7

1Q21

0.7

▪ Non Core FY21 full runoff confirmed, with majority of rundown taking place in 2H21

15

Coverage ratio

Net NPEs

The end notes are an integral part of this Presentation. See pages 49-54 at the back of this presentation for information related to the financial metrics and defined terms in this presentation

FY21 Target

0

1Q21 CET1 MDA buffer at 689bps

Group balance sheet – CET1 Fully loaded Common Equity Tier 1 ratio, % ▪ 1Q21 CET1 MDA buffer at 689bps, up 78bps Q/Q driven by lower RWAs and underlying net profit AT1 / CASHES coupon / dividends accrual ⁴ Ordinary share buyback FVOCI / FX / DBO / other -10bps 4Q20 Underlying RWA dynamics 1Q21 net profit³ Other items 15.14% -5bps +27bps +11bps +4bps +52bps 15.92%(b) FVOCI: -1bp FX: +2bps DBO: +10bps MDA buffer Fully loaded, bps 7 CET1 capital Fully loaded, bn Total RWAs Fully loaded, bn 8 5,6 2 1 Regulatory Headwinds, +2bps: +3bps in RWAs including Procyclicality -1bp calendar provisioning 611 49.3 325.8 ⁶⁸⁹ 50.2 315.2 Regulatory Headwinds, +11bps of which:▪ -1bp calendar provisioning in 'Other items': ▪ +12bps including Procyclicality in 'RWAs dynamics': 9

• For 2021 an extraordinary capital distribution of 652m, fully in the form of share buybacks, already approved by AGM(a)
• CET1 MDA buffer target at 200-250bps
• (a) Subject to ECB approval (provided that on 30 Sep 21 the ECB will repeal the recommendation of 15 Dec 20) and not expected to commence before 01 Oct 21.
• (b) Not yet including extraordinary share buyback of 652m already approved by AGM and subject to ECB approval (provided that on 30 Sep 21 the ECB will repeal the recommendation of
• 16 15 Dec 20).

Agenda

FY21 underlying net profit broadly in line with previous guidance Strategic review expected to be concluded in 2H21

Underlying net profit1 broadly in line with previous guidance

• Total revenues broadly in line with consensus(a)
• Costs confirmed in line with FY19
  • Underlying CoR² now below 60bps

Capital
distribution
to
shareholders

Outlook FY21

As per previous guidance, ordinary payout confirmed at 50%(b) For FY20, ordinary distribution of 447m(c) already done or to be completed by end 3Q21 For 2021, extraordinary capital distribution of 652m share buyback approved by AGM(d) For 2021, ordinary and extraordinary capital distributions combined result in total yield of c. 6%³

• Strategic review initiated following arrival of new CEO and BoD
• Overarching objective is disciplined and sustainable profit growth
• Review expected to be concluded in 2H21 and communicated at a Capital Markets Day
• (a) 1Q21 company compiled consensus published on 26 Apr 21 at https://www.unicreditgroup.eu/en/investors/equity-investors/consensus.html
• (b) Ordinary payout: max 30% cash, min 20% share buyback.
• (c) Ordinary distribution: 268m cash dividends paid on 21 Apr 21 and 179m share buy back to be completed by end 3Q21.
• 18 (d) Subject to ECB approval (provided that on 30 Sep 21 the ECB will repeal the recommendation of 15 Dec 20, expected not to commence before 01 Oct 21). The end notes are an integral part of this Presentation. See pages 49-54 at the back of this presentation for information related to the financial metrics and defined terms in this presentation

Agenda

ESG ratings and indices (1/2)

20

ESG ratings and indices (2/2)

21

Group P&L

Data in m	1Q20	4Q20	1Q21	∆ % vs 4Q20	∆ % vs 1Q20	Additional comments
Total revenues	4,378	4,238	4,687	+10.6%	+7.1%
Operating costs	-2,493	-2,458	-2,415	-1.8%	-3.1%	+137m Q/Q sustained by SIA agreement
Gross operating profit	1,885	1,780	2,272	+27.7%	+20.6%	renegotiation
LLPs	-1,261	-2,058	-167	-91.9%	-86.7%
Net operating profit	624	-278	2,105	n.m.	n.m.
Other charges & provisions	-528	-91	-702	n.m.	+33.0%	expansion of customer deposits in 2020
o/w Systemic charges	-538	-53	-620	n.m.	+15.3%
Integration costs	-1,347	-82	0	-99.9%	-100%	agreement with Italian trade unions
Profit (loss) from investments	-1,261	130	-195	n.m.	-84.5%	Yapi Kredi FV valuation
Profit before taxes	-2,512	-322	1,207	n.m.	n.m.	▪
Income taxes	-140	-34	-314	n.m.	n.m.	Stated tax rate at 26% impacted by non
Net profit from discontinued operations	0	48	1	-97.5%	n.m.	of this tax rate at 22%
Goodwill impairment	0	-878	0	-100%	n.m.
Stated net profit	-2,706	-1,179	887	n.m.	n.m.
Underlying net profit1	-159	204	883	n.m.	n.m.

