Pillar3 ENG

Basel 2
Pillar 3 Disclosure
BASEL 2 THIRD PILLAR
AS AT 30 JUNE 2008 2
Index
Introduction .................................................................................................................................5
Table 1 – General requirements.................................................................................................9
Table 2 – Scope of application .................................................................................................24
Table 3 – Supervisory capital structure ....................................................................................43

Table 4 – Capital adequacy......................................................................................................45
Table 5 – Credit risk: general disclosures for all banks............................................................48
Table 6 – Credit risk: disclosures for portfolios treated under the standardized approach and
specialized lending and equity exposures treated under IRB approaches ..............................59
Table 7 – Credit risk: disclosures for portfolios treated under IRB approaches .......................62
Table 8 – Risk mitigation techniques......................................................................................102

Table 9 – Counterparty risk ....................................................................................................106
Table 10 – Securitization transactions....................................................................................113
Table 11 – Market risks: disclosures for banks using the internal models approach (IMA) for
position risk, foreign exchange risk and commodity risk ........................................................119
Table 12 – Operational risk ....................................................................................................127
Table 13 – Equity exposures: disclosures for banking book positions...................................128

Table 14 – Interest rate risk on positions in the banking book ...............................................130
Glossary / Abbreviations.........................................................................................................132
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Introduction
The Basel 2 discipline is an international initiative aimed to implement, inside the banks, more sensitive frameworks
for the assessment of risk, calculation of regulatory capital and minimum capital requirements for banks. Further
purpose is to standardize the risk assessment methods at European level. The directive also includes a detailed set
of minimum requirements to ensure sound internal evaluations.
Starting from January 1st, 2008 the “New regulations for the prudential supervision of banks” (Bank of Italy Circular
letter n. 263/2006 and further updates) is in force; it acknowledges the rules set by the “International Convergence of
Capital Measurement and Capital Standards” (EU directives n. 2006/48 and 2006/49 - Capital Requirements
Directive – CRD), the new prudential discipline for banks and banking groups, in short “Basel 2”.
This discipline is based on the so called three “Pillars”:
 Pillar 1 – defines the calculation methodology for capital requirements in order to face the typical risk of
banking and financial business;
 Pillar 2 – requires the banks to adopt strategies and control processes aimed to ensure actual and future
capital adequacy;
 Pillar 3 – introduces market disclosure rules: by one side capital adequacy, risk exposure of banks and
banking groups and on the other side the features of the managerial and control systems.
The directive defines the step-by-step enforcement of the new rules, targeted to limit the possible reduction of the
capital requirements. It will reach the full effectiveness after the transition period (January 2010).
Pillar 1
The new directive doesn’t change the minimum capital ratio of 8% provided by the previous regulation (Basel 1);
changes are on definition and calculation of Risk Weighted Assets (RWA); risk exposure of a banking group in
measured with the regulatory capital requirement, calculated with the following formula:
Regulatory capital
minimum capital requirement =
Risk Weighted Assets
The ratio coming out from this calculation has to be ≥ 8%.
The risk weighted assets must be calculated using methodologies more sensitive and sophisticated, if compared to
the previous ones. Further to credit risk and market risk (already ruled under Basel I), the new directive introduces a
new type of risk: the operational risk.
Table 1 lists the possible methodologies applicable to the capital requirements calculation in connection to the
various type of risk according to Basel 2 discipline.
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Table 1: Primary approaches to CRD
Approaches for reporting capital requirements
Credit Risk Market Risk Operational Risk
(1) Standardized Approach (1) Standardized Approach (1) Basic Indicator

Approach (BIA)
(2) Foundation Internal (2) Internal Models (2) Traditional

Rating Based Approach Approach (IMA) Standardized Approach
(FIRB) (TSA)
(3) Advanced Internal (3) Advanced

Rating Based Approach Measurement Approach
(AIRB) (AMA)
For the purpose of the credit risk measurement, the UniCredit Group has adopted both the standardized approach
and the Advanced Internal Rating Based approach (AIRB). The standardized approach for the calculation of the
credit risk is very similar to the previous one, provided by Basel 1 regulation, apart the possibility to use external
ratings published by authorized agencies and a more wide use of financial collaterals.
The standardized approach to credit risk provides that risk assets are weighted in connection to the exposure class
(“portfolio”) assigned to the counterparty or to the characteristic of the transaction; such a rating can be connected to
the credit standing assigned by a third party entity acknowledged by the Bank of Italy (rating agencies).
Six banks of UniCredit Group have been authorized by local supervisory entities (when established out of Italy) and in
any case all of them by the Bank of Italy to use the Advanced IRB approach (AIRB). According to this methodology,
the weighting factors to be applied to risk assets are set in accordance to internal assessments that banks make to
the debtors (or, in some cases, on the transactions); in the AIRB approach, the whole set of parameters listed below
is specifically calculated internally:
 EAD Exposure At Default;
 PD Probability of Default;
 LGD loss rate in case of default (Loss Given Default): it is calculated considering the expected value
(eventually subject to unfavourable scenarios) of the transaction, defined as the percentage rate of loss in
case of default, and the amount at the time of default (EAD);
 CCF Credit Conversion Factor;
 M Maturity;
The calculation made with this methodology allows to calculate risk weighted assets more consistent with the
characteristic of the counterparty. This methodology will be extended to other banks and financial entities of the
Group.

The marker risk capital requirement in UniCredit Group is calculated with both the approaches provided: the internal
models and the standardized method. The use of internal models is subject to the Bank of Italy (and also local
regulator) approval.
Operational risk capital requirements are the real new feature of Basel 2 regulations. UniCredit Group uses, for its
subsidiaries, all of the three possible approaches, assigned to each subsidiary based on its size and its type of
business. It is still ongoing, as well as for the IRB approaches, the extension of the AMA approach to other entities of
the Group.
To avoid significant impacts on capital requirements as a consequence of the first application, transitional rules
(better known as “floor”) were introduced: they concern all the banks or banking groups that apply the IRB approach
(credit and counterparty risk) and/or the AMA approach (operational risk). These transitional rules, to be applied from
2007 up to the end of 2009, define a minimum threshold of the requirement calculated on the basis of the previous
Basel 1 rules.
Pillar 2
The second pillar or Supervisory Review Process (SRP) includes the two following processes:
 Internal process to determine capital adequacy (internal Capital Adequacy Assessment Process – ICAAP)
through the comparison of risk assessment and available capital;
 Supervisory Review and Evaluation Process (SREP).
Therefore ICAAP means using internally developed methodologies to assess the risk profile and their embedding in
the processes. ICAAP allows banks to review their risk management policy and the capital position compared to the
risks assumed.
The UniCredit Group has developed an approach involving:
 Risk identification and measurement;
 Capital planning, that includes setting risk appetite;
 Risk governance;
Capital adequacy is mainly assessed at Group level and then cascaded at Division, and Legal entity level and Sub-
groups as well.
The SRP ensures that the bank or the banking group identifies its risks, and that an adequate capital is allocated to
face the risk identified, establishing suitable managerial processes directed to support these risks. The SRP
encourages banks and banking groups to implement and to use better managerial techniques to monitor and to
measure credit risk, market risk and operational risk in addition to what is already provided by Bank of Italy circular
letter n. 263/2006. The ICAAP allows banks to review their risk management policy and the capital position compared
to the risks acquired.
Pillar 3
In the Bank of Italy circular letter n. 263/2006 is stated how and when Italian banks have to publish the disclosure of
capital and risk management. The disclosure has to be made according to the provisions of the above mentioned
circular letter, that acknowledges in full what has been provided by the XII annex to the EU directive 2006/48.
The disclosure is a document on consolidated basis that has to be published once a year by the Italian banking
groups in connection with the annual report. The banking groups authorized to use IRB approaches or AMA
approaches publish also the following interim reports:
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 December 31st: full disclosure, both qualitative and quantitative (mandatory for all the banking groups,
independently from the approaches adopted);
 June 30th: Update of the quantitative disclosure: only for groups that have, in one or more of their
subsidiaries, the IRB and/or AMA approach;
 March 31st:and September 30th: Update of the regulatory capital and capital adequacy figures: only for
groups that have, in one or more of their subsidiaries, the IRB and/or AMA approach;
This report, on June the 30th, being a first application, has to be fulfilled on both its parts, qualitative and quantitative.
With this document UniCredit Group gives complete information about all the different types of risk included in its
books, both on and off-balance-sheet, about risk management and capital, according to Pillar 3 regulations.
This report is structured as follows:
 Description of the UniCredit Group structure with the mismatches coming out from the comparison between
this scope of consolidation and the IAS/IFRS one. It is important to point out that differences between the
two scopes can generate different outcomes from similar set of data disclosed in both Annual report and
Pillar 3;
 Breakdown of regulatory capital and capital adequacy;
 Information on credit risk shared between the standardized and IRB approaches, breakdown of the
exposures with pertaining RWA and loan losses;
 Credit risk mitigation techniques;
 Market risk;
 Operational risk;
 Off-balance-sheet transactions, derivative contracts included;
 Securitization breakdown according to Pillar 3 requirements with the integration of structured financial
instruments according to the Financial Stability Forum (FSF);
Pillar 3 will be published by UniCredit and also by the parent company of the subgroups Bank Austria AG and Pekao
S.A. for their scopes of consolidation.
The data of regulatory capital and capital adequacy are also published in the part E of the note to the account of the
financial statement, according to the provisions of Bank of Italy; further information about the various types of risk are
also disclosed in the part E of the notes to the accounts in the Annual Report and in the Half Year Report.
Notes:
1. All the amounts, if not differently specified, are expressed in Euro thousands;
2. Data are referred to the prudential scope of consolidation;
3. This report is a first application of the regulations, therefore no historical data are disclosed; this information
will be included in the next report as at December 31st, 2008.

Table 1 – General requirements
Qualitative disclosure
Credit risk
Group risk management (principally credit, market and operational risk and combinations of these) is performed by
Group Risk Management (the CRO’s department), which is responsible for:
 optimising asset quality by minimising the cost of the relevant risks, in line with the risk/return objectives
assigned to each business area and
 drawing up guidelines, policies and methodologies for the measurement and control of the above risks in
line with internal and external rules and regulations.
The Risk Committee, which is chaired by the CEO and comprises the Deputy CEOs, the CRO, the CFO and the
CSO, provides advice and proposals to governing bodies or risk decision-taking bodies that (according to their
responsibility and function) approve strategic guidelines, financial policy directives, Group policy and methodologies
for the measurement of all risk types.
To ensure optimal risk management while devoting increasing attention to the needs of business, Risk Management
s structured around a Strategic Risk Management & Control department - which centralises Group-wide governance,
control, management and overall risk reporting by defining methodologies, strategies, guidelines, general policy and
that relating to interdivisional risk, in order to ensure a uniform and consistent approach to Group-wide topics – plus
three structures known as Divisional Risk Offices (DROs), which are responsible for controlling, managing and
reporting risk at the Business Division level (i.e., Corporate / Private Banking, Retail and Market & Investment
Banking (MIB)) by drawing up divisional guidelines, specific policies and coordinating, supporting and interfacing with
the subsidiaries in its competence area.
Responsibility for the organisational processes for the management of credit and market risk is vested in departments
belonging to Organisation.
Management of the Basel 2 project is vested with a dedicated project team, which reports directly to the Deputy CEO
in charge of organisational and service functions, in co-leadership with the Strategic Risk Management & Control
department.
Credit risk concentration limits in respect of supervisory capital are subject to the Parent’s opinion on ‘large
exposures’.
Relations between the Parent and Group entities carrying on credit business are governed by specific governance
documents which attribute the same role of governance, support and control to the Parent, in the following areas:
 credit policies, by ensuring that credit principles are adopted and followed, as well as the common rules
and for credit approvals, monitoring / management and recovery, within the local characteristics of each
country of operation
 credit strategies, by ensuring that the Group’s credit portfolio is appropriately structured to optimise value
creation
 models ensuring that Group credit risk assessment and measurement systems are consistent and uniform,
in respect of each borrower and each portfolio
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 credit concentration risk, by realising centralisation within the Parent of credit risk approvals vis-à-vis banks
and sovereign states, and the similar process whereby large exposures are assessed, measured and
controlled for the Group
 credit products, by providing guidelines for issuance and monitoring, and
 monitoring portfolio credit risk, by enabling the relevant governing bodies to be regularly and promptly
informed of this total for every Group entity.
In line with the role given to the Parent, specifically to the CRO’s department, under Group governance, General
Group Credit Policies – instructions for the performance of credit business Group-wide – have been issued to lay
down the rules and principles that should guide, govern and make uniform the assessment and management of credit
risk, in line with Group principles and best practice.
The general rules are supplemented by specific rules governing credit business with certain counterparties (e.g.,
banks and sovereign states), process stages (e.g. classifying and managing risky positions or the recovery process
and management of general provisions using the IBNR method) or industrial sectors (including the commercial real
estate financing policy, which gives common standards and methods as well as specific parameters for business in
the various regions in which the Group operates, and the bridge equity policy, which gives guidelines for equity
finance and capital investment).
The CRO’s department within the Parent is also responsible for realising and utilising specific methodologies for the
management and measurement of credit risk and, in cooperation with the Organisation department, which is
responsible for the pertinent processes, their implementation in compliance with Basel 2 standards and Banca d’Italia
requirements.
As noted above, credit risk is measured for individual counterparties and portfolios. For individual borrower risk the
logic and tools supporting credit business are differentiated according to the type of customer.
The assessment of a counterparty’s creditworthiness, on examination of a loan application, begins with an analysis of
the client’s financials and the quality of its business (competitive positioning, corporate and organisational structure,
etc., where the borrower is a corporate), regional and sectoral factors (corporate borrowers) and account conduct
within the bank and the banking system (e.g., central risk bureau), in order to reach a rating, i.e., its PD out to a one-
year time horizon.
Borrower creditworthiness is reviewed annually on the basis of new information acquired during the year. The
borrower is assessed within its industrial group or conglomerate, where relevant, thus considering the maximum
exposure of the UniCredit Group towards the client’s group.
Monitoring is in two stages, which use different tools and information sources: daily checks for anomalies are based
on information arising from the ongoing client relationship; systematic oversight uses automated systems to promptly
identify positions with symptoms of deterioration in risk terms and manage the account accordingly.
Systematic oversight, which is monthly, centres on account conduct management, which uses all internal and
external information to produce a credit score; this indicates the riskiness of each monitored borrower and is obtained
using a statistical function which filters all the available information through a set of variables which have been shown
to be significant as indicators of a future default, twelve months in advance.
The tools and the processes used for loan approval and monitoring, without prejudice to the general principles
mentioned below, are adapted according to the customer segment to ensure maximum effectiveness.
This set of data produces an internal rating, which takes into account both quantitative and qualitative information as
well as the account conduct information seen in the scoring described above.
The internal rating, i.e., the borrower’s risk level, is used to calculate the lending authority required to approve loans
to the borrower. The discretion of credit officers and committees becomes progressively smaller, the higher the
borrower risk, when required to approve a facility of a certain amount.

AS AT 30 JUNE 2008 10
The organisational model includes a rating desk and a Rating Committee for larger exposures, which is independent
of the approval function, and responsible for the management of any changes to the automatic rating produced by the
model using overrides.
Several entities have initiated projects aiming to bring their credit processes into line with the above Group best
practice.
Group entities are required to seek the Group CRO’s department’s opinion before granting or reviewing lines of credit
to individual borrowers or groups, whenever they exceed certain amounts, which have been appropriately modulated
on the basis of objective parameters.
The Group CRO’s department monitors the credit risk portfolio systematically and produces both regular and one-off
reports covering the Group, with the aim of analysing the main components of credit risk and monitoring changes
over time, in order to detect signs of deterioration in a timely manner and undertake suitable corrective action. The
performance of the credit portfolio is analysed with reference to its main drivers – such as growth and risk indicators -
customer segments, industrial sectors and the performance of credits in default and the relevant coverage.
Group-wide monitoring and reporting of the portfolio is achieved in close cooperation with DROs who report on and
monitor their respective divisional credit risk.
Advanced credit risk management of the whole portfolio is part of the Group’s credit strategy formation process.
There are three objectives when credit strategy is formulated:
 to define the optimal make-up of credit portfolios in accordance with the sustainable value creation
objective, starting from an agreed risk appetite in line with the Group’s capital allocation and value creation
criteria and framework
 to provide support to the responsible functions and Divisions in the Parent and Group entities when the
latter take measures to optimise the portfolio make-up through strategic plans and business initiatives
 to provide a set of guidelines and support when drawing up business and credit budgets, in line with the
Group’s strategic vision.
Credit strategies are implemented by using all available credit risk measures especially the credit VaR model, which
enables correct and prudent management of portfolio risk, using advanced methodologies and tools.
As part of credit strategy these applications are subjected to vulnerability analysis and used to support Capital
Adequacy, through credit risk stress testing. Portfolio risk management pays special attention to credit concentration
in light of its importance within total assets.
This risk, according to the Basel 2 definition, consists of exposure to any counterparty or industrial group with the
potential to generate losses of such magnitude as to prejudice the Group’s ability to carry on its normal business. In
order to identify, manage, measure and monitor concentration risk, the Parent’s function sets credit limits using
various operating procedures to cover two different types of concentration risk: large exposure to a single
counterparty or group of industrially related entities (bulk risk), or sectoral exposure.
Please see Table 8 Credit Risk Mitigation Techniques – Qualitative Information for coverage and risk mitigation
policy.
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Management, measurement and control
One of the credit risk management responsibilities of Group HQ's CRO area is to manage and measure credit risks
through the design and use of appropriate methods. This task also involves updating previously developed methods
in order to ensure, in cooperation with Global Banking Services (which is responsible for organizational processes),
that these policies are implemented in accordance with Basel II standards and the requirements of Banca d'Italia.
Credit risk is measured at individual borrower level and for the whole portfolio. The approach and tools used for
lending to individual borrowers during both the approval and monitoring phases include a credit rating process with
high added value, which is differentiated by customer category.
During the credit application review process, a customer’s creditworthiness is assessed on the basis of an analysis of
the following:
 operating, financial and cash flow data;
 qualitative information regarding the company’s competitive position, its corporate and organizational
structure, etc. (only for business customers in the Corporate area);
 geographical and sector characteristics (only for business customers in the Corporate area);
 performance data at bank and industry levels (e.g., the Central Risk Bureau); and necessary to assign a
rating, meaning the borrower’s PD (probability of default) over a time horizon of one year.
Each borrower’s credit rating is reviewed annually on the basis of new information received during the year. Each
borrower is also assessed in the context of any business group with which it is affiliated by taking into account the
theoretical maximum risk for the entire Group.
Monitoring is carried out using automated systems designed to enable rapid identification and appropriate
management of positions showing signs of a deteriorating risk profile, on the basis of models originally created for the
Group’s Italian entities.
Regular monthly monitoring focuses on borrower performance management. This uses all available internal and
external information to arrive at a score that represents a short assessment of the risk associated with each borrower
monitored. This score is obtained using a statistical function that summarizes available information using a set of
proven significant variables that are predictors of an event of default 12 months in advance.
Subject to the more general principles given below, the tools and processes used for loan approval and monitoring
incorporate appropriate adaptations to address the unique characteristics of different customer segments in order to
ensure the highest degree of effectiveness.
All information is statistically summarized in an internal rating that takes quantitative and qualitative elements into
account, as well as information on the borrower's conduct of the account, if available, which is taken from the loan
management scoring procedures described above.
The internal rating, or risk level assigned to the customer, forms a part of the lending decision calculation. In other
words, at a constant credit amount the lending powers granted to the appropriate bodies are gradually reduced in
proportion to a heightened borrower-related risk level. The organizational model in use calls for a rating desk, which
is separate from loan approval functions. This unit is charged with managing any adjustments made to the automated
opinion provided by the model using an override process.
Several Group entities have launched projects to standardize lending processes on the basis of the Group’s best
practice as described above.
Other entities are required to ask Group HQ CRO area for its special opinion before providing or reviewing credit
facilities for individual customers or business groups if these lines exceed preset limits adjusted according to
objective parameters.

