UniCredit Group Disclosure (Pillar III)
as at 31 March 2021
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Content
Contents cross reference to the regulatory disclosure requirements | |
Measures issued in the context of the Covid-19 outbreak, provided by the European regulatory | |
authorities and National Member States | 7 |
Brexit disclosure | 25 |
Own Funds | 27 |
Total Loss Absorbing Capacity | 37 |
Capital requirements | 41 |
Credit risk | 47 |
Credit risk: RWAs flow statements - IRB method | 47 |
Counterparty risk exposure: RWAs flow statements - IMM method | 47 |
Market risk | 49 |
RWAs flow statements under the IMA | 49 |
Liquidity risk | 51 |
Liquidity Coverage Ratio | 51 |
Funding strategies | 54 |
Leverage | 57 |
Annex 1 - Capital instruments and TLAC eligible instruments main features template | 61 |
Annex 2 - Reconciliation of quantitative data across disclosure templates | 63 |
Declaration by the Manager charged with preparing the financial reports | 69 |
Declaration pursuant to the EBA Guidelines 2016/11 on disclosure requirements under | |
Part Eight of Regulation (EU) No.575/2013 and subsequent amendments | 71 |
Pillar III · UniCredit Group Disclosure as at 31 March 2021 1
I
Notes:
- All amounts, unless otherwise specified, are expressed in millions of euro.
- Data refer to the prudential scope of consolidation.
- Any discrepancies between data disclosed in this document are solely due to the effect of rounding.
- The amounts reported are coherent with the most recent submissions of the regulatory reporting for each period; as a result, some amounts may differ from those disclosed in previous publications.
- With regard to both the standardised approach and the IRB methodology, non-weighted amounts concerning "guarantees given and commitments to disburse funds" were considered based on the credit equivale nt, unless otherwise specified.
- It should be noted that the disclosures to be provided by the systemically important banks were published on the UniCredit gr oup's website according to the deadline defined in the relevant regulations (https://www.unicreditgroup.eu/en/investors/financial-reports.html).
- The UniCredit Group Disclosure is prepared in accordac ith a formal policy (Internal Regulation) adopted in the application of the CRR Article 431(3), that sets out the internal controls and procedures. The key elements of this policy are:
- identification of roles and responsibilities of the corporate bodies, departments and Legal Entities involved in the process of producing the Disclosure
- identification of the information to be published (in accordance with EBA GL/2014/14 and EBA GL 2016/11 and CRR Article 432 and 433 and, with reference to 31 March 2021, subsequent amendment in the Regulation No.876/2019);
- instructions for Legal Entities contributions and related controls;
- consolidation of the disclosure contributions and related controls;
- approval by the Board of Directors;
- publication on the UniCredit group website;
- evaluation related to Pillar III re-publication, after the initial issuance, for alignment ih the most recent submissions of regulatory reporting.
- The templates subject to reconciliation of data across disclosure's templates as represented in the Annex 2, report a specific note in order to facilitate their identification.
2 UniCredit Group Disclosure as at 31 March 2021 · Pillar III
UniCredit Group Disclosure | Pillar III
Contents cross reference to the regulatory disclosure requirements
Contents cross reference to the regulatory disclosure requirements
In coherence with the EBA Guidelines "GL/2014/14"1 and update reported in the EBA Guidelines "GL/2016/11"2, the table below shows the cross reference to the information published quarterly.
REGULATORY | REFERENCE TO THE CHAPTER/SECTION IN | |||
REFERENCE | CONTENT | THE PRESENT DOCUMENT | REFERENCE TO THE EXTERNAL DOCUMENTS | |
REGULATION (EU) No.575/2013 (CRR) AND SUBSEQUENT AMENDMENTS (*) | ||||
Art. 437/437a | Own Funds/Owns Funds and | Own Funds | ||
eligible liabilities | Own Funds - "Total Loss Absorbing Capacity" | |||
section | ||||
Annex 1 Capital instruments and TLAC eligible | UniCredit group website: | |||
instruments main features templates | - Full terms and conditions of all capital instruments | |||
(Article 437, paragraph 1, letter c) link | ||||
https://www.unicreditgroup.eu/en/investors/debt- | ||||
investors/funding-programmes-and- | ||||
prospectuses/bank-capital.html | ||||
- Annex 1 in editable format (excel) to link | ||||
https://www.unicreditgroup.eu/en/investors/financial- | ||||
reporting/pillar-3-disclosures.html | ||||
Art. 440 | Capital buffers | Capital requirements | ||
Art. 447 | Key metrics | Own Funds | ||
Own Funds - "Total Loss Absorbing Capacity" | ||||
section | ||||
Capital requirements (EU OV1 Template) | ||||
Leverage | ||||
Liquidity risk - "Liquidity Coverage Ratio" section | ||||
Art. 451/451a | Leverage/Disclosure of liquidity | Leverage | ||
requirements | Liquidity risk - "Liquidity Coverage Ratio" section | |||
EBA/GL/2016/11 ("GUIDELINES ON DISCLOSURE REQUIREMENTS UNDER PART EIGHT OF REGULATION (EU) No.575/2013") | ||||
EU OV1 | Overview of RWA | Capital requirements | ||
EU CR8 | RWA flow statement of credit | Credit risk: RWAs flow statements - IRB method | ||
risk exposures under IRB | ||||
EU CCR7 | RWA Flow statements of CCR | Counterparty risk exposure: RWAs flow | ||
exposures under the Internal | statements - IMM method | |||
Model Method (IMM) | ||||
EU MR2-B | RWA flow statements of market | Market risk: RWAs flow statements under the | ||
risk exposures under the IMA | IMA | |||
EBA/GL/2017/01 ("GUIDELINES ON LCR DISCLOSURE TO COMPLEMENT THE DISCLOSURE OF LIQUIDITY RISK MANAGEMENT UNDER ART.435 OF | ||||
REGULATION (EU) No.575/2013") | ||||
EU LIQ1 | Liquidity Coverage Ratio (LCR) | Liquidity risk - "Liquidity Coverage Ratio" section | ||
EBA/ITS/2020/06 ("FINAL REPORT ON DRAFT ITS ON DISCLOSURE AND REPORTING ON MREL AND TLAC") | ||||
EU KM2 | Key metrics - G-SII requirement | Own Funds - "Total Loss Absorbing Capacity" | ||
for Own Funds and eligible | section | |||
liabilities | ||||
EDTF RECOMMENDATION ("ENHANCING THE RISK DISCLOSURE OF BANK") | ||||
No.4 | New key regulatory ratio | Leverage | ||
Liquidity risk - "Liquidity Coverage Ratio" section | ||||
Own Funds - "Total Loss Absorbing Capacity" | ||||
section | ||||
No.21 | Funding strategy | Liquidity risk - "Funding Strategies" section |
1 "Guidelines on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432(1), 432(2) and 433 of Regulation (EU) No 575/2013". 2 "Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013".
Pillar III · UniCredit Group Disclosure as at 31 March 2021 3
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UniCredit S.p.A. published this content on 06 May 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 06 May 2021 18:44:10 UTC.