• Balance of other operating income/expenses +137m Q/Q sustained by SIA agreement renegotiation
• Majority of annual systemic charges booked in 1Q, up Y/Y reflecting higher contribution due to Single Resolution Fund following system wide expansion of customer deposits in 2020
• 1Q20 integration costs impacted by Team 23 agreement with Italian trade unions
• 1Q21 profit from investments driven by -225m Yapi Kredi FV valuation
• Stated tax rate at 26% impacted by non deductible Yapi stake fair value valuation, net of this tax rate at 22%

CB Italy Commercial revenues up 5.3% Q/Q driven by strong AuM fee evolution

Annex - Divisional data

Data in m	1Q20	4Q20	1Q21	∆ % vs 4Q20	∆ % vs 1Q20
Total revenues	1,702	1,530	1,707	+11.6%	+0.3%
o/w Net interest	780	674	638	-5.3%	-18.1%
o/w Fees	917	852	970	+13.8%	+5.8%
Operating costs	-930	-894	-915	+2.3%	-1.7%
Gross operating profit	771	636	792	+24.6%	+2.7%
LLPs	-649	-1,136	-200	-82.4%	-69.2%
Net operating profit	122	-500	592	n.m.	n.m.
Integration costs	-1,027	-25	1	n.m.	n.m.
Stated net profit	-719	-444	385	n.m.	n.m.
Underlying net profit1	23	-220	385	n.m.	n.m.
Stated RoAC	-24.7%	-17.0%	16.3%	+33.3p.p.	+41.0p.p.
Underlying RoAC1	0.8%	-8.4%	16.3%	+24.7p.p.	+15.5p.p.
C/I	54.7%	58.4%	53.6%	-4.8p.p.	-1.1p.p.
CoR (bps)	193	342	60	-282	-133

Main drivers

• NII down 5.3% Q/Q due to Euribor impact and overall customer rate reduction. Moderate impact from lower yielding loans under government guaranteed schemes. Adjusting for days effect (-5m Q/Q) and TLTRO one-off in 4Q20 (-18m Q/Q), net interest income -2.0% Q/Q
• Impressive fees growth of 5.8% Y/Y despite 1Q20 only partially affected by c. 3 weeks lockdowns. AuM upfront fees grew 52% Y/Y
• Balance of other operating income/expenses +103m Q/Q sustained by SIA agreement(a) renegotiation
• Costs down -1.7% Y/Y thanks to lower HR expenses driven by FTE exits (-1,388 Y/Y)
• 1Q21 CoR at 60bps, reflecting seasonality and further supported by 2020 provisioning with forward looking approach to risk

23 (a) UniCredit and SIA sign a revised agreement for card processing services (see press release on 12 Feb 21). The end notes are an integral part of this Presentation. See pages 49-54 at the back of this presentation for information related to the financial metrics and defined terms in this presentation

CB Germany Strong fees up 4.3% Y/Y with only 1 week of lockdown in 1Q20

∆ % vs

∆ % vs

Annex - Divisional data

Main drivers

• NII down 2.9% Q/Q impacted by continued pressure on loan rates partially compensated by repricing actions on deposits. First signs of recovery on loans demand
• Fees up 4.3% Y/Y supported by investment (+10.3% Y/Y) and financing fees (+5.2% Y/Y), more than offsetting GDP sensitive transactional fees (-6.3% Y/Y)
• Costs almost flat Y/Y with HR cost reduction offset by higher IT expenses
• CoR down 43bps Q/Q reflecting seasonality and supported by write-backs
• Majority of annual systemic charges booked in 1Q, up Y/Y mainly reflecting higher contribution due to Single Resolution Fund

	1Q20	4Q20	1Q21	4Q20	1Q20
Total revenues	622	584	602	+3.2%	-3.1%
o/w Net interest	420	362	352	-2.9%	-16.2%
o/w Fees	196	166	205	+23.3%	+4.3%
Operating costs	-424	-415	-425	+2.6%	+0.3%
Gross operating profit	197	169	177	+4.9%	-10.4%
LLPs	-153	-84	10	n.m.	n.m.
Net operating profit	45	85	187	n.m.	n.m.
Stated net profit	16	16	68	n.m.	n.m.
Underlying net profit1	19	27	68	n.m.	n.m.
Stated RoAC	1.2%	1.1%	6.5%	+5.4p.p.	+5.4p.p.
Underlying RoAC1	1.5%	2.0%	6.5%	+4.5p.p.	+5.1p.p.
C/I	68.2%	71.1%	70.6%	-0.5p.p.	+2.4p.p.
CoR (bps)	69	38	-5	-43	-74