AS AT 30 JUNE 2008 12
UniCredit has been authorised by Banca d’Italia to use advanced methods to determine regulatory capital for credit
risk under Basel 2. In the first stage these methodologies have been adopted by the Parent, certain Italian
subsidiaries, HypoVereinsbank (HVB AG) and Bank Austria (BA AG). The remaining Group entities will apply them
under a plan of gradual extension notified to Banca d’Italia.
These ratings are used to calculate the regulatory requirement under Pillar I, but they are principally a fundamental
component of decision-making and governance. The main areas where internal rating systems are used are the
following:
 Credit Process, as follows:
- Loan approvals and renewals. The assignment of an internal rating is a key factor in credit
assessment of counterparty and transaction and the preliminary stage of approval or renewal of
a line of credit. The rating is assigned before the credit decision is taken and included in the
approval process as an integral part of the assessment, and commented on in the credit
proposal. The rating is therefore indispensable, together with the amount of the line, in the
selection of the appropriate position or committee for the credit decision.
- Monitoring. Credit monitoring aims to identify and promptly react to early symptoms of
deterioration in the borrower’s credit quality and thus to be able to act before any default occurs,
i.e., when there it is still possible to recover the loan. Monitoring focuses primarily on the use of
the facility and outcomes concerning the exposure, up to complete closure of the borrowing
relationship, where necessary. This not only impacts positively on EAD, it also makes it possible
to optimise the conditions for a later recovery, in so far as additional collateral or guarantees are
obtained from the borrower, causing a reduction of LGD.
- Workout. The process of deciding the strategy to be followed for defaulting loans in respect of
the borrower and the transaction, aiming to calculate the Net Present Value of net amounts
recovered and the LGD, is based on the LGD definition. If there are alternative strategies, the
choice falls on the one with the lowest forecast LGD. LGD is also the basis for the pricing of non-
performing loans transferred to Aspra Finance.
 Provisioning Policy. Performing loans attract generic provisions on an IBNR basis (“Incurred but not
reported losses”,), which gives expected loss values using the LCP (Loss Confirmation Period) to calculate
provisions. Defaulting loans’ expected losses are based on a risk assessment and the LGD.
 Capital Management and Allocation. Ratings are an essential element for the quantification, management
and allocation of capital. The rating systems’ outputs are assembled by the Parent to arrive at a rating for
the whole Group, when measuring capital (both regulatory and economic) and managing capital, on the
one hand; and in determining “risk-adjusted performance” and the adjusted income statement for strategic
planning purposes, on the other.
 Strategic Planning. Borrower risk is an important driver for strategic planning, budgeting and forecasting,
for the quantification of RWA, net adjustments to the income statement and loans held in the balance
sheet.
 Reporting. Specific reports are produced for senior management on the credit risk portfolio’s performance
at consolidated, divisional and regional levels and by individual entity, including average EADs, ELs, PDs
and LGDs for each customer segment, in accordance with the internal rating systems in use. Ratings are
used in pricing and the targets set for account managers, as well as to identify borrowers producing
negative EVA, for whom targeted action is taken.
In order to comply with Basel 2, UniCredit Group has carried out specific activities to define and meet all the
requirements for the application of CRM (Credit Risk Mitigation) techniques, as follows:
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 Policies were issued to transpose, interpret and internalise CRM within the Group. These documents are in
accordance with Banca d'Italia Circular 263 dated 27 December 2006 as amended, EU directives
2006/48/CE and 2006/49/CE and the Basel Committee on Banking Supervision’s "International
Convergence on Capital Measurement and Capital Standards: a New Framework" and aimed to encourage
optimisation of the management of loan security and to define the rules for accepting, assessing,
monitoring and managing personal guarantees and collateral in line with general and specific requirements.
 New processes were designed to apply these policies in the management of loan security Group-wide. A
gap analysis between the ”as-is” and the target model was the basis for new loan security management
processes to be implemented in line with Banca d’Italia rules and Group guidelines. In assessing CRM
techniques UniCredit Group emphasizes the importance of legal certainty, so this issue was given special
attention.
 IT tools were introduced to automate the loan security management process. UniCredit Group developed a
solid and effective system for the application of CRM techniques starting with the assessment and
acquisition of loan security and extending through to monitoring and realising security/calling guarantees.
This information system enables management, recording and archiving of the data necessary to verify that
the guarantee acceptance criteria have been met and calculate the risk indicators. These data are used to
determine whether loan security is valid under CRM and appropriate margins as required by Basel 2 (to
assess volatility, internally calculated margins are determined based on Value at Risk methodology).
Development of advanced rating systems and their introduction into the Group’s processes required, under the new
regulatory framework, that rating system validation processes be set up within the Parent and all Group entities using
advanced rating, as well as an extension of the tasks to be performed by Internal Audit, now to include auditing the
systems.
Validation aims to assess whether IRB systems work properly and are able to predict accurately as well as their
overall performance and compliance with regulations, as follows:
 Assessment of the model development process, specifically its underlying logic and the methodological
criteria underlying the calculation of risk parameters.
 Assessment of the accuracy of the estimates of all significant risk components by analysing the
performance of the system, the calibration of the parameters and benchmarking.
 Checking whether the rating systems are actually in use in the various business areas.
 Analysing operating processes, control systems, documentation and the IT infrastructure used for the
rating systems.
The results of internal validation, carried out in accordance with the validation standards and using a depth of
analysis according to the type, i.e., Group-wide or local, or location, i.e., Italy or outside Italy) of the rating system,
are reported in a single framework with the aim of unifying the analysis of the various components of the rating
system.
The framework in use consists of a schedule showing the minimum quantitative and detailed organisational
requirements of Banca d’Italia against specific key principles, regarding various subject areas of analysis of the rating
systems, viz. model design, risk components, internal use and reporting, IT and data quality and corporate
governance, and serves to assess the detailed position of the rating system as against regulatory requirements.
The areas of organisational analysis under the Circular are model design, internal use and reporting, IT and data
quality and governance.
The aims of internal audits of the internal rating systems include checking the functionality of the entire system of
controls over them, specifically by checking:
 that IRB systems comply with the regulations

AS AT 30 JUNE 2008 14
 how rating systems are used in the business and
 the adequacy and completeness of the validation process of rating systems.
The Parent’s Internal Audit Department – in order to assist Group entities to ensure the quality of their Internal
Control Systems and oversee changes in revision methodologies in line with changes in market scenarios – has
coordinated the development of a common methodology for revising rating systems.
This methodology was developed in order to assess whether the conclusions of the risk control function were well
grounded and whether regulatory requirements were being met, with special reference to the internal validation of
internal rating and risk control systems.
Market risk
Generally speaking banks’ market risks are due to price fluctuations or other market risk factors affecting the value of
positions on its own books, both the trading book and the banking book, i.e. those arising from transactions and
strategic investment decisions. UniCredit Group’s market risk management includes, therefore, all activities relating
to cash and capital structure management, both in the Parent and in the individual Group companies.
The Parent monitors risk positions at Group level. The individual Group companies monitor their own risk positions,
within the scope of their specific responsibilities, in line with UniCredit Group supervision policies. The results of
individual companies’ monitoring activities are, in any event, shared with the Parent company.
The individual companies comprising the Group produce detailed reports on business trends and related risks on a
daily basis, forwarding market risk documentation to the Parent company.
The Parent’s Group Market Risk unit is responsible for aggregating this information and producing information on
overall market risks.
Organizational Structure
The Parent’s Board of Directors lays down strategic guidelines for taking on market risks by calculating, depending
on the propensity to risk and objectives of value creation in proportion to risks assumed, capital allocation for the
Parent company and its subsidiaries.
The Parent’s Risks Committee provides advice and recommendations in respect of decisions taken by the Chief
Executive Officer and in drawing up proposals made by the Chief Executive Officer to the Board of Directors with
regard to the following:
 guidance as to the methods to be used to realise models for the measurement and monitoring of Group
risks;
 the Group’s risk policies (identification of risk, analysis of the level of propensity to risk, definition of capital
allocation objectives and the limits for each type of risk, assignment of related functional responsibilities to
the relevant Departments and Divisions);
 corrective action aimed at rebalancing the Group’s risk positions.
The Risk Committee comprises the following members: the Chief Executive (Chair of the Committee), the Deputy
General Managers, the Chief Risk Officer (chairs the Committee in the absence of the Chief Executive) and the Chief
Financial Officer. The Head of the Group Internal Audit Department also attends meeting of the Risk Committee, but
is not entitled to vote.
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In April 2008 the Board of Directors approved the reorganization guidelines for the Group Market Risks model, aimed
at combining all Market Risk functionalities under a single responsibility and therefore established the new Group
Market Risk Department within the MIB Divisional Risk Office and Group Market Risks Dept.
In particular this entails:
 unifying responsibility for Market Risk Management (measurement, evaluation, monitoring and control)
under the new “Group Market Risks” department, responsible for trading and banking book risk
management at Group level and for ensuring consistency in market risk policies, methodologies and
practices across divisions and LEs
 establishing, within the new Group Market Risk department, two specialized teams for Trading and
Treasury Risk Management, including:
- introduction of trading risk manager role, responsible for market risk management of its specific
business lines Group-wide
- introduction of treasury risk manager role, responsible for treasury risk management of its
specific banking books Group-wide
 •Establishing unitary groups for Market Risk architecture and methodologies, including responsibilities
concerning Risk Technologies, Risk Methods, Model Testing and Group-wide New Products Process, but
excluding Front Office Risk Modelling
 reallocating responsibilities coherently between Holding and Legal Entities: in particular, Legal
Entities/Branches will focus on local New Products Process (“NPP”) implementation, Infrastructure
implementation, P&L validation and Desk Control
 maintaining the CRO’s overall responsibilities on Group Market Risks and on MIB Market/ Credit Risks
through guidance and monitoring activities to be performed also within the Risk Committee (competent
body to approve/share DROs proposals referred to risk strategies, policies, models, limits and monitoring
activities/ initiatives), of which the CRO is a member.
As a consequence the Board of Directors approved on Aug 1st the new Market Risk Governance which sets out the
framework of the Holding Company Market Risks function in its guiding, supporting and controlling of the
correspondent functions in the Legal Entities, in coherence with the role of UniCredit SpA as holding company.
In short, the Parent company proposes limits and investment policies for the Group and its entities in harmony with
the capital allocation process when the annual budget is drawn up.
Group HQ's Asset and Liability Management unit, in coordination with other regional liquidity centers, manages
strategic and operational ALM, with the objective of ensuring a balanced asset position and the operating and
financial sustainability of the Group’s growth policies on the loans market, optimizing the Group’s exchange rate,
interest rate and liquidity risk.

AS AT 30 JUNE 2008 16
Operational risk
General aspects, management processes and operational risk measurement

methodologies
Operational Risk definition
Operational risk is the risk of loss due to errors, infringements, interruptions, damages caused by internal processes
or personnel or systems or caused by external events. This definition includes legal and compliance risks, but
excludes strategic and reputational risk.
As an example, are classified as operational losses the ones resulting from internal or external fraud, employment
practices and workplace safety, clients claims, products distribution, fines and penalties due to regulation breaches,
damage to company’s physical assets, business disruption and system failures, process management.
Group Operational Risk framework
UniCredit Group established the Operational Risk Management framework as a combination of policies and
procedures for controlling, measuring and mitigating the Operational Risk of the Group and controlled Legal Entities.
The Operational Risk policies, applying to all Group Legal Entities, are common principles defining the roles of the
company bodies, the Operational Risk Management function as well as the relationship with other functions involved
in Operational Risk monitoring and management.
The Parent company coordinates the Group companies according to the internal regulation and the Group
operational risk control rulebook. Specific risk committees (risk committee, operational risk committee) are set up to
monitor risk exposure, to define risk appetite and mitigating actions, to approve measurement and control methods.
The methodology for data classification and completeness, scenario analysis, risk indicators, reporting and capital at
risk measurement is set by the Parent company operational risk management function and applies to all Group Legal
Entities. A pivot element of the risk control framework is the Operational Risk Management IT application, allowing
the collection of the data required for operational risk control and capital measurement.
The Operational Risk control methodologies have been extended to the relevant Capitalia Group Legal Entities
acquired during 2007 and this entities have been included in the AMA Group roll out plan.
UniCredit Group achieved / received in March 2008 the authorization to adopt the AMA model for capital at risk
calculation. During the next years this method will be extended to the main Group Legal Entities following the AMA
roll out plan.
Organizational structure
Top management is responsible for the approval of all relevant aspects of the operational risk Group framework, for
verifying the measurement and control system adequacy and it is regularly informed regarding the operational risk
exposure.
The Risk Committee defines the guidelines and management policies of different risk types and particularly has
deliberative function on measurement and control methodologies and related manuals.
The Operational Risk Committee, headed by the Group Chief Risk Officer, involves the main Legal Entities
Operational Risk control functions and others relevant Parent company functions. The committee is updated on the
operational risk exposure and actions taken to mitigate those risks.
The Operational Risk Management (ORM) unit of the Parent company, in the Strategic Risk Management & Control
department – Risk Management division, defines the capital at risk calculation model for the Group and the
17
operational risk control guidelines, supports and controls the Legal Entities Operational Risk functions, verifying that
the implementation of the control processes and methodologies is in line with the Group standards..
The Legal Entities Operational Risk Management functions provide specific training on operational risk to the
personnel, web-based trainings are also available, and are responsible for the correct implementation of Group
framework. A regular update on operational risk regulations and practices is provided to the local operational risk
control function by the UniCredit ORM unit.
Capital at risk measurement
UniCredit developed a proprietary model for measuring the capital at risk. The system for measuring operational risk
is based on internal loss data, external loss data (consortium and public data) scenario generated loss data and risk
indicators.
Capital at risk is calculated per event type class. For each risk class, severity and frequency of loss data are
separately estimated to obtain the annual loss distribution through simulation, considering also insurance coverage.
The severity distribution is estimated on internal, external and scenario generated data, while the frequency
distribution is determined using only the internal data. An adjustment for key operational risk indicators is applied to
each risk class. Annual loss distributions of each risk class are aggregated through a copula based method. Capital
at risk is calculated at confidence level of 99.9% on the overall loss distribution for regulatory purpose and at
confidence level 99.97% for economic capital purpose.
By the allocation mechanism, the individual legal entities’ capital requirements are identified, reflecting the Legal
Entities’ risk exposure and risk management effectiveness.
UniCredit Group received the formal approval by the Regulators to use the Advanced Measurement Approach (AMA)
for regulatory capital at risk calculation for operational risk.
As of 30 June 2008, the AMA covers 62% of the Group, considering the relevant indicator (i.e. gross margin), and the
roll out plan set the time schedule for the extension of the method to all relevant Group legal entities that will be
completed by 2012. The subsidiaries that at the moment are not yet AMA compliant apply TSA or BIA method to
calculate the regulatory capital requirements.
Reporting
A reporting system has been developed by the Parent company Operational Risk management to inform senior
management and relevant bodies about the Group operational risk exposure and the risk mitigation actions.
The parent company ORM function, on quarterly basis provides update on operational losses trend, capital at risk
calculation, external event and the main initiatives taken for operational risk mitigation in business divisions. A
synthesis of the risk indicators trend is issued monthly.
During the Operational Risk Committee are presented the main scenario analysis results at Group level and the
related mitigation actions.
Operational Risk Management
Operational risk management consist of processes’ review to reduce the risk exposure, including the option to
outsource certain processes, and insurance policies management, defining proper deductibles and policies’ limits.
Regularly tested business continuity plans will also assure operational risk management in case of interruption of
main services.

AS AT 30 JUNE 2008 18
The Risk Committee (or other bodies in accordance to local regulations) reviews risks tracked by the operational risk
functions of the Legal entities, with the support of functions involved in daily operational risk control, and monitors the
risk mitigation initiatives.
Other Risks
The types of risk described above are the main ones. There are others.
The Group has identified and re-delineated the risk types and broadened the range, in order to increase the accuracy
of risk measurement. At the same time aggregation procedures were developed to enable measurement of overall
risk, adding to each type through the determination of internal capital.
This work has two aims: the main one is to improve understanding of the value drivers within each business line, so
that Risk Management can play an effective role in decision-making.
The second objective is to refine the internal control system, in which Risk Management is one of the main players.
Redrawing and broadening the identified risk type perimeter to be managed in the Group is accomplished in two
stages.
The first is the recognition of risk implicit in existing assets and liabilities and the business carried on. The second is
definition of measurement methods.
Under the first stage the Group has identified the following risk types:
 business risk;
 real estate risk;
 equity investment risk;
 strategic risk and;
 reputational risk.
Defined as follows.
Business Risk
A contraction of margins not due to market, credit or operational risk, but changes in the competitive environment or
customer behaviour.
Business risk guidelines give a standard method of calculating the risk arising from income fluctuations. Only mid-
size and large subsidiaries are required to fully implement the model; small subsidiaries are exempted from this since
this risk will be calculated using a simplified procedure.
Data are collected quarterly according to a set format provided by the Parent and updated by each Group entity for
accounts items that determine income and expense to be input to the model. These items are chosen in such a way
as to avoid overlapping with other risk types. Historical series to be used to calibrate volatility and correlations are
constructed starting with the monthly accounts and grouped in divisional clusters, while the annual market values by
which they are multiplied are extracted from quarterly accounts.
The calculation uses normal distribution, on the basis of which an EaR is calculated with a 99.97% confidence
interval and a one-year time horizon (variance-covariance method). VaR is then calculated by multiplying the EaR by
a factor, which is a function of the three-year time horizon and the interest rate. This is measured for the Group, each
19
Division, each Sub-group and each entity, both in terms of stand-alone risk capital, and diversified; in the case of the
latter, the benefit of intra-risk diversification is subsequently reallocated to individual entities in proportion to the ratio
of Group VaR to the sum of the stand-alone VaRs of all entities. Each entity’s marginal diversified capital exists only
as part of the Group’s, and is one of the preliminary elements for the calculation of aggregated economic capital.
For monitoring purposes business risk is calculated for the Group, the Parent and the Divisions quarterly or whenever
thought necessary due to changes in the relevant market. For budgeting purposes it is calculated prospectively to
assist the capital allocation process since it is one of the risk measures to be aggregated.
Real Estate Risk
This consists of the potential losses arising from adverse fluctuations in the value of the Group’s property portfolio
held by subsidiaries, property trusts and special-purpose vehicles (but not customers’ property bearing a charge or
mortgage).
Only mid-size and large subsidiaries are required to fully implement the model; small subsidiaries are exempted from
this since this risk will be calculated using a simplified procedure.
The calculation of real estate risk excludes property pledged as collateral but includes ancillary companies’ and
subsidiaries’ property.
Data are collected quarterly, according to a set format provided by the Parent and used by each Group entity to
provide general information on property held, its market value and carrying amount. For the purposes of real estate
risk calculation, if market value cannot be supplied, it is temporarily replaced by carrying amount. Each entity is also
required to provide sector indexes for each property according to region or city, which are necessary for the
calculation of volatility and correlations in the model.
The calculation uses normal distribution, on the basis of which an EaR is calculated with a 99.97% confidence
interval and a one-year time horizon (variance-covariance method). The resulting VaR is measured for the Group,
each Division, each Sub-group and each entity both in terms of stand-alone risk capital, and diversified; in the case of
the latter, the benefit of intra-risk diversification is subsequently reallocated to individual entities on the basis of the
entity’s marginal contribution to the Group’s intra-diversified VaR.
Each entity’s marginal diversified capital exists only as part of the Group’s, and is one of the preliminary elements for
the calculation of aggregated economic capital.
For monitoring purposes real estate risk is calculated for the Group, the Parent and the Divisions quarterly or
whenever thought necessary due to changes in the relevant market. For budgeting purposes it is calculated
prospectively to assist the capital allocation process since it is one of the risk measures to be aggregated.
Equity Investment Risk
This consists of the potential losses arising from non-speculative financial investments in companies outside the
Group, i.e., outside the scope of consolidation for accounting purposes. Trading book assets are therefore not
considered under this heading.
Only mid-size and large subsidiaries are required to fully implement the model; small subsidiaries are exempted from
this since this risk will be calculated using a simplified procedure.
The calculation of equity investment risk excludes equity investments in companies not belonging to the Group or the
trading book, but may include: listed or unlisted shares, equity derivatives, private equity and shares in mutual, hedge
and private equity funds.
Risk assessment is carried out using two distinct methodologies: one is market-based in approach, i.e., based on
market prices, for listed investments. The other is an IRB PD/LGD approach taking the carrying amount as its basis,

AS AT 30 JUNE 2008 20
for unlisted investments including those in private equity. Where there is no PD, even one of local origin, mapping
using market indexes or standard weights are used.
Data are collected quarterly, according to a set format provided by the Parent and updated by each Group entity. To
calculate volatility and the correlations needed for the model, specific price indexes are used for listed shares and
regional or sectoral indexes for unlisted shares, until an internal rating model is developed for them.
Once the database is defined, the calculation uses log-normal distribution, starting from which a VaR calculated with
a 99.97% confidence interval and a one-year time horizon (variance-covariance method). The resulting VaR is
measured for the Group, each Division, each Sub-group and each entity both in terms of stand-alone risk capital, and
diversified; in the case of the latter, the benefit of intra-risk diversification is subsequently reallocated to individual
entities on the basis of the entity’s marginal contribution to the Group’s intra-diversified VaR with a 99.97%
confidence interval and a one-year time horizon (variance-covariance method). For monitoring purposes equity
investment risk is calculated for the Group, the Parent and the Divisions quarterly or whenever thought necessary
due to changes in the relevant market. For budgeting purposes it is calculated prospectively to assist the capital
allocation process since it is one of the risk measures to be aggregated.
Strategic Risk
This arises from unexpected changes in market conditions, failure to recognise trends in the banking sector, or
inappropriate assessments of these trends. The risk is that divergent decisions as to how to achieve long-term
objectives may be made and be reversible only with difficulty.
Reputational Risk
The risk that profit or capital may be reduced due to a negative perception of the bank’s image by customers, market
players, shareholders, investors or the regulator.
In the second stage of redefining and broadening the scope of the risk types to be managed by the Group, the best
analytical method was identified: some risk types can be analysed quantitatively using statistical methods, while
others require a qualitative approach, for example scenario analysis.
Risk Measurement Methods
Credit, market, operational, business, real estate and equity investment risk can be measured quantitatively, using:
 estimated economic capital and
 stress tests.
The Group measures business, real estate and equity investment risk using a quantitative model, since the capital
amount determined in this way is used to meet potential losses. By contrast, strategic risk is analysed using scenario
analysis, which makes it possible to estimate potential losses in certain situations but this risk is not included in the
estimate of aggregate risk, because in this situation capital would not be effective to cope with strategic errors.
The multi-dimensional nature of risk makes it necessary to accompany the measurement of economic capital with
stress testing, not only in order to estimate losses in certain scenarios, but also to obtain the impact of their
determinants. Stress testing is carried out on both individual risk types and aggregated risk by simulating changes
together with risk factors to provide consistent support for the calculation of aggregate economic capital.
21
Economic Capital and Internal Capital
Aggregate Economic Capital is the maximum potential loss due to the joint effect of the various risk types in a one-
year time horizon and a confidence level consistent with the Group’s risk appetite. The risks considered are credit,
market, operational, business, real estate and equity investment risk and their interdependence, both in terms of
diversification within each risk type and between risks.
As prescribed by the Basel 2 Project Rulebook, the Parent is responsible for developing methodology for
measurement at Group and Division level, and for designing and implementing measurement processes for the
Group’s Economic Capital and Internal Capital. Each entity is responsible for developing the processes needed to
measure risk in line with the Parent’s instructions.
Internal Capital, in line with the Group’s risk appetite, is calculated by adding a buffer to Aggregate Economic Capital
to take account of stress test results and other non-quantifiable risks considered significant for the Group.
Economic Capital is a fundamental element when assessing the adequacy of the Group’s capital.
For monitoring purposes, the Group’s, the Parent’s and the Divisions’ Economic Capital is calculated quarterly or
whenever thought necessary due to significant changes in the relevant market. For budgeting purposes it is
calculated prospectively to assist the capital allocation process.
Aggregate Economic Capital and resulting Internal Capital form a significant part of the information on the bank’s risk
profile, and should be submitted to the entity’s governing or decision-making bodies (e.g., the Risk Committee or the
Board of Directors).
In addition to the foregoing, Group intends to consider the effects of a disaster scenario, i.e., losses arising from
extreme situations impacting all risk variables, such as pandemics.
Refinement of the risk profile is fully in keeping with Pillar 2 in the new supervisory regulations.
The Group’s approach to capital adequacy is in five stages:
 risk identification
 risk measurement
 capital planning and allocation
 monitoring and
 risk governance.
The activities described above cover the first two stages in particular, i.e., risk identification and risk measurement
both at individual level, and aggregated.