24

Data in m

CB Austria

Positive revenue and cost trend supported by non-recurring items

Annex - Divisional data

Main drivers

• NII down 8.0% Q/Q due to non-commercial items, with abundance of liquidity partially compensated by repricing actions on deposits
• Fees down 5.0% Y/Y, mainly due to GDP sensitive transactional fees (-8.8%), only partially offset by investment fees, now back to 1Q20 levels
• Trading up 43m Y/Y thanks to non-recurring items and positive XVA
• Costs down 5.7% Y/Y thanks to HR costs impacted by a material one-off pension release in 1Q21. Adjusting for this, costs -0.6% Y/Y
• Positive LLPs driven by write-backs
• Majority of annual systemic charges booked in 1Q

Data in m	1Q20	4Q20	1Q21	∆ % vs 4Q20	∆ % vs 1Q20
Total revenues	342	360	371	+3.2%	+8.6%
o/w Net interest	155	154	142	-8.0%	-8.7%
o/w Fees	160	149	152	+2.1%	-5.0%
Operating costs	-252	-255	-238	-6.7%	-5.7%
Gross operating profit	90	105	133	+27.2%	+48.7%
LLPs	-85	-140	38	n.m.	n.m.
Net operating profit	5	-35	171	n.m.	n.m.
Stated net profit	-58	-33	89	n.m.	n.m.
Underlying net profit1	-59	10	89	n.m.	n.m.
Stated RoAC	-8.6%	-5.2%	14.6%	+19.8p.p.	+23.1p.p.
Underlying RoAC1	-8.8%	1.1%	14.5%	+13.4p.p.	+23.3p.p.
C/I	73.7%	70.8%	64.1%	-6.8p.p.	-9.7p.p.
CoR (bps)	75	127	-34	-161	-110

25

CEE Solid underlying net profit

(a) Data in m	1Q20	4Q20	1Q21	∆ % vs 4Q20	∆ % vs 1Q20
Total revenues1	959	790	851	+6.3%	-7.5%
o/w Net interest	631	540	551	+0.9%	-8.3%
o/w Fees	187	181	174	-4.8%	-4.4%
Operating costs	-381	-367	-364	-1.6%	-0.3%
Gross operating profit	578	423	487	+13.1%	-12.3%
LLPs	-297	-313	-114	-63.4%	-59.8%
Net operating profit	281	110	373	n.m.	+37.6%
Stated net profit	115	44	213	n.m.	+90.4%
Underlying net profit2	123	102	209	n.m.	+69.7%
Stated RoAC	4.9%	1.2%	11.5%	+10.3p.p.	+6.6p.p.
Underlying RoAC2	5.3%	4.7%	11.3%	+6.6p.p.	+6.0p.p.
C/I	39.8%	46.5%	42.8%	-3.7p.p.	+3.0p.p.
CoR (bps)	177	200	72	-129	-105

Annex - Divisional data

Main drivers

• NII up 0.9% Q/Q at constant FX supported by repricing actions on deposits and non-commercial items. Adjusting for days effect (-11m Q/Q), net interest income up 2.8% Q/Q
• Fees down 4.4% Y/Y at constant FX mainly due to financing fees (-15.4%), with prolonged lockdowns
• Costs almost flat Y/Y at constant FX. Decreasing HR costs (-2.3% at constant FX) following FTE dynamics, partially offset by Non HR cost (+2% at constant FX) increase due to depreciation
• CoR at 72bps in 1Q21 reflecting seasonality
• Majority of annual systemic charges booked in 1Q

26 (a) Stated numbers at current FX. Variations Q/Q and Y/Y at constant FX (Underlying net profit, RoAC, C/I and CoR variations at current FX).

CIB

High revenue growth in 1Q21 thanks to record fees and strong trading

Data in m Total revenues 809 1,092 1,216 +11.3% +50.3% o/w Net interest 583 609 585 -3.9% +0.4% o/w Fees 172 175 193 +10.5% +11.8% o/w Trading 59 288 437 +51.9% n.m. o/w XVA -40 74 86 +15.5% n.m. Operating costs -399 -388 -398 +2.5% -0.3% Gross operating profit 410 704 817 +16.1% +99.6% LLPs -157 -252 67 n.m. n.m. Net operating profit 252 452 885 +95.7% n.m. Stated net profit -23 354 408 +15.2% n.m. Underlying net profit¹ -3 400 408 +1.9% n.m. Stated RoAC -0.8% 13.6% 16.8% +3.3p.p. +17.6p.p. Underlying RoAC¹ -0.1% 15.3% 16.8% +1.5p.p. +16.9p.p. C/I 49.4% 35.6% 32.7% -2.8p.p. -16.6p.p. CoR (bps) 42 77 -22 -100 -64 ∆ % vs 4Q20 ∆ % vs 1Q20 1Q20 4Q20 1Q21