AS AT 30 JUNE 2008 22
Reporting
The Group CRO’s department’s Reporting and Monitoring provides reports and manages credit risk portfolio
oversight using various regular and specific monthly and quarterly reports. Its principal purpose is to analyse the
main drivers and parameters of credit risk (exposure at default (EAD), expected loss (EL), migration, cost of risk, etc.)
in order to take timely countermeasures for portfolios subject to this risk.
In addition, within each Division (Retail, Corporate, Private Banking and Market & Investment Banking) there are
reporting units charged with monitoring credit risk positions within the Division.
In H1 2008 Reporting and Monitoring activities changed markedly due to the steady improvement of data quality and
the production processes for the various reports (CRO Flash Report, Quarterly Risk Report, and Risk Summary etc.).
To assist production of these reports, the divisional reporting units use a Credit Tableau de Bord, a quarterly tool
containing specific divisional information.
In H1 2008, the Group CRO’s department continued its intense involvement in the process of integrating the Capitalia
Group by analysing risk management processes and methodologies.
23
Table 2 – Scope of application
In this section of the pillar 3 is disclosed the prudential scope of consolidation do the UniCredit group, in this scope,
defined “Banking Group” have to be enclosed the subsidiaries with the following characteristics:
 Banks, financial companies and ancillary banking services companies directly or indirectly controlled to
which the line-by-line consolidation method is applied;
 Banks, financial companies and ancillary banking services companies directly or indirectly participated for a
share equal or more than the 20% when they are jointly controlled with other entities, to these subsidiaries
has to be applied the proportional consolidation method
Further prudential treatments provided by the regulation are: the deduction of the value of the subsidiary from the
capital and the sum of the subsidiary value to the Risk Weighted Assets.
It has to be underlined that the prudential scope of consolidation is set in order to comply with the solvency
regulation, different from the IAS/IFRS rules applied to the scope of the Financial Statement, this situation could
cause mismatches among similar set of information disclosed in this document and in the F/S

AS AT 30 JUNE 2008 24
CONSOLIDATED SUBSIDIARIES
consolidation in
Headquarter treatment in prudential report
F/S
Deduction from capital
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Banks
UNICREDIT SPA ROME ITALY X X
AS UNICREDIT BANK RIGA LATVIA X X
ASSET MANAGEMENT GMBH VIENNA AUSTRIA X X
ATF BANK KYRGYZSTAN OJSC BISHKEK KIRGHIZISTAN X X
BANCO DI SICILIA S.P.A. PALERMO ITALY X X
BANK AUSTRIA CREDITANSTALT AG VIENNA AUSTRIA X X
BANK AUSTRIA CREDITANSTALT WOHNBAUBANK AG VIENNA AUSTRIA X X
BANK AUSTRIA REAL INVEST GMBH VIENNA AUSTRIA X X
BANK BPH SA CRACOW POLAND X X
BANK PEKAO SA VARSAW POLAND X X
BANKHAUS NEELMEYER AG BREMEN GERMANY X X
BANKPRIVAT AG VIENNA AUSTRIA X X
BAYERISCHE HYPO- UND VEREINSBANK AG MUNICH GERMANY X X
BIPOP CARIRE S.P.A. BRESCIA ITALY X X
BPH BANK HIPOTECZNY S.A. VARSAW POLAND X X
CAPITALIA LUXEMBOURG S.A. LUXEMBURG LUXEMBOURG X X
CARD COMPLETE SERVICE BANK AG VIENNA AUSTRIA X X
CJSC BANK SIBIR OMSK CITY RUSSIA X X
DAB BANK AG MUNICH GERMANY X X
DIREKTANLAGE.AT AG SALZBURG AUSTRIA X X
FACTORBANK AKTIENGESELLSCHAFT VIENNA AUSTRIA X X
FINECOBANK SPA MILAN ITALY X X
FONDO SIGMA ROME ITALY X X
HVB BANQUE LUXEMBOURG SOCIETE ANONYME LUXEMBURG LUXEMBOURG X X
HVB INVESTITIONSBANK GMBH HAMBURG GERMANY X X
IRFIS - MEDIOCREDITO DELLA SICILIA S.P.A. PALERMO ITALY X X

JOINT STOCK COMMERCIAL BANK FOR SOCIAL DEVELOPMENT
UKRSOTSBANK KIEV UKRAINE X X
JSC ATF BANK ALMATY CITY KAZAKHSTAN X X
LEASFINANZ BANK GMBH VIENNA AUSTRIA X X
MCC - MEDIOCREDITO CENTRALE S.P.A. ROME ITALY X X
PIONEER INVESTMENTS AUSTRIA GMBH VIENNA AUSTRIA X X
PRVA STAMBENA STEDIONICA DD ZAGREB ZAGREB CROATIA X X
SCHOELLERBANK AKTIENGESELLSCHAFT VIENNA AUSTRIA X X
SOHIBKORBANK OJSC KHUJAND CITY TADZHIKISTAN X X
UNICREDIT (SUISSE) BANK SA LUGANO SWITZERLAND X X
UNICREDIT BANCA DI ROMA S.P.A. ROME ITALY X X
UNICREDIT BANCA PER LA CASA SPA MILAN ITALY X X
UNICREDIT BANCA SPA BOLOGNA ITALY X X

BOSNIA AND
UNICREDIT BANK AD BANJA LUKA BANJA LUKA HERCEGOVINA X X
UNICREDIT BANK CAYMAN ISLANDS LTD. GEORGE TOWN CAYMAN ISLANDS X X
UNICREDIT BANK CZECH REPUBLIC A.S. PRAGUE CZECH REPUBLIC X X
25
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Banks
BOSNIA AND
UNICREDIT BANK DD MOSTAR HERCEGOVINA X X
UNICREDIT BANK HUNGARY ZRT. BUDAPEST HUNGARY X X
UNICREDIT BANK IRELAND PLC DUBLIN IRELAND X X
UNICREDIT BANK LTD LUCK UKRAINE X X
UNICREDIT BANK SLOVAKIA AS BRATISLAVA SLOVAKIA X X
UNICREDIT BANK SRBIJA JSC BELGRADE SERBIA X X
UNICREDIT BANKA SLOVENIJA D.D. LJUBLJANA SLOVENIA X X
UNICREDIT BULBANK AD SOFIA BULGARIA X X
UNICREDIT CAIB AG VIENNA AUSTRIA X X
UNICREDIT CONSUMER FINANCING BANK SPA MILAN ITALY X X
UNICREDIT CORPORATE BANKING SPA VERONA ITALY X X
UNICREDIT CREDIT MANAGEMENT BANK SPA VERONA ITALY X X
UNICREDIT INTERNATIONAL BANK (LUXEMBOURG) SA LUXEMBURG LUXEMBOURG X X
UNICREDIT JELZALOGBANK ZRT. BUDAPEST HUNGARY X X
UNICREDIT PRIVATE BANKING SPA TURIN ITALY X X
UNICREDIT TIRIAC BANK S.A. BUCAREST ROMANIA X X
UNICREDIT XELION BANCA SPA MILAN ITALY X X
VEREINSBANK VICTORIA BAUSPAR AKTIENGESELLSCHAFT MUNICH GERMANY X X
YAPI KREDI AZERBAIJAN BAKU AZERBAIJAN X X
YAPI KREDI BANK NEDERLAND NV AMSTERDAM NETHERLANDS X X
YAPI KREDI MOSCOW MOSCOW RUSSIA X X
YAPI VE KREDI BANKASI AS ISTANBUL TURKEY X X
ZAGREBACKA BANKA DD ZAGREB CROATIA X X
ZAO UNICREDIT BANK MOSCOW RUSSIA X X
Financial entities
AI BETEILIGUNG GMBH VIENNA AUSTRIA X X
ALINT 458 GRUNDSTUCKVERWALTUNG GESELLSCHAFT M.B.H. BAD HOMBURG GERMANY X X
ALLEGRO LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
ALLIB LEASING S.R.O. PRAGUE CZECH REPUBLIC X X
ALLIB NEKRETNINE D.O.O. ZA POSLOVANJE NEKRETNINAMA ZAGREB CROATIA X X
ALLIB ROM S.R.L. BUCAREST ROMANIA X X
ALMS LEASING GMBH. SALZBURG AUSTRIA X X
ALV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
ANI LEASING IFN S.A. BUCAREST ROMANIA X X
ANTARES IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
ARNO GRUNDSTUCKSVERWALTUNGS GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
ARTEMUS MACRO FUND SPC LIMITED GEORGE TOWN CAYMAN ISLANDS X X
ARUNA IMMOBILIENVERMIETUNG GMBH VIENNA AUSTRIA X X
ASPRA FINANCE SPA MILAN ITALY X X
ATF CAPITAL B.V. ROTTERDAM NETHERLANDS X X
AUSTRIA LEASING GMBH VIENNA AUSTRIA X X

AUTOGYOR INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASAG BUDAPEST HUNGARY X X
BA- ALPINE HOLDINGS, INC. WILMINGTON U.S.A. X X

AS AT 30 JUNE 2008 26
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
BA CA LEASING (DEUTSCHLAND) GMBH BAD HOMBURG GERMANY X X
BA CA SECUND LEASING GMBH VIENNA AUSTRIA X X
BA CREDITANSTALT BULUS EOOD SOFIA BULGARIA X X
BA EUROLEASE BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
BA/CA-LEASING BETEILIGUNGEN GMBH VIENNA AUSTRIA X X
BA/CA-LEASING FINANZIERUNG GMBH VIENNA AUSTRIA X X
BAC FIDUCIARIA SPA DOGANA SAN MARINO X X
BA-CA ADAGIO LEASING GMBH VIENNA AUSTRIA X X
BA-CA ANDANTE LEASING GMBH VIENNA AUSTRIA X X
BACA BARBUS LEASING DOO LJUBLJANA SLOVENIA X X
BACA BAUCIS LEASING GMBH VIENNA AUSTRIA X X
BACA CENA IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BACA CHEOPS LEASING GMBH VIENNA AUSTRIA X X
BA-CA CONSTRUCTION LEASING OOO SAINT PETERSBURG RUSSIA X X
BA-CA FINANCE (CAYMAN) II LIMITED GEORGE TOWN CAYMAN ISLANDS X X
BA-CA FINANCE (CAYMAN) LIMITED GEORGE TOWN CAYMAN ISLANDS X X

OSNIA AND
BACA GIOCONDO NEKRETNINE D.O.O., SARAJEVO SARAJEVO HERCEGOVINA X X
BACA HYDRA LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
BACA KOMMUNALLEASING GMBH VIENNA AUSTRIA X X
BACA LEASING ALFA S.R.O. PRAGUE CZECH REPUBLIC X X
BACA LEASING CARMEN GMBH VIENNA AUSTRIA X X
BA-CA LEASING DREI GARAGEN GMBH VIENNA AUSTRIA X X
BACA LEASING GAMA S.R.O. PRAGUE CZECH REPUBLIC X X
BA-CA LEASING MAR IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BA-CA LEASING MODERATO D.O.O. LJUBLJANA SLOVENIA X X

OSNIA AND
BACA LEASING NEKRETNINE DRUSTVO SA OGRANICENOM BANJA LUKA HERCEGOVINA X X
BA-CA LEASING POLO, LEASING D.O.O. LJUBLJANA SLOVENIA X X

BACA LEASING UND BETEILGUNGSMANAGEMENT GMBH (EX
CALG 434 GRUNDSTUCKVER VIENNA AUSTRIA X X
BA-CA MARKETS & INVESTMENT BETEILIGUNG GMBH VIENNA AUSTRIA X X
BACA MINERVA LEASING GMBH VIENNA AUSTRIA X X
BACA MINOS LEASING GMBH VIENNA AUSTRIA X X
BACA MOBILIEN UND LKW LEASING GMBH VIENNA AUSTRIA X X
BA-CA PRESTO LEASING GMBH VIENNA AUSTRIA X X
BACA ROMUS IFN S.A. BUCAREST ROMANIA X X
BACAL ALPHA DOO ZA POSLOVANJE NEKRETNINAMA ZAGREB CROATIA X X

BACAL BETA NEKRETNINE D.O.O. ZA POSLOVANJE
NEKRETNINAMA ZAGREB CROATIA X X
BACA-LEASING AQUILA INGATLANHASNOSITO KORLATOLT
BACA-LEASING GEMINI INGATLANHASZNOSITO KORLATOLT
BACA-LEASING HERKULES INGATLANHASZNOSITO KORLATOLT
FELELOSSEGU TARSASA BUDAPEST HUNGARY X X
BACA-LEASING MIDAS INGATLANHASZNOSITO KORLATOLT
BACA-LEASING NERO INGATLANHASZNOSITO KORLATOLT
BACA-LEASING OMIKRON INGATLANHASZNOSTO KORLATOLT
27
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F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
BACA-LEASING URSUS INGATLANHASZNOSITO KORLATOLT
BA-CREDITANSTALT LEASING ANGLA SP. Z O.O. VARSAW POLAND X X
BA-CREDITANSTALT LEASING DELTA SP. Z O.O. VARSAW POLAND X X
BA-CREDITANSTALT LEASING ECOS SP. Z O.O. VARSAW POLAND X X
BA-CREDITANSTALT LEASING POLUS SP. Z O.O. VARSAW POLAND X X
BAL CARINA IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BAL DEMETER IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BAL HESTIA IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BAL HORUS IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BAL HYPNOS IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BAL LETO IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BAL OSIRIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
BAL PAN IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BAL SOBEK IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BANCA AGRICOLA COMMERCIALE DELLA R.S.M. S.P.A. BORGO MAGGIORE SAN MARINO X X
BANK AUSTRIA CREDITANSTALT LEASING BAUTRAGER GMBH VIENNA AUSTRIA X X

BANK AUSTRIA CREDITANSTALT LEASING
IMMOBILIENANLAGEN GMBH VIENNA AUSTRIA X X
BANK AUSTRIA HUNGARIA BETA LEASING KORLATOLT
FELELOSSEGU TSRSASAG BUDAPEST HUNGARY X X
BANK AUSTRIA LEASING ARGO IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BANK AUSTRIA LEASING HERA IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X

BANK AUSTRIA LEASING IKARUS IMMOBILIEN LEASING
GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
BANK AUSTRIA LEASING MEDEA IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
BAULANDENTWICKLUNG GDST 1682/8 GMBH & CO OEG VIENNA AUSTRIA X X
BDR ROMA PRIMA IRELAND LTD DUBLIN IRELAND X X

BETEILIGUNGS-UND HANDELSGESELLSCHAFT IN HAMBURG
MIT BESCHRANKTER HAFTUNG HAMBURG GERMANY X X
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT DER BANK
AUSTRIA CREDITANSTALT LEASING GMBH VIENNA AUSTRIA X X
BLUE CAPITAL EQUITY GMBH HAMBURG GERMANY X X
BLUE CAPITAL FONDS GMBH HAMBURG GERMANY X X
BLUE CAPITAL GMBH HAMBURG GERMANY X X
BLUE CAPITAL TREUHAND GMBH HAMBURG GERMANY X X

BORDER LEASING GRUNDSTUCKSVERWALTUNGS-
GESELLSCHAFTM.B.H. VIENNA AUSTRIA X X
BREAKEVEN SRL VERONA ITALY X X
BREWO GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
BULBANK LEASING EAD SOFIA BULGARIA X X
CA IB CORPORATE FINANCE D.D. LJUBLJANA SLOVENIA X X
CA IB INVEST D.O.O ZAGREB CROATIA X X
CABET-HOLDING-AKTIENGESELLSCHAFT VIENNA AUSTRIA X X
CABO BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
CAC REAL ESTATE, S.R.O. PRAGUE CZECH REPUBLIC X X
CAC-IMMO SRO CESKE BUDEJOVICE CZECH REPUBLIC X X

CA-LEASING ALPHA INGATLANHASZNOSITO KORLATOLT

AS AT 30 JUNE 2008 28
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
CA-LEASING BETA 2 INGATLANHASZNOSITO KORLATOLT
CA-LEASING DELTA INGATLANHASZNOSITO KORLATOLT
CA-LEASING EPSILON INGATLANHASZNOSITO KORLATOLT
CA-LEASING EURO, S.R.O. PRAGUE CZECH REPUBLIC X X

CA-LEASING KAPPA INGATLANHASZNOSITO KORLATOLT
CA-LEASING LAMBDA INGATLANHASZNOSITO KORLATOLT
CA-LEASING OMEGA INGATLANHASZNOSITO KORLATOLT
CA-LEASING OVUS S.R.O. PRAGUE CZECH REPUBLIC X X
CA-LEASING PRAHA S.R.O. PRAGUE CZECH REPUBLIC X X
CA-LEASING SENIOREN PARK GMBH VIENNA AUSTRIA X X
CA-LEASING TERRA POSLOVANJE Z NEPREMICNINAMI D.O.O. LJUBLJANA SLOVENIA X X

CA-LEASING YPSILON INGATLANHASZNOSITO KORLATOLT
CA-LEASING ZETA INGATLANHASZNOSITO KORLATOLT
CALG 307 MOBILIEN LEASING GMBH VIENNA AUSTRIA X X
CALG 443 GRUNDSTUCKVERWALTUNG GMBH VIENNA AUSTRIA X X
CALG 451 GRUNDSTUCKVERWALTUNG GMBH VIENNA AUSTRIA X X
CALG ALPHA GRUNDSTUCKVERWALTUNG GMBH VIENNA AUSTRIA X X
CALG ANLAGEN LEASING GMBH VIENNA AUSTRIA X X

CALG ANLAGEN LEASING GMBH & CO
GRUNDSTUCKVERMIETUNG UND -VERWALTUNG KG MUNICH GERMANY X X
CALG DELTA GRUNDSTUCKVERWALTUNG GMBH VIENNA AUSTRIA X X
CALG GAMMA GRUNDSTUCKVERWALTUNG GMBH VIENNA AUSTRIA X X
CALG GRUNDSTUCKVERWALTUNG GMBH VIENNA AUSTRIA X X

CALG HOTELGRUNDSTUCKVERWALTUNG GRUNDUNG 1986
GMBH VIENNA AUSTRIA X X
CALG IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
CALG MINAL GRUNDSTUCKVERWALTUNG GMBH VIENNA AUSTRIA X X

CAL-PAPIER INGATLANHASZNOSITO KORLATOLT
CAPITALIA MERCHANT S.P.A. ROME ITALY X X
CAPITALIA PARTECIPAZIONI S.P.A. ROME ITALY X X
CDM CENTRALNY DOM MAKLERSKI PEKAO SA VARSAW POLAND X X
CHARADE LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
CHEFREN LEASING GMBH VIENNA AUSTRIA X X
CIVITAS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

COMMUNA - LEASING
GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
CONTRA LEASING-GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
CORDUSIO SOCIETA' FIDUCIARIA PER AZIONI MILAN ITALY X X

CUKOR INGATLANHASZNOSITO KORLATOLT FELELOSSEGU
TARSASAG BUDAPEST HUNGARY X X
DEBO LEASING IFN S.A. BUCAREST ROMANIA X X
DLB LEASING, S.R.O. PRAGUE CZECH REPUBLIC X X
DLV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
DUODEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
ENTASI SRL ROME ITALY X X
EUROFINANCE 2000 SRL ROME ITALY X X

EUROLEASE AMUN IMMOBILIEN LEASING GESELLSCHAFT
M.B.H. VIENNA AUSTRIA X X
29
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
EUROLEASE ANUBIS IMMOBILIEN LEASING GESELLSCHAFT
EUROLEASE ISIS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