Annex - Divisional data

Main drivers

• NII down 3.9% Q/Q due to lending volumes affected by slow demand and TLTRO benefit booked in 4Q20. Pressure on loan customer rates more than offset by customer deposit repricing
• Strongest fees since 2015, up 11.8% Y/Y, sustained by financing fees thanks to intense capital markets and structured finance customer activity
• Trading up 379m Y/Y thanks to client driven income up 139.1% Y/Y, with strong performance in fixed income and Treasury, also supported by positive XVA dynamics
• Costs flat Y/Y thanks to lower Non HR and HR expenses despite Covid-19 related costs
• Positive LLP driven by write-backs
• Majority of annual systemic charges booked in 1Q

Group Corporate Centre Underlying net profit impacted by Yapi valuation adjustment

1Q20 1Q20 4Q20 1Q21

∆ % vs 4Q20

Annex - Divisional data

Data in m		∆ % vs	∆ % vs	Main drivers

• Better revenue dynamics supported by lower funding costs thanks to more favourable market rates and lower volumes
• Costs lower by 27.8% Y/Y thanks to both HR and Non HR expenses driven by lower travel costs
• ▪Majority of annual systemic charges booked in 1Q, with Single Resolution Fund yearly contribution entirely charged in 1Q
• Profit from investments negatively impacted by -225m Yapi stake FV evaluation in 1Q21
• ▪Note: Yapi included in Group Corporate Centre as a financial investment since 1Q20

Total revenues1	-48	-97	-42	-56.0%	-10.6%
Operating costs	-75	-118	-54	-54.3%	-27.8%
Gross operating profit	-122	-215	-97	-55.1%	-21.2%
LLPs	4	-12	4	n.m.	+13.6%
Net operating profit	-119	-227	-92	-59.4%	-22.3%
Other charges & provisions	-89	-16	-77	n.m.	-13.4%
o/w Systemic charges	-77	-29	-69	n.m.	-10.6%
Integration costs	-264	7	0	-99.0%	n.m.
Profit from investments	-1,156	153	-226	n.m.	-80.5%
Profit before taxes	-1,628	-83	-395	n.m.	-75.8%
Income taxes	-359	30	140	n.m.	n.m.
Goodwill impairment	0	-878	0	-100%	n.m.
Stated net profit	-2,035	-932	-255	-72.7%	-87.5%
Underlying net profit2	-271	62	-254	n.m.	-6.2%

28

Non Core FY21 full runoff confirmed

Data in m	1Q20	4Q20	1Q21	∆ % vs	∆ % vs
Total revenues	-8	-21	-17	4Q20 -15.6%	1Q20 n.m.
Operating costs	-31	-21	-21	+0.4%	-32.2%
Gross operating profit	-39	-41	-38	-7.5%	-0.6%
LLPs	77	-121	27	n.m.	-64.5%
Net operating profit	38	-162	-11	-93.1%	n.m.
Stated net profit	-2	-184	-21	-88.5%	n.m.
Underlying net profit1	8	-177	-22	-87.5%	n.m.
Gross customer loans	8,099	3,693	3,593	-2.7%	-55.6%
o/w NPEs	8,099	3,693	3,593	-2.7%	-55.6%
NPE coverage ratio	78.4%	79.0%	79.1%	+0.1p.p.	+0.7p.p.
Net NPEs	1,746	775	750	-3.3%	-57.1%
RWA	9,633	7,642	6,139	-19.7%	-36.3%

Annex - Divisional data

• Rundowns continue with Gross NPEs now at 3.6bn, down 2.7% Q/Q in a seasonally quiet quarter
• Costs down 32.2% Y/Y thanks to lower FTE and lower credit recovery costs, both related to lower NPE stock
• Release of 27m LLPs thanks to client repayments
• Majority of annual systemic charges booked in 1Q
• FY21 full runoff confirmed
• CMD19 net loss guidance for Non Core confirmed²

Commercial loans and customer rates by division

30

Commercial deposits and customer rates by division

TFAs

Group TFAs¹ , bn

▪ 1Q21 TFA net sales -0.5bn, o/w: AuM net sales +3.3bn driven by CB Italy, AuC net sales -0.6bn and deposits -3.3bn mainly in Italy

▪ 1Q21 TFA market performance +6.3bn supported by AuM market performance +4.0bn and AuC market performance +2.3bn

32

FTEs and branches

Annex – FTEs and branches

33

1Q21 adjustments for underlying net profit

▪ Real estate valuation includes pure P&L mark to market effects (following the change of methodology) and gains and losses on disposal

34

2020 Non operating items

Annex – Non operating items 2020

2020					2020
		Amount before taxes, m	Net profit, m	Division			Amount before taxes, m	Net profit, m	Division
	deconsolidation1 Yapi	-1,576	-1,576	GCC		Regulatory headwinds impact on CoR	-4	-3	CB Germany
	Integration costs in Italy	-1,347	-1,272	All divisions2	3Q	Non Core accelerated rundown	-4	-4	Non Core
1Q	Additional real estate disposals	+516	+296	GCC		Real estate valuation	-5	-5	All divisions
	Regulatory headwinds impact on CoR	-5	-3	CB Germany
	Real estate valuation3	+9	+9	All divisions		Regulatory headwinds impact on CoR4	-557	-519	All divisions
2Q	Regulatory headwinds impact on CoR	-6	-4	CB Germany, CEE, CIB	4Q	Non Core accelerated rundown	-8	-8	Non Core
	Non Core accelerated rundown	-98	-98	Non Core		Real estate valuation	30	23	All divisions
	Real estate valuation	-5	-7	All divisions		Goodwill impairment	-878	-878	GCC

2021 Non operating items

Annex – Non operating items 2021

36

Expected loss(a) on stock and new business

Annex – Risk story – Expected loss

Underlying expected loss on stock¹ Underlying expected loss on new business , bps ¹ , bps

(a) Group excluding Non Core.

37 (b) Impact of state guarantees on EL on new business was -2bps in FY20 and -2bps in 1Q21.

Loan book by sector

Annex – Risk story - Loan book by sector

(a) Gross performing customer loan end-of-period = total loans to customers at face value (i.e. before deduction of provisions), including repos and (in divisional figures) intercompany, excluding non performing

38 (i.e. bad loans, unlikely to pay, and past due) and debt securities.

Loan book by sector deep dive

• (a) Gross performing customer loan equal to total loans to customers at face value (i.e. before deduction of provisions), including repos and (in divisional figures) intercompany, excluding non performing (i.e. bad loans, unlikely to pay, and past due) and debt securities.
• 39 (b) Total gross performing customer loans for 1Q21 at 441bn of which 10% high impact, 14% medium impact, 17% moderate impact, 59% low impact.

Moratoria

Annex – Risk story - Moratoria

Moratoria: expiration dates and volumes in Italy and CEE

Annex – Risk story – Moratoria expirations

State guaranteed volumes

Annex – Risk story – State guarantees

42 (a) Source: https://www.ecb.europa.eu/pub/financial-stability/fsr/focus/2020/html/ecb.fsrbox202005\_04~42dd37a855.en.html.

Asset quality by division

Annex – Risk story – Asset quality by division

43

Gross loans breakdown by stages

Annex – Risk story - Loan book by stage

44

1Q21 TLAC buffer at 775bps

45

2021 TLAC and MREL funding plan

Annex - TLAC/MREL funding plan

	UniCredit SpA 2021 TLAC/MREL funding plan, bn
		2021 funding plan		Already issued in 20212	Still to be issued in 2021
TLAC
	MREL eligible instruments1	4.0 – 5.5		0.1	4.0 – 5.5
	Senior preferred exemption	2.0 – 3.0		2.0	0 – 1.0
	Senior non preferred	1.5 – 3.0		0.1	1.5 – 3.0
	Tier 2	0 – 1.25		-	0 – 1.25
	AT1	1.0 – 1.25		-	1.0 – 1.25
	Total	8.5 – 14.0		2.2	6.5 – 12.0

Main drivers

• 2021 issuance plan will be more skewed towards MREL instruments in preparation of the upcoming intermediate requirement in 2022
• Bank capital needs remain quite limited given the very substantial buffers
• In January 2021 UniCredit SpA issued 2bn dual tranche Senior Preferred (in 5Y and 10Y format)

46

Risk weighted assets

Annex - RWAs

RWA transitional¹ Q/Q, bn

• Credit RWA down 10.2bn Q/Q driven by:
  • − Business evolution (-4.1bn Q/Q, o/w -2.2bn new state guarantees, balance mainly reflecting portfolio mix)
  • − Regulatory headwinds (-2.5bn Q/Q, o/w -0.7bn Procyclicality)
• Market RWA down 0.6bn Q/Q partially due to technical reasons
• Operational RWA flat Q/Q

47

Tangible equity and tangible book value per share

End notes (1/6)

End notes Please note that numbers may not add up due to rounding, and some figures are managerial.

These notes refer to the metric and/or defined term presented on page 4 (Highlights):

• 1. Underlying net profit is the basis for the ordinary capital distribution policy. See page 34-35-36 in annex for details.
• 1. LCR shown is point in time ratio as of 31 Mar 21, regulatory figure published in Pillar 3 as of 1Q21 will be 180% (trailing 12M average).

These notes refer to the metric and/or defined term presented on page 5 (Group key figures):

• 1. Underlying net profit is the basis for the ordinary capital distribution policy. See page 34-35-36 in annex for details.
• 1. Based on underlying net profit. See page 34-35-36 in annex for details.

These notes refer to the metric and/or defined term presented on page 7 (Net interest):

• 1. Net contribution from hedging strategy of non-maturity deposits in 1Q21 at 362.6m, -2.4m Q/Q and +9.0m Y/Y.
• 1. Other includes: margin from impaired loans, time value, days effect, FX effect, one-offs and other minor items.