EUROLEASE MARDUK IMMOBILIEN LEASING GESELLSCHAFT
EUROLEASE RA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

EUROLEASE RAMSES IMMOBILIEN LEASING GESELLSCHAFT
EUROPA FUND MANAGEMENT (EUROPA BEFEKTETESI
ALAPKEZELO RT) BUDAPEST HUNGARY X X
EUROPEAN TRUST S.P.A. BRESCIA ITALY X X
EXPANDA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
FIDES IMMOBILIEN TREUHAND GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
FINANSE PLC. LONDON UNITED KINGDOM X X
FINECO CREDIT S.P.A. MILAN ITALY X X
FINECO LEASING S.P.A. BRESCIA ITALY X X
FINECO PRESTITI S.P.A. MILAN ITALY X X
FINECO VERWALTUNG AG FRANKFURT AM MAIN GERMANY X X
FM GRUNDSTUCKSVERWALTUNGS GMBH & CO. KG BAD HOMBURG GERMANY X X

FMC LEASING INGATLANHASZNOSITO KORLATOLT
FMZ SAVARIA SZOLGALTATO KFT BUDAPEST HUNGARY X X
FMZ SIGMA PROJEKTENTWICKLUNGS GMBH VIENNA AUSTRIA X X
FOLIA LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
FUGATO LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

G.N.E. GLOBAL GRUNDSTUCKSVERWERTUNG GESELLSCHAFT
GALA GRUNDSTUCKVERWALTUNG GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
GBS GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

GEBAUDELEASING
GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
GEMEINDELEASING GRUNDSTUCKVERWALTUNG
GRUNDSTUCKSVERWALTUNG LINZ-MITTE GMBH VIENNA AUSTRIA X X

GRUNDSTUCKSVERWALTUNGSGESELLSCHAFT M.B.H. & CO.
KG. BREGEN AUSTRIA X X
H.F.S. HYPO-FONDSBETEILIGUNGEN FUR SACHWERTE GMBH MUNICH GERMANY X X
HERKU LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
HOKA LEASING-GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
HONEU LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
HVB - LEASING PLUTO KFT BUDAPEST HUNGARY X X
HVB ALTERNATIVE ADVISORS LLC NEW YORK U.S.A. X X
HVB ALTERNATIVE FINANCIAL PRODUCTS AG VIENNA AUSTRIA X X
HVB ASSET MANAGEMENT HOLDING GMBH MUNICH GERMANY X X
HVB AUTO LEASING EOOD SOFIA BULGARIA X X
HVB CAPITAL ASIA LIMITED HONG KONG JAPAN X X
HVB CAPITAL LLC WILMINGTON U.S.A. X X
HVB CAPITAL LLC II WILMINGTON U.S.A. X X
HVB CAPITAL LLC III WILMINGTON U.S.A. X X
HVB CAPITAL LLC VI WILMINGTON U.S.A. X X
HVB CAPITAL LLC VIII WILMINGTON U.S.A. X X
HVB CAPITAL PARTNERS AG MUNICH GERMANY X X
HVB CESAR D.O.O. BEOGRAD BELGRADE SERBIA X X

AS AT 30 JUNE 2008 30
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
HVB FIERO LEASING OOD SOFIA BULGARIA X X
HVB FONDSFINANCE GMBH MUNICH GERMANY X X
HVB FUNDING TRUST II WILMINGTON U.S.A. X X
HVB FUNDING TRUST VIII WILMINGTON U.S.A. X X
HVB GLOBAL ASSETS COMPANY L.P. NEW YORK U.S.A. X X
HVB HONG KONG LIMITED HONG KONG CHINA X X
HVB IMMOBILIEN AG MUNICH GERMANY X X
HVB INVESTMENTS (UK) LIMITED CAYMAN ISLANDS CAYMAN ISLANDS X X

OSNIA AND
HVB LEASING CPB D.O.O. SARAJEVO HERCEGOVINA X X
HVB LEASING CZECH REPUBLIC S.R.O. PRAGUE CZECH REPUBLIC X X
HVB LEASING GMBH HAMBURG GERMANY X X

HVB LEASING MAX INGATLANHASZNOSITO KORLATOLT
HVB LEASING OOD SOFIA BULGARIA X X
HVB LEASING SLOVAKIA S.R.O. BRATISLAVA SLOVAKIA X X
HVB PROJEKT GMBH MUNICH GERMANY X X
HVB SUPER LEASING EOOD SOFIA BULGARIA X X
HVB TECTA GMBH MUNICH GERMANY X X
HVB U.S. FINANCE INC. NEW YORK U.S.A. X X
HVB VERWA 4 GMBH MUNICH GERMANY X X
HVB VERWA 4.4 GMBH MUNICH GERMANY X X

HVB-LEASING AIDA INGATLANHASZNOSITO KORLATOLT
HVB-LEASING ATLANTIS INGATLANHASZNOSITO KORLATOLT
HVB-LEASING DANTE INGATLANHASZNOSITO KORLATOLT
HVB-LEASING FIDELIO INGATLANHASNOSITO KORLATOLT
HVB-LEASING FORTE INGATLANHASNOSITO KORLATOLT
HVB-LEASING GARO KFT BUDAPEST HUNGARY X X

HVB-LEASING HAMLET INGATLANHASZNOSITO KORLATOLT
HVB-LEASING JUPITER KFT BUDAPEST HUNGARY X X
HVB-LEASING LAMOND INGATLANHASZNOSITO KFT. BUDAPEST HUNGARY X X
HVB-LEASING MAESTOSO INGATLANHASZNOSITO KFT. BUDAPEST HUNGARY X X
HVB-LEASING NANO KFT BUDAPEST HUNGARY X X

HVB-LEASING OTHELLO INGATLANHASNOSITO KORLATOLT
HVB-LEASING ROCCA INGATLANHASZNOSITO KORLATOLT
HVB-LEASING RUBIN KFT. BUDAPEST HUNGARY X X
HVB-LEASING SMARAGD KFT. BUDAPEST HUNGARY X X

HVB-LEASING SPORT INGATLANHASZNOSITO KOLATPOT
FEOEOASSEGU TARSASAG BUDAPEST HUNGARY X X
HVB-LEASING ZAFIR KFT. BUDAPEST HUNGARY X X

IMMOBILIENLEASING GRUNDSTUCKSVERWALTUNGS-
INPROX CHOMUTOV, S.R.O. PRAGUE CZECH REPUBLIC X X
INPROX KARLOVY VARY, S.R.O. PRAGUE CZECH REPUBLIC X X
INPROX KLADNO, S.R.O. PRAGUE CZECH REPUBLIC X X
INPROX POPRAD, SPOL. S.R.O. BRATISLAVA SLOVAKIA X X
INPROX SR I., SPOL. S R.O. BRATISLAVA SLOVAKIA X X
31
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
INTERNATIONALES IMMOBILIEN-INSTITUT GMBH MUNICH GERMANY X X
INTRO LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
JAUSERN-LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
KADMOS IMMOBILIEN LEASING GMBH VIENNA AUSTRIA X X
KAMILLE SENIORENRESIDENZ IMMOBILIEN G.M.B.H. & CO. KEG VIENNA AUSTRIA X X
KOC FINANSAL HIZMETLER AS ISTANBUL TURKEY X X
KUNSTHAUS LEASING GMBH VIENNA AUSTRIA X X
KUTRA GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
LAGERMAX LEASING GMBH VIENNA AUSTRIA X X
LAGEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
LARGO LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
LEASFINANZ GMBH VIENNA AUSTRIA X X
LEGATO LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
LELEV IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
LF BETEILIGUNGEN GMBH VIENNA AUSTRIA X X
LFL LUFTFAHRZEUG LEASING GMBH HAMBURG GERMANY X X
LINO HOTEL-LEASING GMBH VIENNA AUSTRIA X X
LIPARK LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
LIVA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
LOCAT CROATIA DOO ZAGREB CROATIA X X
LOCAT SPA BOLOGNA ITALY X X

M. A. V. 7., BANK AUSTRIA LEASING BAUTRAGER GMBH &
CO.OHG. VIENNA AUSTRIA X X
MBC IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

MENUETT GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
MIK BETA INGATLANHASZNOSITO KORLATOLT FELELOSSEGU
MIK INGATLANHASZNOSITO KORLATOLT FELELOSSEGU
MM OMEGA PROJEKTENTWICKLUNGS GMBH VIENNA AUSTRIA X X
MOBILITY CONCEPT GMBH UNTERHACHING GERMANY X X
MOGRA LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
NAGE LOKALVERMIETUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
NATA IMMOBILIEN-LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

NO. HYPO LEASING ASTRICTA GRUNDSTUCKVERMIETUNGS
NORDINVEST NORDDEUTSCHE INVESTMENT-GESELLSCHAFT
MBH HAMBURG GERMANY X X
OBI-2 INGATLANKZELO KFT BUDAPEST HUNGARY X X
OCT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA AUSTRIA X X

OLG HANDELS- UND
BETEILIGUNGSVERWALTUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
OLG INDUSTRIEGUTER LEASING GMBH & CO. KG. VIENNA AUSTRIA X X
OOO IMB LEASING COMPANY MOSCOW RUSSIA X X
OPEN SAVING PENSIOON FUND OTAN JSC ALMATY CITY KAZAKHSTAN X X
ORBIT ASSET MANAGEMENT LIMITED HAMILTON BERMUDA X X

AS AT 30 JUNE 2008 32
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
ORESTOS IMMOBILIEN-VERWALTUNGS GMBH MUNICH GERMANY X X

PARZHOF-ERRICHTUNGS- UND
VERWERTUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
PAZONYI'98 INGATLANHASZNOSITO KORLATOLT
PEKAO AUTO FINANSE SA VARSAW POLAND X X
PEKAO FAKTORING SP. ZOO LUBLIN POLAND X X
PEKAO FINANCIAL SERVICES SP. ZOO VARSAW POLAND X X
PEKAO FUNDUSZ KAPITALOWY SP. ZOO VARSAW POLAND X X
PEKAO LEASING HOLDING S.A. VARSAW POLAND X X
PEKAO LEASING I FINANSE VARSAW POLAND X X
PEKAO LEASING SP ZO.O. VARSAW POLAND X X
PEKAO PIONEER P.T.E. SA VARSAW POLAND X X
PELOPS LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
PESTSZENTIMREI SZAKORVOSI RENDELO KFT. BUDAPEST HUNGARY X X
PIANA LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

PIONEER ALTERNATIVE INVESTMENT MANAGEMENT
(BERMUDA) LIMITED HAMILTON BERMUDA X X
PIONEER ALTERNATIVE INVESTMENT MANAGEMENT LTD DUBLIN IRELAND X X
PIONEER ALTERNATIVE INVESTMENT MANAGEMENT SGR PA MILAN ITALY X X
PIONEER ALTERNATIVE INVESTMENTS (ISRAEL) LTD TEL AVIV ISRAEL X X
PIONEER ALTERNATIVE INVESTMENTS (NEW YORK) LTD DOVER U.S.A. X X
PIONEER ASSET MANAGEMENT AS PRAGUE CZECH REPUBLIC X X
PIONEER ASSET MANAGEMENT S.A.I. S.A. BUCAREST ROMANIA X X
PIONEER ASSET MANAGEMENT SA LUXEMBURG LUXEMBOURG X X
PIONEER CZECH FINANCIAL COMPANY SRO PRAGUE CZECH REPUBLIC X X
PIONEER FUNDS DISTRIBUTOR INC BOSTON U.S.A. X X
PIONEER GLOBAL ASSET MANAGEMENT SPA MILAN ITALY X X
PIONEER GLOBAL FUNDS DISTRIBUTOR LTD HAMILTON BERMUDA X X
PIONEER GLOBAL INVESTMENTS (AUSTRALIA) PTY LIMITED MELBOURNE AUSTRALIA X X
PIONEER GLOBAL INVESTMENTS (HK) LIMITED HONG KONG CHINA X X
PIONEER GLOBAL INVESTMENTS (TAIWAN) LTD. TAIPEI TAIWAN X X
PIONEER GLOBAL INVESTMENTS LIMITED DUBLIN IRELAND X X
PIONEER INSTITUTIONAL ASSET MANAGEMENT INC WILMINGTON U.S.A. X X
PIONEER INVESTMENT COMPANY AS PRAGUE CZECH REPUBLIC X X
PIONEER INVESTMENT FUND MANAGEMENT LIMITED BUDAPEST HUNGARY X X
PIONEER INVESTMENT MANAGEMENT INC WILMINGTON U.S.A. X X
PIONEER INVESTMENT MANAGEMENT LIMITED DUBLIN IRELAND X X
PIONEER INVESTMENT MANAGEMENT LLC MOSCOW RUSSIA X X

PIONEER INVESTMENT MANAGEMENT SHAREHOLDER
SERVICES INC. BOSTON U.S.A. X X
PIONEER INVESTMENT MANAGEMENT SOC. DI GESTIONE DEL
RISPARMIO PER AZ MILAN ITALY X X
PIONEER INVESTMENT MANAGEMENT USA INC. WILMINGTON U.S.A. X X
PIONEER INVESTMENTS AG BERN SWITZERLAND X X
PIONEER INVESTMENTS KAPITALANLAGEGESELLSCHAFT MBH MUNICH GERMANY X X

PIONEER PEKAO INVESTMENT FUND COMPANY SA (POLISH
NAME: PIONEER PEKAO TFI SA) VARSAW POLAND X X
PIONEER PEKAO INVESTMENT MANAGEMENT SA VARSAW POLAND X X
33
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F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
POLIMAR 13 SPOLKA Z OGRANICZONA ODPOWIEDZIALNOSCIA VARSAW POLAND X X
POLIMAR 6 SPOLKA Z OGRANICZONA ODPOWIEDZIALNOSCIA VARSAW POLAND X X
POSATO LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

PRELUDE GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
PRIM Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

PRIVATE JOINT STOCK COMPANY FERROTRADE
INTERNATIONAL KIEV UKRAINE X X
PROJEKT-LEASE GRUNDSTUCKSVERWALTUNGS-
QUADEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
QUART Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
QUERCIA FUNDING SRL VERONA ITALY X X
QUINT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA AUSTRIA X X
REAL ESTATE MANAGEMENT POLAND SP. Z O.O. VARSAW POLAND X X

REAL-LEASE GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
REAL-RENT LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
REGEV REALITATENVERWERTUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
ROMAFIDES - FIDUCIARIA E SERVIZI S.P.A. ROME ITALY X X
RONDO LEASING GMBH VIENNA AUSTRIA X X
RSB ANLAGENVERMIETUNG GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

RWF REAL - WERT
GRUNDSTUCKSVERMIETUNGSGESELLSCHAFTM.B.H. & CO.
OBJEKT VIENNA AUSTRIA X X
S+R INVESTIMENTI E GESTIONI (S.G.R.) SPA MILAN ITALY X X
SAVKA LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
SECA-LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
SEDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

SENIORENWOHNHEIM TROFAIACH GESELLSCHAFT MBH & CO
KEG LOEBEN AUSTRIA X X
SEXT Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H VIENNA AUSTRIA X X

SHOPPING CENTER GYOR ERRICHTUNGS- UND
BETRIEBSGESELLSCHAFT M.B.H BUDAPEST HUNGARY X X
SHS LEASING GMBH VIENNA AUSTRIA X X
SIA UNICREDIT LEASING RIGA LATVIA X X
SIGMA LEASING GMBH VIENNA AUSTRIA X X
SOFIPA SOCIETA' DI GESTIONE DEL RISPARMIO (SGR) S.P.A. ROME ITALY X X

SOLOS IMMOBILIEN- UND PROJEKTENTWICKLUNGS GMBH &
CO. SIRIUS BETEILIGUNGS KG MUNICH GERMANY X X
SONATA LEASING-GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

SPECTRUM GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT
SRQ FINANZPARTNER AG BERLIN GERMANY X X
STEWE GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
STICHTING CUSTODY SERVICES KBN AMSTERDAM NETHERLANDS X X
STRUCTURED LEASE GMBH GRUNWALD GERMANY X X
TERZ Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

TIME TRUCKS LASTWAGEN- UND AUFLIEGER VERMIETUNGS-
UND LEASINGGES.M.B.H. VIENNA AUSTRIA X X
TREDEC Z IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
TREUCONSULT BETEILIGUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
TREVI FINANCE N. 2 S.P.A. CONEGLIANO VENETO ITALY X X
TREVI FINANCE N. 3 S.R.L. CONEGLIANO VENETO ITALY X X

AS AT 30 JUNE 2008 34
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
TREVI FINANCE S.P.A. CONEGLIANO VENETO ITALY X X
UFFICIUM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
UNICOM IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
UNICREDIT ATON INTERNATIONAL LIMITED NICOSIA CYPRUS X X
UNICREDIT AUTO LEASING E.O.O.D. SOFIA BULGARIA X X
UNICREDIT BROKER D.O.O ZAGREB CROATIA X X
UNICREDIT CA IB BETEILIGUNGS AG VIENNA AUSTRIA X X
UNICREDIT CAIB POLAND S.A. VARSAW POLAND X X
UNICREDIT CAIB SECURITIES UK LTD. LONDON UNITED KINGDOM X X
UNICREDIT CONSUMER FINANCING AD SOFIA BULGARIA X X
UNICREDIT DELAWARE INC DOVER U.S.A. X X
UNICREDIT FACTORING EAD SOFIA BULGARIA X X
UNICREDIT FACTORING SPA MILAN ITALY X X
UNICREDIT FLEET MANAGEMENT S.R.O. PRAGUE CZECH REPUBLIC X X
UNICREDIT FLEET MANAGEMENT S.R.O. BRATISLAVA SLOVAKIA X X
UNICREDIT GARAGEN ERRICHTUNG UND VERWERTUNG GMBH VIENNA AUSTRIA X X
UNICREDIT GLOBAL LEASING EXPORT GMBH VIENNA AUSTRIA X X

UNICREDIT GLOBAL LEASING PARTICIPATION MANAGEMENT
GMBH VIENNA AUSTRIA X X
UNICREDIT GLOBAL LEASING SPA MILAN ITALY X X
UNICREDIT INFRASTRUTTURE SPA TURIN ITALY X X
UNICREDIT INGATLANLIZING ZRT BUDAPEST HUNGARY X X
UNICREDIT IRELAND FINANCIAL SERVICES PLC DUBLIN IRELAND X X
UNICREDIT KFZ LEASING GMBH VIENNA AUSTRIA X X
UNICREDIT LEASING (AUSTRIA) GMBH VIENNA AUSTRIA X X
UNICREDIT LEASING AD SOFIA BULGARIA X X
UNICREDIT LEASING CORPORATION IFN S.A. BUCAREST ROMANIA X X
UNICREDIT LEASING CROATIA D.O.O. ZA LEASING ZAGREB CROATIA X X
UNICREDIT LEASING CZ, A.S. PRAGUE CZECH REPUBLIC X X

BOSNIA AND
UNICREDIT LEASING D.O.O. SARAJEVO HERCEGOVINA X X
UNICREDIT LEASING FLEET MANAGEMENT S.R.L. BUCAREST ROMANIA X X
UNICREDIT LEASING HUNGARY ZRT BUDAPEST HUNGARY X X
UNICREDIT LEASING IMMOTRUCK ZRT. BUDAPEST HUNGARY X X
UNICREDIT LEASING KFT BUDAPEST HUNGARY X X
UNICREDIT LEASING REAL ESTATE S.R.O. BRATISLAVA SLOVAKIA X X
UNICREDIT LEASING ROMANIA IFN S.A. BUCAREST ROMANIA X X
UNICREDIT LEASING SLOVAKIA A.S. BRATISLAVA SLOVAKIA X X
UNICREDIT LEASING SRBIJA D.O.O. BEOGRAD BELGRADE SERBIA X X
UNICREDIT LEASING TOB KIEV UKRAINE X X
UNICREDIT LEASING, LEASING, D.O.O. LJUBLJANA SLOVENIA X X
UNICREDIT LUNA LEASING GMBH VIENNA AUSTRIA X X
UNICREDIT LUXEMBOURG FINANCE SA LUXEMBURG LUXEMBOURG X X
UNICREDIT MOBILIEN LEASING GMBH VIENNA AUSTRIA X X
UNICREDIT PARTNER D.O.O BEOGRAD BELGRADE SERBIA X X
UNICREDIT PEGASUS LEASING GMBH VIENNA AUSTRIA X X
UNICREDIT POLARIS LEASING GMBH VIENNA AUSTRIA X X
35
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
UNICREDIT RENT D.O.O. BEOGRAD BELGRADE SERBIA X X
UNICREDIT TECHRENT LEASING GMBH VIENNA AUSTRIA X X
UNICREDIT ZEGA LEASING-GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
UNICREDIT-LEASING HOMONNA INGATLNHASZNOSITO KFT BUDAPEST HUNGARY X X
UNICREDIT-LEASING NEPTUNUS KFT BUDAPEST HUNGARY X X
UNICREDIT-LEASING SATURNUS KFT BUDAPEST HUNGARY X X
UNICREDITO ITALIANO CAPITAL TRUST I NEWARK U.S.A. X X
UNICREDITO ITALIANO CAPITAL TRUST II NEWARK U.S.A. X X
UNICREDITO ITALIANO CAPITAL TRUST III NEWARK U.S.A. X X
UNICREDITO ITALIANO CAPITAL TRUST IV NEWARK U.S.A. X X
UNICREDITO ITALIANO FUNDING LLC I DOVER U.S.A. X X
UNICREDITO ITALIANO FUNDING LLC II DOVER U.S.A. X X
UNICREDITO ITALIANO FUNDING LLC III DELAWARE U.S.A. X X
UNICREDITO ITALIANO FUNDING LLC IV DELAWARE U.S.A. X X
VANDERBILT CAPITAL ADVISORS LLC NEW YORK U.S.A. X X
VAPE COMMUNA LEASINGGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
WEALTH MANAGEMENT CAPITAL HOLDING GMBH MUNICH GERMANY X X
WEALTHCAP INVESTORENBETREUUNG GMBH MUNICH GERMANY X X
WEALTHCAP REAL ESTATE MANAGEMENT GMBH MUNICH GERMANY X X
WOM GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
XELION DORADCY FINANSOWI SP. ZOO VARSAW POLAND X X
YAPI KREDI FAKTORING AS ISTANBUL TURKEY X X
YAPI KREDI FINANSAL KIRALAMA AO ISTANBUL TURKEY X X
YAPI KREDI HOLDING BV AMSTERDAM NETHERLANDS X X
YAPI KREDI PORTFOY YONETIMI AS BARBAROS TURKEY X X
YAPI KREDI YATIRIM MENKUL DEGERLER AS ISTANBUL TURKEY X X
YAPI KREDI YATIRIM ORTAKLIGI AS ISTANBUL TURKEY X X
Z LEASING ALFA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

Z LEASING ARKTUR IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING AURIGA IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING CORVUS IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING DORADO IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING DRACO IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING GAMA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

Z LEASING GEMINI IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING HEBE IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

Z LEASING HERCULES IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING IPSILON IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING ITA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
Z LEASING JANUS IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

Z LEASING KALLISTO IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING KAPA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
Z LEASING KSI IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
Z LEASING LYRA IMMOBILIEN LEASING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X X

AS AT 30 JUNE 2008 36
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
Z LEASING NEREIDE IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING OMEGA IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING PERSEUS IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING SCORPIUS IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING TAURUS IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING VENUS IMMOBILIEN LEASING GESELLSCHAFT
Z LEASING VOLANS IMMOBILIEN LEASING GESELLSCHAFT
ZAO LOCAT LEASING RUSSIA MOSCOW RUSSIA X X
ZAO UNICREDIT ATON MOSCOW RUSSIA X X
Ancillary banking services entities
BA-CA ADMINISTRATION SERVICES GMBH VIENNA AUSTRIA X X
BALEA SOFT GMBH & CO. KG HAMBURG GERMANY X X
BALEA SOFT VERWALTUNGSGESELLSCHAFT MBH HAMBURG GERMANY X X
EUROPA FACILITY MANAGEMENT LTD. BUDAPEST HUNGARY X X
HVB GESELLSCHAFT FUR GEBAUDE MBH & CO KG MUNICH GERMANY X X
HVB INFORMATION SERVICES GMBH MUNICH GERMANY X X
HVZ GMBH & CO. OBJEKT KG MUNICH GERMANY X X
HYPERION IMMOBILIENVERMIETUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
HYPOVEREINSFINANCE N.V. AMSTERDAM NETHERLANDS X X
IMMOBILIARE PIEMONTE S.P.A ROME ITALY X X
KYNESTE S.P.A. ROME ITALY X X

LASSALLESTRASSE BAU-, PLANUNGS-, ERRICHTUNGS- UND
VERWERTUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X X
LOCALMIND SPA MILAN ITALY X X
POMINVEST DD SPLIT CROATIA X X

PORTIA GRUNDSTUCKS-VERWALTUNGSGESELLSCHAFT MBH &
CO. OBJEKT KG MUNICH GERMANY X X
QUERCIA SOFTWARE SPA VERONA ITALY X X
REIMMOBILIARE S.P.A. ROME ITALY X X

SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO.
OHG VERWALTUNGSZENTRUM MUNICH GERMANY X X
SOFIGERE SOCIETE PAR ACTIONS SIMPLIFIEE PARIS FRANCE X X

TELEDATA CONSULTING UND SYSTEMMANAGEMENT
TIVOLI GRUNDSTUCKS-AKTIENGESELLSCHAFT MUNICH GERMANY X X
TRIVIMM SRL VERONA ITALY X X
UNI IT SRL LAVIS ITALY X X
UNICREDIT AUDIT SPA MILAN ITALY X X

UNICREDIT BANCASSURANCE MANAGEMENT &
ADMINISTRATION SRL MILAN ITALY X X
UNICREDIT GLOBAL INFORMATION SERVICES SPA MILAN ITALY X X
UNICREDIT LEASING FUHRPARKMANAGEMENT GMBH VIENNA AUSTRIA X X

UNICREDIT PROCESSES & ADMINISTRATION SOCIETA PER
AZIONI COLOGNO MONZESE ITALY X X
UNICREDIT REAL ESTATE SPA GENUA ITALY X X
UNIMANAGEMENT SRL TURIN ITALY X X
WAVE SOLUTIONS INFORMATION TECHNOLOGY GMBH VIENNA AUSTRIA X X
37
SUBSIDIARIES DEDUCTED FROM CAPITAL
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Banks
BANK AUSTRIA CREDITANSTALT REAL INVEST IMMOBILIEN-
KAPITALANLAGE GM BH VIENNA AUSTRIA X
BANK ROZWOJU ENERGETYKI I OCHRONY SWODOWISKA S.A.
MEGABANK IN LIQUIDATION VARSAW POLAND X
HVB BANCA PENTRU LOCUINTE S.A. BUCAREST ROMANIA X
MEZZANIN FINANZIERUNGS AG VIENNA AUSTRIA X
Financial entities
AB IMMOBILIENVERWALTUNGS - GMBH & CO XENOR KG MUNICH GERMANY X
ACTIVE BOND PORTFOLIO MANAGEMENT GMBH GRUNWALD GERMANY X
ARANY PENZUGYI LIZING ZRT. BUDAPEST HUNGARY X
ATF FINANCE JSC ALMATY CITY KAZAKHSTAN X
BACA EXPORT FINANCE LIMITED LONDON UNITED KINGDOM X

BANK AUSTRIA AKTIENGESELLSCHAFT & CO EDV LEASING
OHG VIENNA AUSTRIA X
BANK AUSTRIA FINANZSERVICE GMBH VIENNA AUSTRIA X
BANK AUSTRIA-CEE BETEILIGUNGS GMBH VIENNA AUSTRIA X
BARODA PIONEER ASSET MANAGEMENT COMPANY LTD MUMBAI INDIA X
BIL BETEILIGUNGSTREUHAND GMBH MUNICH GERMANY X
BIL LEASING-FONDS GMBH & CO VELUM KG MUNICH GERMANY X
BIL V & V VERMIETUNGS GMBH MUNICH GERMANY X
BLUE CAPITAL STIFTUNGSTREUHAND GMBH HAMBURG GERMANY X
BV FINANCE PRAHA S.R.O. (IN LIQUIDATION) PRAGUE CZECH REPUBLIC X
BV GRUNDSTUCKSENTWICKLUNGS-GMBH MUNICH GERMANY X
CAFU VERMOGENSVERWALTUNG GMBH VIENNA AUSTRIA X
CAFU VERMOGENSVERWALTUNG GMBH & CO. OEG VIENNA AUSTRIA X
CARDS & SYSTEMS EDV-DIENSTLEISTUNGS GMBH VIENNA AUSTRIA X
CDT ADVISOR S.A., LUXEMBURG LUXEMBURG LUXEMBOURG X
CENTRAL POLAND FUND LLC DELAWARE U.S.A. X
CO.RI.T. S.P.A. IN LIQUIDAZIONE ROME ITALY X
COFIRI S.P.A. IN LIQUIDAZIONE ROME ITALY X
DINERS CLUB CEE HOLDING AG VIENNA AUSTRIA X
EK MITTELSTANDSFINANZIERUNGS AG VIENNA AUSTRIA X
EUROVENTURES-AUSTRIA-CA-MANAGEMENT GESMBH VIENNA AUSTRIA X
FAMILY TRUST MANAGEMENT EUROPE S. A. LUXEMBURG LUXEMBOURG X
FINANZBERATUNG F.4.5 GMBH I.L. MUNICH GERMANY X
FINECO FINANCE LTD DUBLIN IRELAND X

GE.S.E.T.T. - GESTIONE SERVIZI ESAZIONE TRIBUTI E
TESORERIE S.P.A. IN LIQUIDAZIONE NAPLES ITALY X
GUS CONSULTING GMBH VIENNA AUSTRIA X
HVB ASIA LIMITED WILMINGTON SINGAPORE X
HVB CONSULT GMBH MUNICH GERMANY X
HVB EXPORT LEASING GMBH MUNICH GERMANY X
HVB GLOBAL ASSETS COMPANY (GP), LLC NEW YORK U.S.A. X
HVB INTERNATIONAL ASSET LEASING GMBH MUNICH GERMANY X
HVB LEASING INTERNATIONAL GMBH & CO. KG HAMBURG GERMANY X
HVB LEASING LIMITED PARTNERSHIP WILMINGTON U.S.A. X
HVB LONDON INVESTMENTS (AVON) LIMITED LONDON UNITED KINGDOM X

AS AT 30 JUNE 2008 38
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
HVB LONDON INVESTMENTS (CAM) LIMITED LONDON UNITED KINGDOM X
HVB LONDON TRADING LTD. LONDON UNITED KINGDOM X
HVB PRINCIPAL EQUITY GMBH MUNICH GERMANY X
HVB RATING ADVISORY GMBH MUNICH GERMANY X
HVB VERWA 1 GMBH MUNICH GERMANY X
HVBFF BETEILIGUNGSTREUHAND GMBH MUNICH GERMANY X
HVBFF INTERNATIONALE LEASING GMBH MUNICH GERMANY X
HVBFF OBJEKT BETEILIGUNGS GMBH MUNICH GERMANY X
HVBFF PRODUKTIONSHALLE GMBH MUNICH GERMANY X
HVBFF VERWALTUNGS GMBH MUNICH GERMANY X
III-INVESTMENTS LUXEMBOURG S.A. LUXEMBURG LUXEMBOURG X
KERES FINANCE S.R.L. CONEGLIANO VENETO ITALY X
LB FONDS BERATUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X
LENG LOI LIMITED HONG KONG CHINA X
LIFE MANAGEMENT ERSTE GMBH MUNICH GERMANY X
LIFE MANAGEMENT ZWEITE GMBH GRUNWALD GERMANY X
LLC AI LINE MOSCOW RUSSIA X
LTD SI&C AMC UKRSOTS REAL ESTATE KIEV UKRAINE X
M.A.I.L. FINANZBERATUNG GESELLSCHAFT M.B.H. VIENNA AUSTRIA X
MCC - SOFIPA INTERNATIONAL S.A. EN LIQUIDATION BRUXELLES BELGIUM X
MOVIE MARKET BETEILIGUNGS GMBH MUNICH GERMANY X
PAYTRIA UNTERNEHMENSBETEILIGUNGEN GMBH VIENNA AUSTRIA X
REAL INVEST VERMOGENSBERATUNG GMBH VIENNA AUSTRIA X
SCHOELLERBANK INVEST AG SALZBURG AUSTRIA X
SERIT S.P.A. IN LIQUIDAZIONE ROME ITALY X
SPAGET S.P.A. IN LIQUIDAZIONE ROME ITALY X
STATUS VERMOGENSVERWALTUNG GMBH HAMBURG GERMANY X
STRUCTURED INVEST SOCIETE ANONYME LUXEMBURG LUXEMBOURG X
TAI TAM LIMITED LONDON UNITED KINGDOM X
TERRONDA DEVELOPMENT B.V. AMSTERDAM NETHERLANDS X

TRINITRADE VERMOGENSVERWALTUNGS-GESELLSCHAFT MIT
BESCHRANKTER HAFTUNG MUNICH GERMANY X
TRIPLE A RATING ADVISORS BERATUNG GES.M.B.H. VIENNA AUSTRIA X
UKRSOTSFINANCE JSC LIMITED KIEV UKRAINE X
UNICREDIT (SUISSE) TRUST SA LUGANO SWITZERLAND X
UNICREDIT (U.K.) TRUST SERVICES LTD LONDON UNITED KINGDOM X
UNICREDIT BEIJING CONSULTANTS COMPANY LTD BEIJING CHINA X
UNICREDIT CA IB BULGARIA EOOD SOFIA BULGARIA X
UNICREDIT CA IB SECURITIES ROMANIA S.A. BUCAREST ROMANIA X
UNICREDIT CAPITAL MARKETS INC. NEW YORK U.S.A. X
UNICREDIT CHINA CAPITAL LTD HONG KONG CHINA X
UNICREDIT FACTORING PENZUGYI SZOLGALTATO ZRT BUDAPEST HUNGARY X
UNICREDIT FACTORING S.R.O. PRAGUE CZECH REPUBLIC X
US PROPERTY INVESTMENTS INC. DALLAS U.S.A. X
VERBA VERWALTUNGSGESELLSCHAFT MBH MUNICH GERMANY X
VEREINWEST OVERSEAS FINANCE (JERSEY) LIMITED ST. HELIER JERSEY X
39
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Financial entities
VINTNERS LONDON INVESTMENTS (NILE) LIMITED GEORGE TOWN CAYMAN ISLANDS X

VVB GESELLSCHAFT ZUR VERMITTLUNG VON
FINANZDIENSTLEISTUNGEN MBH I.L. MUNICH GERMANY X
AB IMMOBILIENVERWALTUNGS-GMBH MUNICH GERMANY X
ATF INKASSATSIYA LTD ALMATY CITY KAZAKHSTAN X
BA CREDITANSTALT ALPHA D.O.O. BEOGRAD BELGRADE SERBIA X
BA-CA BETRIEBSOBJEKTE GMBH VIENNA AUSTRIA X
BA-CA PRIVATE EQUITY GMBH VIENNA AUSTRIA X
BA-CA-GVG-HOLDING GMBH VIENNA AUSTRIA X
BANKING TRANSACTION SERVICES S.R.O. PRAGUE CZECH REPUBLIC X X
BASICA S.P.A. IN LIQUIDAZIONE POTENZA ITALY X
BAVARIA SERVICOS DE REPRESENTACAO COMERCIAL LTDA. SAO PAULO BRAZIL X
BIL LEASING-FONDS VERWALTUNGS-GMBH MUNICH GERMANY X

BLUE CAPITAL INITIATOREN GMBH (EX AD ACTA 642.
VERMOGENSVERWALTUNGSGESELLSCHAFT MBH) HAMBURG GERMANY X
BPH REAL ESTATE SA VARSAW POLAND X
CAE PRAHA A.S. PRAGUE CZECH REPUBLIC X

CENTRUM BANKOWOSCI BEZPOSREDNIEJ SPOLKA Z
OGRANICZONA ODPOWIEDZIALNOSC CRACOW POLAND X
CENTRUM USLUG KSIEGOWYCH SPOLKA Z O.O. CRACOW POLAND X
DOMUS BISTRO GMBH VIENNA AUSTRIA X X
DOMUS CLEAN REINIGUNGS GMBH VIENNA AUSTRIA X X
DOMUS FACILITY MANAGEMENT GMBH VIENNA AUSTRIA X X

DUSSELDORF-MUNCHENER BETEILIGUNGSGESELLSCHAFT
MBH MUNICH GERMANY X
FINANCIAL RISK MANAGEMENT GMBH VIENNA AUSTRIA X
FOOD & MORE GMBH MUNICH GERMANY X
GANYMED IMMOBILIENVERMIETUNGSGESELLSCHAFT M.B.H. VIENNA AUSTRIA X

GRUNDSTUCKSGESELLSCHAFT SIMON BESCHRANKT
HAFTENDE KOMMANDITGESELLSCHAF MUNICH GERMANY X
HUMAN RESOURCES SERVICE AND DEVELOPMENT GMBH VIENNA AUSTRIA X

HVB DIREKT GESELLSCHAFT FUR DIREKTSERVICE UND
DIREKTVERTRIEB MBH MUNICH GERMANY X
HVB FINANCE LONDON LIMITED LONDON UNITED KINGDOM X
HVB GESELLSCHAFT FUR GEBAUDE BETEILIGUNGS GMBH MUNICH GERMANY X
HVB REALITY CZ, S.R.O. PRAGUE CZECH REPUBLIC X
HVB SECUR GMBH MUNICH GERMANY X

SOUTH AFRICAN
HVB SERVICES SOUTH AFRICA (PROPRIETARY) LIMITED JOHANNESBURG REPUBLIC X
HYPO-BANK VERWALTUNGSZENTRUM GMBH MUNICH GERMANY X
HYPOVEREINS IMMOBILIEN EOOD SOFIA BULGARIA X X
IMMOBILIEN RATING GMBH VIENNA AUSTRIA X
KLEA ZS-IMMOBILIENVERMIETUNG G.M.B.H. VIENNA AUSTRIA X
KLEA ZS-LIEGENSCHAFTSVERMIETUNG G.M.B.H. VIENNA AUSTRIA X
LIMITED LIABILITY COMPANY B.A. REAL ESTATE MOSCOW RUSSIA X X
MARKETING ZAGREBACKE BANKE DOO ZAGREB CROATIA X X

MERKURHOF GRUNDSTUCKSGESELLSCHAFT MIT
BESCHRANKTER HAFTUNG HAMBURG GERMANY X
MY DREI HANDELS GMBH VIENNA AUSTRIA X
NADINION VERWALTUNGSGESELLSCHAFT MBH MUNICH GERMANY X
PALAIS ROTHSCHILD VERMIETUNGS GMBH VIENNA AUSTRIA X

AS AT 30 JUNE 2008 40
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
PALAIS ROTHSCHILD VERMIETUNGS GMBH & CO OEG VIENNA AUSTRIA X

PORTIA GRUNDSTUCKSVERWALTUNGS-GESELLSCHAFT MIT
BESCHRANKTER HAFTUNG MUNICH GERMANY X
PROPERTY SP. Z.O.O. (IN LIQUIDAZIONE) VARSAW POLAND X
SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH MUNICH GERMANY X

SALVATORPLATZ-GRUNDSTUCKSGESELLSCHAFT MBH & CO.
OHG SAARLAND MUNICH GERMANY X
SAS-REAL KFT. BUDAPEST HUNGARY X

SOCIETA' AMMINISTRAZIONE IMMOBILI - S.A.IM. S.P.A. IN
LIQUIDAZIONE ROME ITALY X
SOCIETA' ITALIANA GESTIONE ED INCASSO CREDITI S.P.A. IN
LIQUIDAZIONE ROME ITALY X
TC-QUINTA PROJEKTVERWALTUNGSGESELLCHAFT M.B.H. VIENNA AUSTRIA X
UNICREDIT AUDIT (IRELAND) LTD DUBLIN IRELAND X

BOSNIA AND
UPI POSLOVNI SISTEM DOO SARAJEVO HERCEGOVINA X
VERWALTUNGSGESELLSCHAFT KATHARINENHOF MBH HAMBURG GERMANY X

WEILBURG GRUNDSTUCKVERMIETUNGSGESELLSCHAFT
M.B.H. VIENNA AUSTRIA X
ZAGREB NEKRETNINE DOO ZAGREB CROATIA X X

BOSNIA AND
ZANE BH DOO SARAJEVO HERCEGOVINA X X
41
SUBSIDIARIES ADDED TO RWA
consolidation in
F/S
fully consolidated
full consolidated
Company name
consolidated
proportional
proportional
consolidatio
RWA
Town Country
Banks
HVB SINGAPORE LIMITED SINGAPORE SINGAPORE X
Financial entities
B.I. INTERNATIONAL LIMITED GEORGE TOWN CAYMAN ISLANDS X
CA IB CORPORATE FINANCE OOO MOSCOW RUSSIA X X X
CA IB D.D. ZAGREB CROATIA X X
CA IB SECURITIES (UKRAINE) AT KIEV UKRAINE X X
CAMERON GRANVILLE 2 ASSET MANAGEMENT INC TAGUIG PHILIPPINES X
CAMERON GRANVILLE 3 ASSET MANAGEMENT INC. TAGUIG PHILIPPINES X
CAMERON GRANVILLE ASSET MANAGEMENT (SPV-AMC) , INC TAGUIG PHILIPPINES X
COBB BETEILIGUNGEN UND LEASING GMBH VIENNA AUSTRIA X
DINERS CLUB CZECH REPUBLIC S.R.O. PRAGUE CZECH REPUBLIC X
DINERS CLUB POLSKA SP.Z.O.O. VARSAW POLAND X
DINERS CLUB SLOVAKIA S.R.O. BRATISLAVA SLOVAKIA X
FM BETEILIGUNGS-GMBH VIENNA AUSTRIA X
GRUNDERFONDS GMBH & CO KEG VIENNA AUSTRIA X
HVB ASIA ADVISERS SDN. BHD. KUALA LAMPUR MALAYSIA X
HVB ASSET LEASING LIMITED LONDON UNITED KINGDOM X
HVB ASSET MANAGEMENT ASIA LTD. SINGAPORE SINGAPORE X
HVB AUSTRALIA PTY LTD. SYDNEY AUSTRALIA X
HVB CAPE BLANC LLC WILMINGTON U.S.A. X
HVB REALTY CAPITAL INC. NEW YORK U.S.A. X
HVBFF INTERNATIONAL GREECE GMBH MUNICH GERMANY X
LB HOLDING GESELLSCHAFT M.B.H. VIENNA AUSTRIA X
REAL INVEST IMMOBILIEN GMBH VIENNA AUSTRIA X
SFS FINANCIAL SERVICES GMBH VIENNA AUSTRIA X
UNICREDIT CA IB ROMANIA SRL BUCAREST ROMANIA X X
UNICREDIT CAIB CZECH REPUBLIC AS PRAGUE CZECH REPUBLIC X X
UNICREDIT CAIB HUNGARY LTD BUDAPEST HUNGARY X X
UNICREDIT CAIB SERBIA LTD BELGRADE BELGRADE SERBIA X X
UNICREDIT CAIB SLOVAKIA, A.S. BRATISLAVA SLOVAKIA X X
UNICREDIT CAIB UK LTD. LONDON UNITED KINGDOM X X
UNICREDIT LEASING AUTO BULGARIA EOOD SOFIA BULGARIA X X
ZAO IMB-LEASING MOSCOW RUSSIA X X
ZB INVEST DOO ZAGREB CROATIA X X
BA-CA BETRIEBSOBJEKTE AG & CO BETA VERMIETUNGS OEG VIENNA AUSTRIA X
BA-CA BETRIEBSOBJEKTE PRAHA SPOL.S.R.O. PRAGUE CZECH REPUBLIC X
HVB FINANCNE SLUZBY S.R.O. BRATISLAVA SLOVAKIA X
MILARIS S.A. EN LIQUIDATION PARIS FRANCE X