These notes refer to the metric and/or defined term presented on page 9 (Trading and Dividends):

• 1. Include dividends and equity investments. Yapi is valued by the equity method (at 32% stake for Jan 20 and at 20% thereafter) and contributes to the dividend line of the Group P&L based on managerial view.
• 1. Valuation adjustments (XVA) include: Debt/Credit Value Adjustment (DVA/CVA), Funding Valuation Adjustments (FuVA) and hedging desk.

This note refers to the metric and/or defined term presented on page 10 (Costs):

1. Non HR costs include "other administrative expenses", "recovery of expenses" and "amortisation, depreciation and impairment losses on intangible and tangible assets".

This note refer to the metric and/or defined term presented on page 11 (LLPs and CoR):

1. Anticipation of future impacts: increased overlay, prudent classification and regulatory headwinds including new definition of default.

These notes refer to the metric and/or defined term presented on page 12 (1Q21 underlying net profit):

• 1. Underlying net profit is the basis for the ordinary capital distribution policy. See page 34-35-36 in annex for details.
• 1. Based on underlying net profit. See page 34-35-36 in annex for details.
• 1. Underlying RoAC based on underlying net profit. See page 34-35-36 in annex for details.

End notes (2/6)

This note refer to the metric and/or defined term presented on page 14 (Group excl. Non Core asset quality):

• 1. Gross non performing exposure end-of-period including gross bad loans, gross unlikely to pay and gross past due. Gross past due at 1,137m in 1Q21 (+51.4% Q/Q and +34.8% Y/Y).
• 1. Loans classification following the new definition of default as per EBA guideline.

This notes refer to the metric and/or defined term presented on page 15 (Non Core asset quality):

1. Gross non performing exposure end-of-period including gross bad loans, gross unlikely to pay and gross past due.

These notes refer to the metric and/or defined term presented on page 16 (CET1 capital):

• 1. MDA buffer is regulatory for regulatory purposes only versus the CET1 ratio transitional, at 751bps; CET1 MDA requirements at 9.03% in 1Q21.
• 1. Ordinary share buyback approved by supervisor and AGM.
• 1. Underlying net profit is the basis for the ordinary capital distribution policy. See page 34-35-36 in annex for details.
• 1. Payment of coupon on AT1 instruments (34m pre tax in 1Q21, 488m pre tax expected for FY21) and CASHES (30m pre tax in 1Q21, 122m expected for FY21). Dividend accrual based on 30% of 1Q21 underlying net profit.
• 1. In 1Q21 CET1 ratio impact from FVOCI -1bp, o/w +0bps due to BTP.
• 1. BTP sensitivity: +10bps parallel shift of BTP asset swap spreads has a -2.6bps pre and -1.9bps post tax impact on the fully loaded CET1 ratio as at 31 Mar 21.
• 1. TRY sensitivity: 10% depreciation of the TRY has around -1.2bps net impact (capital) on the fully loaded CET1 ratio. Managerial data as at 31 Mar 21.
• 1. DBO sensitivity: 10bps decrease in discount rate has a -4.8bps pre and -3.4bps post tax impact on the fully loaded CET1 ratio as at 31 Mar 21.
• 1. Including non-operating items, see page 36 in annex for details.

These notes refer to the metric and/or defined term presented on page 18 (Closing remarks):

• 1. Underlying net profit is the basis for the ordinary capital distribution policy. See page 34-35-36 in annex for details.
• 1. Underlying CoR: defined as stated CoR excluding regulatory headwinds.
• 1. Calculated on the share price at 03 May 21.

These notes refer to the metric and/or defined term presented on page 21 (ESG ratings 2/2):

• 1. Score downgraded to 71.7 from 74 mainly due to changes in the assessment process (UniCredit ranking has in fact improved to 8/74 from 10/61) covering Italian companies only.
• 1. Rating downgraded to 4.6 from 5 mainly due to changes in FTSE4Good assessment methodology.

This note refer to the metric and/or defined term presented on page 22 (Group P&L - Summary):

1. Underlying net profit is the basis for the ordinary capital distribution policy. See page 34-35-36 in annex for details.

End notes (3/6)

This note refers to the metric and/or defined term presented on page 23 (Division: CB Italy):

1. Normalised for integration costs in Italy (-742m) in 1Q20 and regulatory headwind impact on CoR including new DoD (-224m) in 4Q20.

This note refers to the metric and/or defined term presented on page 24 (Division: CB Germany):

1. Normalised for regulatory headwinds impact on CoR including new DoD (-3m) in 1Q20 and (-13m) in 4Q20, real estate valuation (+2m) in 4Q20.

This note refers to the metric and/or defined term presented on page 25 (Division: CB Austria):

1. Normalised for real estate valuation (+2m) in 1Q20 and (-1m) in 4Q20 and regulatory headwind impact on CoR including new DoD (-42m) in 4Q20.