VEREINSBANK LEASING INTERNATIONAL
VERWALTUNGSGESELLSCHAFT MBH HAMBURG GERMANY X
WAVE SOLUTIONS HUNGARY BANK ES PENZUGYTECHNIKAI
TANACSADA KFT. BUDAPEST HUNGARY X

AS AT 30 JUNE 2008 42
Table 3 – Supervisory capital structure
Capital instruments included in Tier 1 capital
Amounts as at June 30, 2008 – (€ thousand)
Amount
Starting date Amount in
included in Option to
maturity of original step-up Issued through a
Interest rate Regulatory suspend interest
date prepayment currency clause SPV subsidiary
Capital payment
option (million)
(Eur/000)
8,05% perpetual oct-10 EUR 540 540.000 yes yes yes

9,20% perpetual oct-10 USD 450 285.460 yes yes yes
4,03% perpetual oct-15 EUR 750 750.000 yes yes yes
5,40% perpetual oct-15 GBP 300 378.668 yes yes yes
8,59% 31-dec-50 jun-18 GBP 350 442.140 yes yes yes
7,055% perpetual mar-12 EUR 600 600.000 yes no yes
12m L + 1,25% 7-jun-11 (°) EUR 300 290.000 no no no
12m L + 1,25% 7-jun-11 (°) EUR 200 200.000 no no no
8,741% 30-jun-31 jun-29 USD 300 190.110 no yes yes
7,76% 13-oct-36 oct-34 GBP 100 126.230 no yes yes
9,00% 22-oct-31 oct-29 USD 200 126.740 no yes yes
3,50% 31-dec-31 dec-29 JPY 25.000 150.150 no yes yes
10y CMS (°°) +0,10%,

perpetual oct-11 EUR 245 248.800 no no no
cap 8,00 %
10y CMS (°°) +0,15%,

perpetual mar-12 EUR 147 149.756 no no no
cap 8,00 %
(°°°) perpetual dec-11 EUR 10 10.778 no no sì
TOTALE 4.488.832
(*) Prepayment option is not available
(**) Constant Maturity Swap
(***) Interest is linked to results of the company
Tier 2 capital – upper tier 2 instruments which account for more then 10% of
the total issued amount:
Amounts as at June 30, 2008 – (€ thousand)
Amount
Amount in
Starting date of included in Option to
Interest maturity original step-up
prepayment Regulatory suspend interest
rate date currency clause
option Capital payment
(million)
(Eur/000)
3,95% 1-feb-16 not applicable EUR 900 897.452 not applicable Yes (°)
5,00% 1-feb-16 not applicable GBP 450 567.153 not applicable Yes (°)
6,70% 5-jun-18 not applicable EUR 1.000 998.232 not applicable Yes (°)
6,10% 28-feb-12 not applicable EUR 500 489.860 not applicable Yes (°)
(*) -- if dividend is not paid, payment of intertest is suspended (deferral of interest)
-- if losses take share capital and reserves under the threshold set by Banca d'Italia to authorize banking business,
face value and interest are proportionally reduced
43
Quantitative disclosure
(€ thousand)
Composition of capital for regulatory purposes
CAPITAL FOR REGULATORY PURPOSES 06/30/2008
A. Tier 1 before solvency filters

A.1 Tier 1 positive items:
A.1.1 - Capital 7.323.240
A.1.2 - Share premium account 35.576.021
A.1.3 - Reserves 15.517.447
A.1.4 - Non-innovative capital instruments 1.492.564
A.1.5 - Innovative capital instruments 2.996.268
A.1.6 - Net income of the period/Interim profit 1.445.842
A.2 Tier 1 negative items:
A.2.1 - Treasury stocks -880.754
A.2.2 - Goodwill -21.268.274
A.2.3 - Other intangible assets -4.208.770
A.2.4 - Loss of the year/Interim loss
A.2.5 - Other negative items:
* Value adjustments calculated on the supervisory trading book
* Others
B. Tier 1 solvency filters
B.1 Positive IAS/IFRS solvency filters (+)
B.2 Negative IAS/IFRS solvency filters (-) -459.751
C. Tier 1 capital gross of items to be deducted (A+B) 37.533.833
D. Items to be deducted -1.903.740
E. Total TIER 1 (C-D) 35.630.093
F. Tier 2 before solvency filters
F.1 Tier 2 positive items:
F.1.1 - Valuation reserves of tangible assets
F.1.2 - Valuation reserves of available-for-sale securities 401.306
F.1.3 - Non-innovative capital instruments not eligible for inclusion in Tier 1 capital
F.1.4 - Innovative capital instruments not eligible for inclusion in Tier 1 capital
F.1.5 - Hybrid capital instruments 4.266.025
F.1.6 - Tier 2 subordinated liabilities 18.766.916
F.1.7 - Surplus of the overall value adjustments compared to the expected losses
F.1.8 - Net gains on participating interests
F.1.9 - Other positive items 277.495
F.2 Tier 2 negative items:
F.2.1 - Net capital losses on participating interests
F.2.2 - Loans
F.2.3 - Other negative items
G. Tier 2 solvency filters
G.1 Positive IAS/IFRS solvency filters (+)
G.2 Negative IAS/IFRS solvency filters (-) -200.653
H. Tier 2 capital gross of items to be deducted (F+G) 23.511.089
I. Items to be deducted -1.903.740
L. Total TIER 2 (H-I) 21.607.349
M. Deductions from Tier 1 and Tier 2 -980.751
N. Capital for regulatory purposes (E+L-M) 56.256.691
O. Tier 3 640.778
P Capital for regulatory purposes included Tier 3 (N+O) 56.897.469
The amounts of negative difference between expected losses and related write-downs is €638.715 thousand.

AS AT 30 JUNE 2008 44
Table 4 – Capital adequacy
The UniCredit Group has made a priority of capital management and allocation (for both regulatory and internal
capital) on the basis of the risk assumed in order to expand the Group’s operations and create value. These activities
are part of the Group planning and monitoring process and comprise:
 planning and budgeting processes:
- proposals as to risk propensity and capitalisation objectives;
- analysis of risk associated with value drivers and allocation of capital to business areas and
units;
- assignment of risk-adjusted performance objectives;
- analysis of the impact on the Group’s value and the creation of value for shareholders;
- preparation and proposal of the financial plan and dividend policy;
 monitoring processes
- analysis of performance achieved at Group and business unit level and preparation of
management reports for internal and external use;
- analysis and monitoring of limits;
- analysis and performance monitoring of the capital ratios of the Group and individual companies.
The Group has set itself the goal of generating income in excess of that necessary to remunerate risk (cost of equity),
and thus of creating value, so as to maximise the return for its shareholders in terms of dividends and capital gains
(total shareholder return). This is achieved by allocating capital to various business areas and business units on the
basis of specific risk profiles and by adopting a methodology based on risk-adjusted performance measurement
(RAPM), which will provide, in support of planning and monitoring processes, a number of indicators that will combine
and summarise the operating, financial and risk variables to be considered.
Capital and its allocation are therefore extremely important for strategy, since capital is the object of the return
expected by investors on their investment in the Group, and also because it is a resource on which there are external
limitations imposed by regulatory provisions.
The definitions of capital used in the allocation process are as follows:
 Risk or employed capital: This is the equity component provided by shareholders (employed capital) for
which a return that is greater than or equal to expectations (cost of equity) must be provided;
 Capital at risk: This is the portion of capital and reserves that is used (the budgeted amount or allocated
capital) or was used to cover (at period-end - absorbed capital) risks assumed to pursue the objective of
creating value.
Capital at risk is dependant on the propensity for risk and is based on the target capitalisation level which is also
determined in accordance with the Group’s credit rating.
If capital at risk is measured using risk management methods, it is defined as internal capital, if it is measured using
regulatory provisions, it is defined as regulatory capital. In detail:
45
 Internal capital is the portion of equity that is actually at risk, which is measured using probability models
over a specific confidence interval.
 Regulatory capital is the component of total capital represented by the portion of shareholders’ equity put at
risk (Core Equity or Core Tier 1) that is measured using regulatory provisions.
Internal capital and regulatory capital differ in terms of their definition and the categories of risk covered. The former
is based on the actual measurement of exposure assumed, while the latter is based on schedules specified in
regulatory provisions.
The relationship between the two different definitions of capital at risk can be obtained by relating the two measures
to the Group’s target credit rating (AA- by S&P) which corresponds to a probability of default of 0.03%. Thus, internal
capital is set at a level that will cover adverse events with a probability of 99.97% (confidence interval), while
regulatory capital is quantified on the basis of a Core Tier 1 target ratio in line with that of major international banking
groups with at least the same target rating.
Thus, during the application process the “double track” approach is used which assumes that allocated capital is the
greater of internal capital and regulatory capital (Core Tier 1) at both the consolidated and business area or business
unit levels.
If internal capital is higher, this approach makes it possible to allocate the actual capital at risk that regulators have
not yet been able to incorporate, and if regulatory capital is higher, it is possible to allocate capital in keeping with
regulatory provisions.
The starting point for the capital allocation process is consolidated capital attributable to the Group.
The purpose of the capital management function performed by the Capital Allocation unit of Planning, Finance and
Administration is to define the target level of capitalisation for the Group and its companies in line with regulatory
restrictions and the propensity for risk.
Capital is managed dynamically: the Capital Allocation unit prepares the financial plan, monitors capital ratios for
regulatory purposes on a monthly basis and anticipates the appropriate steps required to achieve its goals.
On the one hand, monitoring is carried out in relation to both shareholders’ equity and the composition of capital for
regulatory purposes (Core Tier 1, Tier 1, Lower and Upper Tier 2 and Tier 3 Capital), and on the other hand, in
relation to the planning and performance of risk-weighted assets (RWA).
The dynamic management approach aims to identify the investment and capital-raising instruments and hybrid
capital instruments that are most suitable for achieving the Group’s goals. If there is a capital shortfall, the gaps to be
filled and capital generation measures are indicated, and their cost and efficiency are measured using RAPM. In this
context, value analysis is enhanced by the joint role played by the Capital Allocation unit in the areas of regulatory,
accounting, financial, tax-related, risk management and other aspects and the changing regulations affecting these
aspects so that an assessment and all necessary instructions can be given to other Group HQ areas or the
companies asked to perform these tasks.

AS AT 30 JUNE 2008 46
(€ thousand)
Capital adequacy
Categories/Items RWA Requirement
A. CAPITAL REQUIREMENTS
A.1 Credit and counterparty risk 485.054.586 38.804.367

1. Standardized approach 317.482.031 25.398.563
2. IRB approaches
2.1 Foundation
2.1 Advanced 162.642.222 13.011.378
3. Securitizations 4.930.334 394.427
A.2 Market risk 1.732.806

1. Standardized approach 948.711
2. Internal models approach 784.095
A.3 Operational risk 3.392.185

1. Basic indicator approach (BIA) 392.416
2. Traditional standardized approach (TSA) 1.229.461
3. Advanced measurement approach (AMA) 1.770.308
A.4 Other requirements -
A.5 Total capital requirements (A.1+A.2+A.3+A.4) 43.929.358
B. RISK ASSETS AND CAPITAL RATIOS

B.1 Weighted risk assets 549.116.974
B.2 TIER 1 capital/Weighted risk assets (TIER 1 capital ratio) 6,49%
B.3 Capital for regulatory purposes (included TIER 3)/Weighted risk assets
10,36%
(Total capital ratio)
47
Table 5 – Credit risk: general disclosures
for all banks
Definition of impaired and past-due exposures
Impaired loans and receivables are divided into the following categories:
 Non-performing loans - formally impaired loans, being exposure to insolvent borrowers, even if the
insolvency has not been recognised in a court of law, or borrowers in a similar situation: measurement is
on a loan-by-loan or portfolio basis;
 Doubtful loans - exposure to borrowers experiencing temporary difficulties, which the Group believes
may be overcome within a reasonable period of time: measurement is generally on a loanby- loan basis
or, for loans singularly not significant, on a portfolio basis for homogeneous categories of loans;
 Restructured loans - exposure to borrowers with whom a rescheduling agreement has been entered into
including renegotiated pricing at interest rates below market, the conversion of part of a loan into shares
and/or reduction of principal: measurement is on a loan-by-loan basis, including the present value of
losses due to loan rates being lower than funding cost.
 Past-due loans - total exposure to any borrower not included in the other categories, who at the balance-
sheet date has expired facilities or unauthorised overdrafts that are more than 180 days past due. Total
exposure is recognised in this category if, at the balance-sheet date, either:
- - the expired or unauthorised borrowing;
or:
- the average daily amount of expired or unauthorised borrowings during the last preceding
quarter are equal to or exceed 5% of total exposure.
Measurement is on a portfolio basis using historical and statistical information.
Collective assessment is used for groups of loans for which individually there are no indicators of impairment, but to
which latent impairment can be attributed, inter alia on the basis of the risk factors in use under Basel II.
Description of methodology applied to determinate the write-downs
Loans and receivables are non-derivative financial assets with fixed or determinable payments that are not quoted in
an active market. Loans and receivables are recognised on the date of contract signing, which normally coincides
with the date of disbursement to the borrower.
These items include debt instruments with the same characteristics.

AS AT 30 JUNE 2008 48
After initial recognition at fair value, which usually is the price paid including transaction costs and income which are
directly attributable to the acquisition or issuance of the financial asset (even if not paid), a loan or receivable is
measured at amortised cost using the effective interest method, allowances or reversals of allowances being made
where necessary on remeasuring.
A gain or loss on loans and receivables that are not part of a hedging relationship is recognised in profit or loss:
 when a loan or receivable is derecognised: in item 100 (a) “Gains (losses) on disposal”;
or:
 when a loan or receivable is impaired: in item 130 (a) “Impairment losses (a) loans and receivables”.
Interest on loans and receivables is recognised in profit or loss on an accruals basis under item 10 “Interest income
and similar revenue”.
Delay interest is taken to the income statement on collection or receipt.
A loan or receivable is deemed impaired when it is considered that it will probably not be possible to recover all the
amounts due according to the contractual terms, or equivalent value.
Allowances for impairment of loans and receivables are based on the present value of expected cash flows of
principal and interest less recovery costs and any prepayments received; in determining the present value of future
cash flows, the basic requirement is the identification of estimated collections, the timing of payments and the rate
used.
The amount of the loss on impaired exposure classified as nonperforming, doubtful or restructured according to the
categories specified below, is the difference between the carrying value and the present value of estimated cash
flows discounted at the original interest rate of the financial asset. If the original interest rate on a financial asset
discounted for the first time in the year of changeover to IFRS, was not available, or obtaining it would have been too
costly, the average interest rate on unimpaired positions in the year in which the original impairment of the asset was
recognised, is used. This rate is maintained in all later years.
Recovery times are estimated on the basis of any repayment schedules agreed with the borrower or included in a
business plan or reasonably predicted, based on historical recovery experience observed for similar classes of loans,
taking into account the type of loan, the geographical location, the type of security and any other factors considered
relevant.
Loans and receivables are reviewed to identify those that, following events occurring after initial recognition, display
objective evidence of possible impairment. These problem loans are reviewed and analysed periodically at least once
a year. Any subsequent change vis-à-vis initial expectations of the amount or timing of expected cash flows of
principal and interest causes a change in allowances for impairment and is recognised in profit or loss in item 130(a)
“Impairment losses (a) loans and receivables”.
If the quality of the loan or receivable has improved and there is reasonable certainty that principal and interest will be
recovered in a timely manner according to contractual terms, a reversal is made in the same profit or loss item, within
the amount of the amortised cost that there would have been if there had been no impairments.
Derecognition of a loan or receivable in its entirety is made when the loan or receivable is deemed to be irrecoverable
or is written off. Write-offs are recognised directly in profit or loss under item 130(a) “Impairment losses (a) loans and
receivables” and reduce the amount of the principal of the loan or receivable. Reversals of all or part of previous
impairment losses are recognised in the same item.
49
(€ thousand)
Credit and counterparty risk
AMOUNTS AS AT 06/30/2008
CREDIT AND COUNTERPARTY RISK

NON-WEIGHTED WEIGHTED REQUIREMENT
AMOUNTS AMOUNTS
A. CREDIT AND COUNTERPARTY RISK

A.1 STANDARDIZED APPROACH - RISK ASSETS 696.161.921 317.482.031 25.398.563
A.1.1. Exposures with or secured by central governments or central
banks 61.980.475 5.323.233 425.859
A.1.2. Exposures with or secured by regional administrations and local authorities
35.535.373 2.010.023 160.802
A.1.3. Exposures with or secured by administrative bodies and non-
commercial undertakings 14.630.416 3.658.817 292.705
A.1.4. Exposures with or secured by multilateral development banks 522.630 3.423 274
A.1.5. Exposures with or secured by international organizations 96.861 1.332 107
A.1.6. Exposures with or secured by supervised institutions 69.164.309 11.875.749 950.060
A.1.7. Exposures with or secured by corporates 296.836.139 182.816.542 14.625.324
A.1.8. Retail exposures 106.067.418 49.643.886 3.971.511
A.1.9. Exposures secured by real estate property 62.464.467 26.099.756 2.087.980
A.1.10. Past due exposures 8.492.226 9.232.377 738.590
A.1.11. High risk exposures 1.709.463 1.808.995 144.720
A.1.12. Exposures in the form of guaranteed bank bonds (covered bond) 2.784.569 271.838 21.747
A.1.13. Short term exposures with corporates 1.587.268 571.077 45.686
A.1.14. Exposures in the form of Collective Investment Undertakings
(CIU) 2.028.429 1.317.756 105.420
A.1.15. Other exposures 32.261.878 22.847.227 1.827.778
A.2 IRB APPROACH - RISK ASSETS 500.325.298 159.867.119 12.789.370
A.2.1. Exposures with or secured by central administration and central
banks 5.703.572 199.513 15.961
A.2.2. Exposures with or secured by supervised institutions, public and
territorial entities and other entities 143.538.637 18.775.358 1.502.029
A.2.3. Exposures with or secured by corporate 221.354.024 98.888.188 7.911.055
A.2.4. Retail exposures secured by residential real estate property 75.677.250 18.567.087 1.485.367
A.2.5. Qualified revolving retail exposures 7.765.986 2.104.195 168.336
A.2.6. Other retail exposures 42.405.466 17.134.821 1.370.786
A.2.7. Purchased receivables: diluition risk 0 0 0
A.2.8. Other assets 34.261.864 1.114.570 89.166
A.2.9. Specialized lending - slotting criteria 3.819.314 3.022.338 241.787
A.2.10. Alternative treatment of mortgages 0 0 0
A.2.11. Settlement risk: exposures connected to non DVP transactions
with supervisory weighting factors 61.049 61.049 4.884
A.3 IRB APPROACH - EXPOSURES IN EQUITY INSTRUMENTS 2.457.553 2.775.103 222.008
A.3.1. PD/LGD approach: risk assets 18.669 41.289 3.303
A.3.2. Simple risk weight approach: risk assets
- Private equity exposures in sufficiently diversified portfolios 251.407 477.673 38.214

- Exchange-traded equity exposures 24.531 71.141 5.691
- Other equity exposures 2.162.946 2.185.000 174.800
A.3.3. Internal models approach: risk assets 0 0 0

AS AT 30 JUNE 2008 50
(€ thousand)
Credit Risk: on/off balance sheet information to banks

Amounts as at: 06/30/2008
Balance-sheet exposures
Non-current assets and
Off-Balance sheet exposures
Financial assets at fair value Available for sale financial Held to maturity financial disposal groups
Exposures/Portfolio Financial assets held for trading Loans and receivables with banks
through profit or loss assets instruments classified as held for
sale
Average Gross Average Gross Average Gross Average Average Gross Average Average
Gross exposure Gross exposure Gross exposure
exposure exposure exposure exposure exposure exposure exposure exposure exposure exposure exposure
A. Balance sheet exposures
a) Non-performing loans 0 0 0 0 0 0 0 0 115.225 133.879 0 4
b) Doubtful loans 0 0 0 0 0 0 0 0 31.862 33.264 0 0
c) Restructured exposures 0 0 0 0 0 0 0 0 0 8.331 0 0
d) Past due exposures 0 0 0 0 0 0 0 0 0 0 0 0
e) Country Risk 0 0 0 0 0 0 0 0 107.764 117.899 0 0
f) Other assets 47.799.487 53.349.800 4.707.334 8.927.506 7.706.457 7.539.798 2.150.827 1.389.243 120.710.902 106.851.777 150.145 468.795
Total A 47.799.487 53.349.800 4.707.334 8.927.506 7.706.457 7.539.798 2.150.827 1.389.243 120.965.753 107.145.150 150.145 468.799
B. Off-balance sheet exposures
a) Impaired 88.098 90.656
b) Others 150.345.731 146.352.845
Total B 150.433.829 146.443.501
TOTAL A+B 47.799.487 53.349.800 4.707.334 8.927.506 7.706.457 7.539.798 2.150.827 1.389.243 120.965.753 107.145.150 150.145 468.799 150.433.829 146.443.501
51
(€ thousand)
Credit Risk: on/off balance sheet information to customers

Balance-sheet exposures
Non-current assets and Off-Balance sheet exposures

Financial assets at fair value Available for sale financial Held to maturity financial Loans and receivables with
Exposures/Portfolio Financial assets held for trading disposal groups classified
through profit or loss assets instruments customers
as held for sale
Average Gross Average Average Gross Average Average Gross Average Average
Gross exposure Gross exposure Gross exposure Gross exposure
exposure exposure exposure exposure exposure exposure exposure exposure exposure exposure
a) Non-performing loans 0 632 0 0 108.570 86.535 0 0 27.018.643 24.257.240 71.593 97.676
b) Doubtful loans 0 0 0 0 0 0 0 0 6.427.190 5.625.545 13.180 19.481
c) Restructured exposures 0 0 0 0 0 0 16.793 21.322 1.429.527 2.008.393 23 2.033
d) Past due exposures 19.546 13.286 0 0 26.583 11.026 0 0 2.253.011 1.674.936 12.248 5.681
e) Country Risk 176 98 2.723 1.661 6.092 4.641 0 0 21.777 23.696 0 0
f) Other assets 76.972.457 82.267.364 10.588.777 6.329.089 25.728.523 24.880.716 9.312.307 9.569.267 585.137.696 530.284.223 3.024.034 2.770.003
Total A 76.992.179 82.281.380 10.591.500 6.330.750 25.869.768 24.982.918 9.329.100 9.590.588 622.287.844 563.874.034 3.121.078 2.894.875
B. Off-balance sheet exposures
a) Impaired 1.508.849 1.764.081
b) Others 227.374.821 210.141.032
Total B 228.883.670 211.905.113
TOTAL A+B 76.992.179 82.281.380 10.591.500 6.330.750 25.869.768 24.982.918 9.329.100 9.590.588 622.287.844 563.874.034 3.121.078 2.894.875 228.883.670 211.905.113

AS AT 30 JUNE 2008 52
(€ thousand)
Distribution of balance sheet and off-B/S exposures to banks by geo area

Exposures/Geographical Italy Other European countries America Asia Rest of the world
areas
Gross Gross Gross Gross Gross
Net exposure Net exposure Net exposure Net exposure Net exposure
exposure exposure exposure exposure exposure
a) Non-performing loans 919 918 50.735 4.254 62.419 0 1.109 12 43 0
b) Doubtful loans 0 0 12.309 9.380 8.279 8.279 0 0 11.274 11.274
c) Restructured exposures 0 0 0 0 0 0 0 0 0 0
d) Past due exposures 0 0 0 0 0 0 0 0 0 0
e) Other exposures 24.435.677 24.432.297 145.498.433 145.497.620 5.664.060 5.654.879 4.084.349 4.083.722 3.650.397 3.641.469
Total A 24.436.596 24.433.215 145.561.477 145.511.254 5.734.758 5.663.158 4.085.458 4.083.734 3.661.714 3.652.743
B. Off-Balance sheet exposures
a) Non-performing loans 0 0 275 275 27.599 16.947 0 0 0 0
b) Doubtful loans 59.392 59.392 0 0 0 0 0 0 0 0
c) Other impaired assets 832 832 0 0 0 0 0 0 0 0
d) Other exposures 12.929.657 12.925.556 115.825.557 115.809.501 17.143.611 17.142.155 3.253.816 3.252.574 1.193.090 1.192.135
Total B 12.989.881 12.985.780 115.825.832 115.809.776 17.171.210 17.159.102 3.253.816 3.252.574 1.193.090 1.192.135
Total A+B 37.426.477 37.418.995 261.387.309 261.321.030 22.905.968 22.822.260 7.339.274 7.336.308 4.854.804 4.844.878
(€ thousand)
Distribution of balance sheet and off-B/S exposures to costumers by geo area

Exposures/Geographical Italy Other European countries America Asia Rest of the world
areas
Gross Gross Gross
Gross exposure Net exposure Gross exposure Net exposure Net exposure Net exposure Net exposure
exposure exposure exposure
a) Non-performing loans 15.227.050 5.693.885 11.487.344 3.620.090 251.157 125.902 220.976 68.823 12.280 5.640
b) Doubtful loans 4.059.010 2.663.816 2.185.145 1.345.245 32.623 22.908 162.559 125.585 1.033 778
c) Restructured exposures 635.393 586.462 798.824 432.660 6.210 3.743 65 65 5.851 5.851
d) Past due exposures 1.698.662 1.493.109 608.672 520.563 3.978 3.850 24 16 52 41
e) Other exposures 293.469.670 292.177.648 381.185.184 379.859.453 20.731.630 20.675.814 10.553.353 10.495.840 4.854.725 4.844.301
Total A 315.089.785 302.614.920 396.265.169 385.778.011 21.025.598 20.832.217 10.936.977 10.690.329 4.873.941 4.856.611
a) Non-performing loans 366.447 334.786 464.445 303.815 182.758 154.521 5.742 2.210 0 0
b) Doubtful loans 125.021 118.993 61.420 40.851 75 60 93 76 0 0
c) Other impaired assets 132.059 131.289 170.738 107.260 50 50 1 0 0 0
d) Other exposures 45.207.188 44.858.386 161.086.111 160.981.490 14.569.890 14.569.811 4.889.497 4.889.113 1.622.135 1.621.644
Total B 45.830.715 45.443.454 161.782.714 161.433.416 14.756.273 14.724.442 4.891.833 4.891.399 1.622.135 1.621.644
Total A+B 360.920.500 348.058.374 558.047.883 547.211.427 35.781.871 35.556.659 15.828.810 15.581.728 6.496.076 6.478.255
53
(€ thousand)
Distribution of balance-sheet and off-B/S exposures to customers by business sector

Governments Other public entities Financial companies
Exposures/Business sector
Total Total Total
Gross exposure Net exposure Gross exposure Net exposure Gross exposure Net exposure
writedowns writedowns writedowns
a) Non-performing loans 7.357 1.461 5.896 41.081 24.791 16.290 467.603 344.135 123.468
b) Doubtful loans 0 0 0 132.986 41.967 91.019 37.546 12.293 25.253
c) Restructured exposures
0 0 0 0 0 0 26.386 216 26.170
d) Past due exposures

8.281 0 8.281 6.207 490 5.717 14.728 1.472 13.256
e) Other exposures
54.093.058 48.839 54.044.219 19.061.082 14.314 19.046.768 64.275.235 132.435 64.142.800
Total A 54.108.696 50.300 54.058.396 19.241.356 81.562 19.159.794 64.821.498 490.551 64.330.947
a) Non-performing loans 1.062 856 206 0 0 0 190.355 1.765 188.590
b) Doubtful loans 0 0 0 24.387 1.706 22.681 5.177 75 5.102
c) Other impaired assets

0 0 0 989 0 989 10.199 85 10.114
d) Other exposures
2.661.777 470 2.661.307 2.579.442 2.256 2.577.186 39.372.273 322.569 39.049.704
Totale B 2.662.839 1.326 2.661.513 2.604.818 3.962 2.600.856 39.578.004 324.494 39.253.510
TOTAL A+B 56.771.535 51.626 56.719.909 21.846.174 85.524 21.760.650 104.399.502 815.045 103.584.457

AS AT 30 JUNE 2008 54
(€ thousand)
Distribution of balance-sheet and off-B/S exposures to customers by business sector (continued)

Insurance companies Non financial companies Other entities
Exposures/Business sector
Total Total Total
Gross exposure Net exposure Gross exposure Net exposure Gross exposure Net exposure
writedowns writedowns writedowns
a) Non-performing loans 57.350 31.174 26.176 17.998.569 12.052.882 5.945.687 8.626.847 5.230.024 3.396.823
b) Doubtful loans 2.795 792 2.003 3.797.318 1.449.673 2.347.645 2.469.725 777.314 1.692.411
c) Restructured exposures
26.511 136 26.375 1.271.179 399.188 871.991 122.267 18.022 104.245
d) Past due exposures

143 46 97 1.462.097 136.994 1.325.103 819.932 154.807 665.125
e) Other exposures
5.175.248 5.047 5.170.201 371.245.464 1.611.537 369.633.927 196.944.475 929.336 196.015.139
Total A 5.262.047 37.195 5.224.852 395.774.627 15.650.274 380.124.353 208.983.246 7.109.503 201.873.743
a) Non-performing loans 634 67 567 650.688 192.324 458.364 176.653 29.048 147.605
b) Doubtful loans 0 0 0 151.400 24.325 127.075 5.645 523 5.122
c) Other impaired assets

19 2 17 270.770 49.524 221.246 20.871 14.638 6.233
d) Other exposures
2.571.622 1.051 2.570.571 159.223.609 115.278 159.108.331 20.966.098 12.754 20.953.344
Totale B 2.572.275 1.120 2.571.155 160.296.467 381.451 159.915.016 21.169.267 56.963 21.112.304
TOTAL A+B 7.834.322 38.315 7.796.007 556.071.094 16.031.725 540.039.369 230.152.513 7.166.466 222.986.047
55
(€ thousand)
Breakdown of loans to non-financial companies and family firms by type
Amounts as at: 06/30/2008 Resident in Italy Non resident in Italy Total
Agriculture - forestry - fisheries 3.898.349 1.751.015 5.649.364

Energy products 7.011.321 13.276.812 20.288.133
Ores, ferrous and non-ferrous metals (except fissile and fertile ones) 2.164.474 4.203.883 6.368.357
Minerals and non-metallic mineral products 3.616.862 2.896.798 6.513.660
Chemicals 2.159.551 7.239.853 9.399.404
Metal products except cars and means of transport 6.532.801 4.634.565 11.167.366
Farming and industrial machinery 5.634.453 4.324.358 9.958.811
Office machines, data processing machines, precision, optical and
similar instruments 1.367.383 2.474.733 3.842.116
Electric materials and supplies 3.464.109 1.456.794 4.920.903
Means of transport 2.555.142 5.783.384 8.338.526
Foodstuffs, beverages and tobacco-based products 5.072.451 6.483.453 11.555.904
Textiles, leather and footwear and clothing products 4.929.990 1.590.451 6.520.441
Paper, paper products, printing and publishing 2.762.865 4.894.767 7.657.632
Rubber and plastic products 2.280.518 1.926.707 4.207.225
Other industrial products 3.979.031 3.991.629 7.970.660
Construction and civil engineering 20.114.088 6.631.403 26.745.491
Commercial, recovery and repair services 27.890.470 28.854.431 56.744.901
Hotel and public commercial concern services 4.497.918 3.295.313 7.793.231
Inland transport services 4.003.335 3.582.911 7.586.246
Sea and air transport services 1.854.011 6.604.421 8.458.432
Transport-related services 2.471.072 3.349.520 5.820.592
Communications services 1.130.138 2.233.593 3.363.731
Other saleable services 53.213.634 102.190.877 155.404.511
Total 172.603.966 223.671.671 396.275.637

AS AT 30 JUNE 2008 56
(€ thousand)
Time breakdown by contractual residual maturity of financial assets

Items/Maturities
15 days to 1 1 to 3 3 to 6 6 months to
On demand 1 to 7 days 7 to 15 days 1 to 5 years over 5 years
month months months 1 year
Balance-sheet assets
a) Government securities 875.330 117.142 800.232 137.541 780.297 227.555 4.762.747 8.380.238 8.996.653
b) Listed debt securities 169.098 232.818 229.857 914.971 4.692.628 7.886.534 9.796.392 41.242.256 29.680.749
c) Other debt securities 1.602.314 5.822 9.303 235.732 487.781 1.883.570 264.475 763.020 4.843.444
d) Units in Invetsment Funds 52.083 0 0 0 0 0 0 0 8.918.559
e) Loans
- Banks 46.171.377 7.024.134 3.547.755 34.276.219 16.421.642 13.900.947 13.241.635 6.359.838 5.102.040
- Customers 77.886.320 6.662.681 3.190.915 25.746.758 37.746.448 30.145.412 31.473.713 129.410.377 218.389.573
Off-Balance sheet transactions
a) Financial derivatives with exchange of principal
- long positions 13.883.134 14.626.601 6.608.851 12.828.227 30.898.479 20.244.541 8.741.586 13.624.207 3.459.861
- short positions 15.302.509 10.757.143 8.284.692 13.793.162 28.648.879 20.592.343 8.126.036 10.401.085 1.455.310
b) Deposits and borrowings to be received
3.077.234 4.074.268 0 0 46.165 95.590 2.180.349 16.000.000 14.537.379

- long positions
- short positions 3.399.064 1.718.781 263.527 264.358 325.831 1.304.310 2.482.996 16.002.120 14.250.000
c) Irrevocable commitments to disburse funds
- long positions 8.849.184 1.843.399 1.250.824 1.283.433 6.407.303 10.073.593 12.310.576 55.186.551 19.704.685
- short positions 24.337.096 2.138.533 1.229.168 158.718 6.203.142 7.339.498 11.108.232 37.635.212 13.245.109
57
(€ thousand)
Balance-sheet exposures: change in overall impairments

Exposures to banks Exposures to customers

Source/Categories
Non-
Doubtful Restructured Past due Non-performing Restructured Past due
performing Country Risk Total Doubtful loans Country Risk Total
loans exposures exposures loans exposures exposures
loans
A. Opening gross writedowns 114.907 4.461 - - 17.077 136.445 17.936.825 1.833.574 479.846 187.653 12.209 20.450.107
B. Increases 6.608 197 0 0 2.288 9.093 6.450.414 1.193.958 58.128 245.634 682 7.948.816
B.1 Writedowns 25 0 0 0 1.736 1.761 1.924.545 629.530 30.069 165.128 648 2.749.920
B.2 Transfers from other impaired exposures 0 0 0 0 0 0 374.438 74.978 10.528 5.340 0 465.284
B.3 Other increases 6.583 197 0 0 552 7.332 4.151.431 489.450 17.531 75.166 34 4.733.612
C. Reductions 11.474 1.729 0 0 2.015 15.218 6.702.772 745.493 120.412 139.478 793 7.708.948
C.1 Write-backs from evaluation 29 1.729 0 0 418 2.176 256.962 99.092 17.310 14.373 555 388.292
C.2 Write-backs from recoveries 4.966 0 0 0 244 5.210 779.173 110.627 6.276 17.638 99 913.813
C.3 Write-offs 0 0 0 0 0 0 944.376 73.623 11.253 653 0 1.029.905
C.4 Transfers to other impaired exposures 0 0 0 0 0 0 15.859 326.773 65.970 56.679 0 465.281
C.5 Other reductions 6.479 0 0 0 1.353 7.832 4.706.402 135.378 19.603 50.135 139 4.911.657
D. Final gross writedowns 110.041 2.929 0 0 17.350 130.320 17.684.467 2.282.039 417.562 293.809 12.098 20.689.975
of which:
- specific writedowns 110.041 0 0 0 0 110.041 17.673.974 2.192.393 417.493 208.221 0 20.492.081
- portfolio adjustments 0 2.929 0 0 17.350 20.279 10.493 89.646 69 85.588 12.098 197.894
E. Writedowns through Profit or Loss 1.761 2.749.920

AS AT 30 JUNE 2008 58
Table 6 – Credit risk: disclosures for
portfolios treated under the standardized
approach and specialized lending and
equity exposures treated under IRB
approaches
Credit risk – Standardized approach
List of the ECAI (External Credit Assessment Institution) and ECA (Export Credit Agency) used in the standaridized
approach and of the credit portfolios on which the ratings supplied by these entities are applied.
Credit risk
Ratings
Porfolios ECA / ECAI (1)
characteristics
Exposures with central
governments and central
banks
Exposures with international
organizations
- Fitch Ratings;
Exposures with multilateral - Moody's Investor Services;
development banks Solicited e unsolicited
- Standard and Poor's Rating
Exposures with corporate Services
and other entities
Exposures with Collective
Investments Undertakings
(CIU)
- – solicited rating: shall mean a rating assigned for a fee following a request a request from from the entity evaluated. Ratings assigned
without such a request shall be treated as equivalent to solicited ratings if the entity had previously obtained a solicited rating from the
same ECAII.
- unsolicited rating: shall mean a rating assigned without a request from the entity evaluated and without payment of a fee.
59
Securitizations
Porfolios ECA / ECAI
Position on securitizations
with short term rating - Fitch Ratings;
- Moody's Investor Services;
Position on securitizations
- Standard and Poor's Rating
different from those with
Services
short term rating
(€ thousand)
Specialized lendings
Exposure amounts as at 06/30/2008
Remaining maturity/Assesment Regulatory categories
1 - strong 2 - good 3 - satisfactory 4 - weak 5 - default
Remaining maturity less than 2,5 years 199.288 552.632 8.154 492
Remaining maturity equal to or more than 2,5
years 637.015 2.183.376 179.125 46.588 12.644
Total Specialized Lendings 836.303 2.736.008 187.279 47.080 12.644
(€ thousand)
Equity exposures - simple risk weight approach
Exposure amounts
Categories Weights
as at 06/30/2008
Private equity exposures in sufficiently diversified portfolios 190% 251.407

Exchange-traded equity exposures 290% 24.531
Other equity exposures 370% 2.162.946
Total Equity Exposures 2.438.884
60
(€ thousand)
Standardized approach - risk assets

Amounts as at 06/30/2008
Secured exposures
Exposures classes Exposures
Exposure amount deducted from
Guarantees and Supervisory Capital
Collaterals other similar Credit derivatives
contracts
Exposures with or secured by central

governments and central banks 52.425 10.933.011 0 0
- credit quality step 1 52.843.303
- credit quality step 4 and 5 3.571.669
- credit quality step 6 0
Exposures with or secured by regional

administrations and local authorities 49.268 4.808.963 46.870 0
- credit quality step 4 and 5 764.183
Exposures with or secured by
administrative bodies and non-commercial
undertakings 613.054 629.831 0 0
Exposures with or secured by multilateral
development banks 525 3.237 0 0
- credit quality step 1 522.630
- credit quality step 4 and 5 0
Exposures with or secured by international
organizations 96.861 0 0 0 0
Exposures with or secured by supervised
institutions 629.905 1.136.191 4.191.966 0
Exposures with or secured by corporates 14.497.147 5.264.155 467.028 0
Retail exposures 106.067.417 16.366.486 186.096 0 0
Exposures secured by real estate property 62.464.469 4.011.951 486 0 0

Past due exposures 8.492.224 20.061 24.679 0 0
High risk exposures 1.709.463 0 0 0 0
Exposures in the form of guaranteed bank
bonds 2.784.569 0 285.000 0 0
Short-term exposures with corporates 0 52 0 0

- credit quality step form 4 to 6 4.980
Exposures in the form of Collective
Investment Undertakings (CIUs) 0 133.000 0 0
Other exposures 32.261.878 0 21.462 0 0
Total on-balance-sheet risk assets 444.688.360 9.869.727 21.502.891 1.977.831
Total guarantees given and committed
lines 221.612.988 1.718.358 1.923.272 2.728.033
Total derivatives contracts 14.175.006 303.466 0 0
Total SFT transactions and long settlement
transactions 15.685.567 24.349.271 0 0
Total from contractual cross product
netting 0
Total 696.161.921 36.240.822 23.426.163 4.705.864 0
61
Table 7 – Credit risk: disclosures for
portfolios treated under IRB approaches
Credit risk - Information on portfolios to which IRB approaches are applied
In the first half of 2008 the “New Regulatory Provisions for Banks” (Banca d’Italia Circular No. 263) went into effect. These
provisions cover regulations concerning the international convergence of measures of capital and capital ratios (Basel 2).
In this context, UniCredit obtained authorization from Banca d’Italia to use advanced methods for determining capital
requirements for credit risk. In this first phase, these methodologies have been adopted by the Parent Company, several
Italian subsidiaries as well as HypoVereinsbank (HVB AG) and Bank Austria (BA AG), and they will be later used by other
Group companies based on a gradual coverage plan communicated to the regulator.
In general, the following table summarizes the rating systems requiring authorization that are used by the Group with an
indication of the entities where they are used and the related asset class.
Rating system Legal entity Asset portfolio
Sovereign states UCI, HVB, BA Central governments and central

banks
Banks UCI, HVB, BA Regulated intermediaries
Multinational companies UCCB, HVB Companies
Global Project Finance (GPF) HVB Companies
Integrated Corporate Rating (ICR) PD UCCB Companies
ICR LGD UCCB Companies
Mid Corporate (PD, LGD, EAD) HVB Companies
Commercial Real Estate Finance (PD, LGD, EAD) HVB Companies/Retail exposure
Asset Backed Commercial Paper (PD, LGD, EAD) HVB Companies
Income Producing Real Estate (IPRE) Slotting HVB Companies