These notes refer to the metric and/or defined term presented on page 26 (Division: CEE):

• 1. Excludes dividends from Yapi which are no longer reported in CEE and now reported in Group Corporate Centre.
• 1. Normalised for integration costs in Italy (-11m) in 1Q20, real estate valuation (+3m) in 1Q20 and (+1m) in 4Q20, regulatory headwinds impact on CoR including new DoD (-59m) in 4Q20, real estate valuation (+4m) in 1Q21.

This note refers to the metric and/or defined term presented on page 27 (Division: CIB):

1. Normalised for integration costs in Italy (-19m) in 1Q20, real estate valuation (-1m) and regulatory headwinds impact on CoR including new DoD (-46m) in 4Q20.

These notes refer to the metric and/or defined term presented on page 28 (Division: Group Corporate Centre):

• 1. Includes dividends from Yapi which are no longer reported in CEE and now reported in Group Corporate Centre.
• 1. Normalised for Yapi deconsolidation (-1,576m), Integration costs in Italy (-489m) and additional real estate disposals (+296m) in 1Q20, real estate valuation (+4m) in 1Q20 and (+21m) in 4Q20, CIB goodwill impairment (-878m) and regulatory headwinds impact on CoR including new DoD (-136m) in 4Q20, real estate valuation (-1m) in 1Q21.

This note refer to the metric and/or defined term presented on page 29 (Division: Non Core):

• 1. Normalised for integration costs in Italy (-10m) in 1Q20, Non Core accelerated rundown (-8m) in 4Q20, real estate valuation (+1m) in 1Q21.
• 1. Non Core net loss from CMD19: FY21 <-80m.

End notes

End notes (4/6)

End notes

• These notes refer to the metric and/or defined term presented on page 30 (Commercial loans & rates):
• 1. Average gross commercial performing loans excluding repos are managerial figures and are calculated as daily averages.
• 1. Gross customer performing loan rates calculated assuming 365 days convention, adjusted for 360 days convention where analytically available, and based on average gross balances.
• 1. Includes Group Corporate Centre and Non Core.

These notes refer to the metric and/or defined term presented on page 31 (Commercial deposits & rates):

• 1. Average commercial deposits excluding repos are managerial figures and are calculated as daily averages. Deposits net of Group Bonds placed by the network.
• 1. Gross customer performing deposits rates calculated assuming 365 days convention, adjusted for 360 days convention where analytically available, and based on average gross balances.
• 1. Includes Group Corporate Centre and Non Core.

This note refer to the metric and/or defined term presented on page 32 (TFAs):

1. Refers to Group commercial Total Financial Assets. Non-commercial elements, i.e. CIB, Group Corporate Centre, Non Core and Leasing/Factoring are excluded. Numbers are managerial figures.

These notes refer to the metric and/or defined term presented on page 34 (1Q21 stated vs underlying net profit):

• 1. Underlying RoTE based on underlying net profit.
• 1. Gross impact before taxes.
• 1. Including PPA and minorities.
• 1. Underlying net profit is the basis for the ordinary capital distribution policy. See page 36 in annex for details.

These notes refers to the metric and/or defined term presented on page 35 (Non operating items 2020):

• 1. Adjustment for Yapi MtM valuation (previously -1,669m) applied retroactively in 1Q20.
• 1. 1Q20 integration costs in: CB Italy equals to -742m, CB Germany equals to -0m, CB Austria equals to -0m, CEE equals to -11m, CIB equals to -19m, GCC equals to -489m and Non Core equals to -10m.
• 1. Adjustment for Real Estate MtM valuation (previously zero) applied retroactively in 1Q20.
• 1. Including new definition of default.

This notes refer to the metric and/or defined term presented on page 37 (Expected loss):

1. Always excludes regulatory headwinds. For stock: 0bps in 1Q20; 0bps in FY20 and 0bps in 1Q21. For the new business: 0bps in 1Q20; 0bps in FY20 and 0bps in 1Q21. EL New Business based on managerial estimate.

End notes (5/6)

• This note refer to the metric and/or defined term presented on page 38 (Loan book by sector):
• 1. Investment grade based on internal rating scale definition.

This note refer to the metric and/or defined term presented on page 39 (Loan book by sector deep dive):

1. Investment grade based on internal rating scale definition.

These notes refer to the metric and/or defined term presented on page 40 (Moratoria):

• 1. Data as of as of 31 Mar 21, including all Covid-19 initiatives. Volumes in Enterprises include Leasing. CEE consolidated data. Rating distribution calculated on the basis of internal details.
• 1. Figures based on legal entities. Includes also CIB clients.
• 1. Opt-out means that the moratoria is automatically granted to all clients which can then decide not to have it. It applies to Hungary, however in comparison to 2020, in 2021 to be included under moratoria the clients needs to submit notification to the bank. Serbia also still reflected under opt-out, even though from the beginning of 2021, an opt-in moratoria is in place. The reason is substantial expired amount of opt-out moratoria in 2020.

These notes refer to the metric and/or defined term presented on page 42 (State guarantees):

• 1. Data as of 02 Apr 21 (CEE as of 31 Mar 21), including all Covid-19 initiatives. CEE consolidated data. The percentage covered by guarantee calculated on the basis of internal details.
• 1. Figures based on legal entities. Includes also CIB clients.
• 1. Data as of 31 Mar 21 (Italy as of 26 Mar 21).
• 1. For CEE incl. ~0.4bn in Hungary under Covid-19 subsidised funding schemes from the national bank as one of the state support measures.

These notes refer to the metric and/or defined term presented on page 43 (Asset quality by division):

• 1. Including Profit Centre Milan.
• 1. The sum of the divisions shown is not equal to the Group excluding Non Core as excludes Group Corporate Centre.

This note refer to the metric and/or defined term presented on page 44 (Loan book by stage):

1. Total loans to customers end-of-period, at face value (i.e. before deduction of provisions), including active repos and (in divisional figures) intercompany, both performing and non performing (comprising bad loans, unlikely to pay, and past due); debt securities and non current assets held for disposal are excluded.

These notes refer to the metric and/or defined term presented on page 45 (TLAC):

• 1. As of 31 Mar 21, P2R at 175bps and countercyclical buffer of 5bps.
• 1. Non computable portion of subordinated instruments.
• 1. Ordinary share buyback approved by supervisory and AGM.

End notes (6/6)

These notes refer to the metric and/or defined term presented on page 46 (TLAC/MREL funding plan):

• 1. Volumes gross of expected buy back flows, including plain vanilla senior preferred exceeding the "exemption" allowed by TLAC.
• 1. As of 31 Mar 21.

This note refers to the metric and/or defined term presented on page 47 (RWA):

1. Business evolution: changes related to customer driven activities (mainly loans. Including guaranteed loans). Regulatory headwinds includes: regulatory changes (eg. CRR or CRD) determining variations of RWA; Procyclicality: change in macroeconomy or client's credit worthiness; Models: methodological changes to existing or new models. Business actions: initiatives to decrease RWA (e.g. securitisations, collateral related actions). FX effect: impact from exposures in foreign currencies. Other credit includes extraordinary/non-recurring disposals.

This note refers to the metric and/or defined term presented on page 48 (Tangible equity):

1. End-of-period tangible book value per share equals end-of-period tangible equity divided by end-of period number of shares excluding treasury shares. Number of shares 2,244m as of 31 Mar 21.

Disclaimer

This Presentation includes "forward-looking statements" which rely on a number of assumptions, expectations, projections and provisional data concerning future events and are subject to a number of uncertainties and other factors, many of which are outside the control of UniCredit S.p.A. (the "Company") and are therefore inherently uncertain. There are a variety of factors that may cause actual results and performance to be materially different from the explicit or implicit contents or expectations of any forward-looking statements and thus, such forward-looking statements are not a reliable indicator of future performance.

The information and opinions contained in this Presentation are provided as at the date hereof and the Company undertakes no obligation to provide further information, publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except if required by applicable law. Neither this Presentation nor any part of it nor the fact of its distribution may form the basis of, or be relied on or in connection with, any contract or investment decision.

The information, statements and opinions contained in this Presentation are for information purposes only and do not constitute a public offer under any applicable legislation or an offer to sell or solicitation of an offer to purchase or subscribe for securities or financial instruments or any advice or recommendation with respect to such securities or other financial instruments. Any recipient is therefore responsible for his own independent investigations and assessments regarding the risks, benefits, adequacy and suitability of any operation carried out after the date of this Presentation. None of the securities referred to herein have been, or will be, registered under the U.S. Securities Act of 1933, as amended, or the securities laws of any state or other jurisdiction of the United States or in Australia, Canada or Japan or any other jurisdiction where such an offer or solicitation would be unlawful (the "Other Countries"), and there will be no public offer of any such securities in the United States. This Presentation does not constitute or form a part of any offer or solicitation to purchase or subscribe for securities in the United States or the Other Countries.

Pursuant the consolidated law on financial intermediation of 24 February 1998 (article 154-bis, paragraph 2) Stefano Porro, in his capacity as manager responsible for the preparation of the Company's financial reports declares that the accounting information contained in this Presentation reflects the UniCredit Group's documented results, financial accounts and accounting records.

This Presentation has been prepared on a voluntary basis since the financial disclosure additional to the half-year and annual ones is no longer compulsory pursuant to law 25/2016 in application of Directive 2013/50/EU, in order to grant continuity with the previous quarterly presentations. The UniCredit Group is therefore not bound to prepare similar presentations in the future, unless where provided by law. Neither the Company nor any member of the UniCredit Group nor any of its or their respective representatives, directors or employees shall be liable at any time in connection with this Presentation or any of its contents for any indirect or incidental damages including, but not limited to, loss of profits or loss of opportunity, or any other liability whatsoever which may arise in connection of any use and/or reliance placed on it.