Criteria
62
Acquisition and Leverage Finance (PD, LGD, EAD) HVB Companies
Mid Corporate (PD, LGD, EAD) BA Companies
IPRE (PD, LGD, EAD) BA Companies
Non Profit (PD, LGD, EAD) BA Companies
Integrated Small Business Rating (ISBR) UCB Retail exposure
ISBR LGD UCB Retail exposure
Integrated Individual Rating (IIR) Mortgages PD UCB Retail exposure
Integrated Individual Rating (IIR) Mortgages LGD UCB Retail exposure
Integrated Individual Rating (IIR) Mortgages PD UBCasa Retail exposure
Integrated Individual Rating (IIR) Mortgages LGD UBCasa Retail exposure
Small Business (PD, LGD, EAD) HVB Retail exposure
Private Individuals (PD, LGD, EAD) HVB Retail exposure
Small Business (PD, LGD, EAD) BA Retail exposure
Private Individuals (PD, LGD, EAD) BA Retail exposure
In 2008 the Group was authorized to use the internal estimates of parameters PD and LGD especially for Group loan
portfolios, Sovereign Entities, Banks, Multinationals and Global Project Finance, and for local loan portfolios of the
Group’s Italian banks (mid-corporate and retail excluding those banks that are a part of the former Capitalia, for which the
standardized approach is initially used). For the current year, the regulatory EAD parameter will be used for the above
portfolios since in 2009 a request for authorization to use the internal estimates of that parameter is to be sent to Banca
d’Italia.
The above rating models are used for the purposes of calculating the regulatory requirement resulting from “first pillar”
obligations, but more importantly, they represent a fundamental component of decision-making and governance
processes. Specifically, the areas where internal rating systems are most often used are as follows:
 Various phases of credit processes:
- Approval/renewal. The assignment of internal ratings is a key moment in the credit assessment of the
counterparty/transaction and is a preliminary phase in providing/renewing lines of credit. The rating,
which is assigned before approval, is made available as a part of the approval process, which is
largely integrated in the assessment and discussed in the credit proposal. Thus, along with loan
exposure, the rating is a key factor for defining the appropriate body for the approval.
63
- Monitoring. The loan monitoring process is aimed at identifying and quickly reacting to the initial
symptoms of a potential deterioration in a customer’s credit quality, and thus, it makes it possible to
intervene before an actual default occurs (i.e., when it is still possible to recover credit exposure). This
activity mainly focuses on monitoring exposure movements leading to the point of completely
disengaging from the customer as necessary. In addition to determining the positive impact in terms
of EAD, the monitoring process makes it possible to optimize conditions for the potential subsequent
recovery phase through requests for additional security resulting in the reduction of LGD.
 Loan recovery. The process of assessing the strategy to be used for loans classified as default positions, which
is carried out at the customer/transaction level and aimed at the simulated calculation of the Net Present Value
of the net amounts recovered and LGD, is based on the definition of LGD. If there are several alternative
recovery strategies, the one with the lowest LGD is chosen. LGD is also the basis for pricing to be assigned to
non-performing loans transferred to Aspra Finance.
 Provision policies. For performing loan customers, the “incurred but not reported loss” (IBNR) methodology has
been adopted. This approach uses the amounts of the projected loss by means of the Loss Confirmation Period
(LCP) parameter for the calculation of provisions. For counterparties in the default category, loss provisions are
based on the assessment of the exposure risk profile and LGD.
 Capital management and allocation. Ratings are also an essential element in the process of quantifying,
managing and allocating capital. Specifically, the output of rating systems is integrated, at the level of the Parent
Company of the overall Group, in processes aimed at measuring and managing (regulatory and economic)
capital, on the one hand, and in processes aimed at determining “risk adjusted performance" measures and the
adjusted income statement for the purposes of strategic planning.
 Strategic planning. Customer risk is a key determinant in the area of strategic planning, budgeting and
provisions for quantifying RWA, impairment losses reported in the income statement, and loans reported in the
balance sheet.
 Reporting. Specific reports are produced for top management at the consolidated, divisional and regional levels
and for individual entities. These reports show credit risk portfolio performance and provide information on
default exposure, projected losses, PD and average LGDs for various customer segments in accordance with
the internal rating systems implemented. Ratings are also used to determine pricing and MBOs to be assigned
to account managers and to identify customers with negative EVA for which targeted strategies are adopted.
To achieve compliance with the so-called Basel 2 regulations, the UniCredit Group has carried out specific actions aimed
at determining and meeting all the requirements needed to apply Credit Risk Mitigation (CRM) procedures. These actions
include the following:
 Issuance of policies reflecting the implementation, interpretation and internalization of CRM regulatory
requirements within the Group. There were several reasons for producing this documentation, for which
reference was made to Banca d’Italia Circular No. 263 of 27 December 2006 and subsequent updates, EU
directives 2006/48/EC and 2006/49/EC and to the document “International Convergence of the Measurement of
Capital and Capital Ratios, New Regulatory Framework” of the Basel Committee on Banking Supervision. Its
aim was to encourage the optimization of collateral management and to establish rules for the acceptability,
assessment, monitoring and management of guarantees and collateral in keeping with general and specific
requirements.
 Definition of new processes reflecting the application of policies in the management of collateral within the
Group. Based on a gap analysis between the “current status” and target model, the Group implemented new
64
processes for managing collateral in keeping with the requirements of Banca d’Italia regulations and the
Group’s guidelines. Since the UniCredit Group emphasizes the importance of the requirement of legal certainty
in the assessment of CRM procedures, there was a special focus on implementing processes needed to meet
this requirement.
 Implementation of IT tools that make it possible to automate the process of managing collateral. In particular,
the UniCredit Group developed a reliable and effective system for applying CRM procedures starting with the
assessment and acquisition of collateral to the monitoring and enforcement of collateral. The implementation of
the IT system made it possible to manage, gather and archive the data needed to verify whether acceptability
requirements have been met and to calculate risk indicators. These data are used to determine whether
collateral is valid for the purposes of CRM and to apply appropriate prudential margins as required by the Basel
2 regulations (margins estimated internally that are based on the Value at Risk methodology have been
determined for the assessment of volatility)1.
In addition, based on the new regulatory structure, the development of advanced rating systems and their introduction in
corporate processes have resulted in the need to establish at both the Parent Company and individual entities a process
for validating rating systems and an increase in the activities that Internal Audit is required to audit with respect to such
systems.
The purpose of the validation process is to express an opinion concerning the proper operation, predictive ability and
overall performance of the IRB systems adopted and their consistency with regulatory requirements specifically through:
 the assessment of the model development process with a particular emphasis on the underlying approach
and the methodological criteria supporting the estimate of risk parameters;
 the assessment of the accuracy of estimates of all major risk components through system performance
analysis, parameter calibration and benchmarking;
 verification that the rating system is actually used in various management areas;
 the analysis of operating processes, monitoring safeguards, documentation and IT facilities related to the
rating systems.
The validation process established within the Group first calls for a distinction to be made between the initial and ongoing
validation.
The purpose of the initial validation is to assess the positioning of the Group’s rating systems in relation to minimum
regulatory requirements and the Parent Company’s guidelines and standards concerning methodology, processes, data
quality, quantitative and qualitative validation procedures, internal governance and technological environment by
identifying any gaps or critical areas in relation to these requirements.
On the other hand, the purpose of ongoing validation is to continually assess the proper operation of all components of the
rating system and to monitor its compliance with internal and regulatory requirements.
Secondly, the process calls for the specific assignment of responsibilities for validating so-called Group-wide systems and
local systems.
For Group-wide systems, the methodology for which applies only at the Group level, responsibility is assigned to the
Parent Company, while individual entities are responsible for local rating systems. The Parent Company is still responsible
1
See Table 8, “Procedures for Mitigating Credit Risk – Qualitative Information” for additional details on the management of the process for
determining procedures for mitigating credit risk.
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for the initial and ongoing monitoring of the proper performance of development and validation activities carried out locally
and the proper operation of the rating system by also providing suggestions generated by internal and external
benchmarking that are aimed at following best practices. Based on the revalidation process, the Parent Company issues a
non-binding opinion on local rating systems during the initial phase before approval is given by the appropriate bodies,
and later whenever significant changes are made.
The unit responsible for validation procedures is independent from the units responsible for developing models and from
the internal audit area that audits the process and outcome of the validation.
This unit has established guidelines for validating rating systems aimed at a convergence towards standard validation
procedures in terms of both content and tools, thereby ensuring that the criteria for assessing results are shared including
through the introduction of standard trigger values and encouraging a comparison between the different systems. The use
of triggers makes it possible to depict test results using a stop-light system whose colors are associated with various
levels of severity of the phenomena reported.
Special emphasis was placed on establishing a standard approach for validating models by identifying minimum test
requirements and methods for reporting the related results. Tests are divided into qualitative and quantitative analyses.
 The qualitative section is used to assess the effectiveness of the methodology used to create the model, the
inclusion of all significant factors and the ability to depict the data used during the development phase;
 The quantitative section assesses the performance, stability and calibration of the overall model as well as its
specific components and individual factors.
A hierarchy of the above analyses has been established that provides details as a function of the specific (initial or
ongoing) validation or ongoing monitoring phase and the results obtained. In fact, the performance of certain tests is
dependent on whether critical areas are identified in the performance of analyses at the next-highest level.
The data and documents related to the validation procedures done to date are saved in special storage areas ensuring
rapid access to, and security of, the information and the ability to reproduce all analyses performed.
In addition, the Group has a validation tool that makes it possible to calculate the indicators required by the Basel
Committee in Working Paper 14, “Studies on the Validation of Internal Rating Systems,” for validating credit risk models.
This tool complies with the IT requirements of Banca d’Italia and is fully integrated with the workplace environment.
The results of internal validation activities are related to a single reporting model (framework) in order to assign the
analysis of the various components of the rating system to business units. These activities are performed in accordance
with validation standards, and the depth of their analyses is a function of the type (group-wide or local) or location (Italy or
abroad) of the rating system.
The framework adopted consists of the schematic reclassification of all detailed minimum quantitative and organizational
requirements imposed by Banca d’Italia into specific key principles related to different subject areas for analyzing the
rating system (model design, risk components, internal use and reporting, IT, data quality and corporate governance). The
framework is useful for assessing the detailed status of rating systems vis-a-vis regulatory provisions.
The analysis areas attributable to the organizational requirements specified in the Circular are model design, internal use
and reporting, IT/data quality and governance.
When auditing internal rating systems, Internal Audit’s aim is to check the functionality of the entire system of controls
over them. These checks comprise the following:
 Check that the IRB systems comply with regulations
 Ascertain how the rating systems are used for business purposes and
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 Check that the rating validation process is adequate and complete.
In order to assist Group entities to ensure the quality (functionality and adequacy) of their Internal Control Systems and to
modify their internal auditing methods in line with changes in their business scenarios, the Parent’s Internal Audit
Department (UC IAD) has coordinated the development of a common set of internal auditing methods.
These methods have been developed in order to assess the accuracy of the conclusions of the risk control functions as
well as compliance with the regulatory requirements, particularly in respect of the internal validation process of internal
rating and risk control systems. It should be noted that internal audit functions are not directly involved in the design or
selection of the model.
In accordance with its mission UC IAD directly audits UniCredit SpA and coordinates the activity of Group entities’ internal
audit functions.
The audits necessary to assess the functionality of the rating systems are given suitable space in the Group audit
planning process, organised by UC IAD, which agrees their inclusion in internal audit plans with the Group entities. UC
IAD then monitors performance of these audits by a specific function and if necessary contacts the entity where there are
deviations from plan.
UC IAD also regularly reports on its activity and results to the Parent’s Internal Control & Risks Committee and Statutory
Auditors.
Furthermore, the audits needed to assess the functionality of rating systems are given appropriate emphasis in the
group’s audit plan. These activities are promoted by the Parent Company’s Internal Audit department which, al3ong with
the entities assigned, includes them in the control plan. These audits are monitored by the Audit Monitoring area which
oversees the performance of planned activities, and intervenes locally if there are any deviations.
Description of Rating Systems
Group-wide models
Rating model for countries
The approach used for the development of the country rating model is shadow rating whereby an attempt is made to
duplicate the ranking capabilities of external (ECAI) ratings using macroeconomic and qualitative factors.
The following steps were taken to arrive at the final model:
 Sample Selection: Determination of countries to be included in the sample;
 Univariate Analysis: Calculation of explanatory potential of each qualitative and quantitative factor;
 Multivariate Analysis: Determination of optimal subset of factors using stepwise techniques supported by the
experience of analysts;
 Combination of quantitative and qualitative modules;
 Calibration: The score of the final model is calculated on the basis of parameters in order to reproduce the
actual PDs;
 Model Testing: Mapping of model results with approved PDs.
Two separate models were designed for emerging and developed countries.
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The quantitative module for the latter uses variables related to the balance of trade, interest rates, the importance of the
banking system, per-capita GDP and the level of government debt. The qualitative module includes variables related to
the development of the financial system, socio-political conditions and economic conditions.
The quantitative module for emerging countries uses the following variables: exports as a percentage of gross domestic
product (GDP); external debt; the amount of foreign currency reserves; the level of direct, foreign investments as a
percentage of GDP; debt service compared to exports; the inflation rate and per-capita GDP. The qualitative module
includes variables concerning the stability of the financial system, the flexibility of the economic system, socio-political
conditions, economic conditions and debt service.
The validation unit checked the design of the model, the implicit default definition, the qualitative and quantitative
characteristics of the model, override methods, calibration, segmentation into the two groups (developed and emerging
countries) and the development sample and conducted the usual performance and stability tests. Naturally, because of
the type of counterparties involved and low number of defaults among sovereign entities, development and validation
samples are limited in size.
LGD model for countries
This model, which was developed in November 2006, uses a regressive approach with the involvement of experts,
starting with a large set of macroeconomic variables, of which six were included in the final version. The dependent
variable (LGD) was calculated using internal and external data. The model, which was designed with the aim of
calculating LGD for direct exposure to sovereign counterparties, provides LGD only for unsecured exposure.
The explanatory variables selected are as follows: GDP as a percentage of total world GDP; external debt as a
percentage of exports; indicator of debt position with respect to IMF; export volatility; average inflation rate in G7; and
default timing (period preceding the default).
In addition to performing the usual performance and stability tests, the validation unit checked the consistency of
definitions of default, segmentation and override; the use of internal and external sources for recoveries; cost estimates
and the methodology for discounting recoveries; and the need to introduce conservative adjustments for negative phases
in the economic cycle.
Rating model for banks
The approach used for developing bank ratings, which are defined as shadow ratings, attempts to duplicate the ranking
capability of external ratings using a combination of quantitative and qualitative factors.
It was decided to construct two different models – one for banks resident in developed countries and one for banks in
emerging markets – since it is believed that there are different risk drivers for the two segments.
Specific adjustments to be made to the PD resulting from the EM and DC model were introduced to take the following
aspects into account:
 Environmental factor: The rating is improved for banks with high environmental standards;
 Government support and industry guarantee funds: Various corrections were introduced to take into account
the support provided to banks by governments and by special industry-based guarantee funds;
 Transfer risk: The model takes into account the risk that the debtor is unable to obtain foreign currency to
meet its obligations, even though it has the corresponding local currency.
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The final quantitative model for banks resident in developed countries covers several categories of factors: profitability,
risk profile, size and funding.
The situation is similar for banks in emerging countries with different weightings for factor categories: profitability, risk
profile, size, capitalization and funding.
The validation unit has checked the design of the model, the implicit default definition, the selection of factors and
transformations of variables, the multivariate analysis of the quantitative and qualitative model, the combination of the two
modules, calibration, and adjustments for the environment and transfer risk, and it conducted performance and stability
tests.
The LGD model for banks
The model developed is based on experience. The methodology is currently only applied to senior, unsecured performing
loan exposure, which represents the majority of exposure to banks. The application of advanced methodologies to
situations of default exposure or unsecured junior exposure is planned for 2009.
The individual LGD value was calculated starting with an analysis of financial statements by simulating the break-up and
sale of the bank’s assets after repaying any creditors with a higher level of seniority.
In order to obtain a realistic and conservative valuation of the bank’s assets, “haircuts” were established for each type of
asset to take into account the likely deterioration that occurs before default, the differences between market and book
value and between market value and sales proceeds.
In addition, based on the fact that the success of the recovery phase largely depends on the applicable legal/institutional
environment, specific haircuts were introduced for each country to take legal risk into account.
Finally, haircuts were introduced to reflect the costs of the recovery process based on the assessment of workout experts.
Since the assets of the borrowing bank are stated in local currency, but the final recovery must be estimated in the
currency of the creditor, a haircut is applied to assets in local currency that is tied to exchange rate volatility in order to
take depreciation risk into account.
The validation unit checked the design and scope for applying the model, the model’s components, experience-based
amendments and overrides. It conducted performance analyses, checked the methodology used for discounting
recoveries, grouping by countries, and the estimate of haircuts due to legal and institutional risks, and it analyzed
distressed debt transactions as an external benchmark.
Rating model for multinational companies
This rating model applies to multinational companies defined as companies with consolidated turnover or operating
revenues greater than €500 million for at least 2 consecutive years.
Following the shadow rating methodology, the model is made up of a quantitative and qualitative component. The
quantitative section is developed around a multivariate analysis of elements such as financial ratios for capital, profitability,
interest coverage and size. This module produces a probability of default.
The qualitative module consists of a set of questionnaires that analyze corporate aspects such as management quality,
organizational structure, market share, etc.
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The qualitative module produces a value, expressed in terms of notches, that is used to modify the quantitative rating; the
maximum variation with respect to the qualitative rating was set by experts. The result of the two modules is then
upgraded or downgraded to reflect the company’s inclusion in a group.
The multivariate selection led to the inclusion of the following variables that have been appropriately altered: ordinary cash
flows over value of production, earnings before taxes over value of production, EBITDA over interest expense, adjusted
net worth over capital employed and value of production. A regression is done of these variables on the logarithm of the
relative frequency of default furnished by Standard & Poors.
The validation unit checked the design and segmentation of the model, the quantitative and qualitative modules and their
composition and calibration, override mechanisms and the role of warning signals. It analyzed combined performance and
performance by geographic area, the definition of economic group used for rating purposes, and the quality of internal and
external data used for the shadow rating.
LGD model for multinational companies
Rating agencies recently evaluated recovery levels for speculative grade companies. Since they did not have historical
series of internal recovery rates for multinational companies (since this is a portfolio with a low risk of default), they started
with these evaluations and developed a model based on the shadow rating approach supplemented by experts’ opinions.
The construction of the model consists of several phases:
1. Use of industry averages in which differences can be interpreted by experts (heuristically these represent the
intersections in a regression model);
2. Determination of a list of factors provided by experts;
3. Elimination of outliers;
4. Projection of factors at the default level, defining the time from default as Log(100%) – Log(PD). This makes it
possible to compare companies with different ratings;
5. Selection of factors at the univariate level based on discriminating power;
6. Multivariate regression; verification of impact;
7. Calibration and downturn adjustment;
8. Haircuts for legal risk and recovery costs based on the counterparty’s country of residence.
The model designed in this manner represents LGD derived from a database for bond debt, and as such it has a negative
impact since it does not take into account the probability and effects of debt restructuring that are typical of bank loans
and similar products that make up the most representative portion of the UniCredit Group’s portfolio. Thus, a cure rate
was used that was defined by experts on the basis of results obtained with local models using corporations (Italy, Austria
and Germany). This parameter makes it possible to go from a so-called LGD bond to an LGD loan.
The validation unit checked the design of the model and the quality and representative nature of the sample, which is
based on internal and external data, and used for the development, performance and conservative nature of estimates. It
also conducted a benchmarking analysis of recoveries using external data and data from rating agencies regarding the
growing literature on this subject, which is more abundant in the area of bond assets.
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The rating model for project finance
The GPF rating model is an expert model. It is based on a set of 29 factors that drive a questionnaire in which there are 5
possible levels of answers. The 29 factors can be grouped in five key areas that cover project risks. The final score is a
weighted average of scores obtained from the factors. The 5 combined areas are as follows: project sponsor risk,
execution or completion risk, operating risk, exogenous risks (e.g., macroeconomic risks) and cash-flow-related risk.
The development of the rating system was supported by experts in the origination area. The specific nature of project
finance and partial independence from counterparties that support the project can only be addressed with a high degree of
flexibility, which is made possible by the use of risk mitigation phenomena or by a change of weightings of individual
factors, or from the standpoint of weak links.
Portfolio segmentation is based on the following criteria:
 The project is developed by a legal entity separate from the sponsor;
 There is a separation (lack of recourse) between the special-purpose vehicle and sponsor. At times, for short
periods, this separation may disappear.
 Credit decisions are mainly based on future cash flows produced by the project;
 The financial structure is based on the quality and quantity of project cash flows;
 Risks are shared by those participating in financing;
 Project assets and revenues are used to secure creditors;
 Only specialized departments at UCI HVB and BA-CA are involved;
 Project volume is over €20 million;
 Projects for which economic risk is limited to 15% (maximum of €30 million) through export insurance
guarantees are specifically excluded from the portfolio.
The model was calibrated by determining which score levels are assigned to rating levels. Thus, the associated PD values
are not continuous but absolute; a single PD value is assigned to each rating.
The validation unit has checked the design of the model as well as performance on a combined, group risk, and single
factor basis. It also analyzed stability, adjustment mechanisms and overrides, and whether estimates are conservative,
and it performed a benchmarking analysis, although the availability of external ratings is limited.
The LGD model for Project Finance operations (GPF)
To summarize, the GPF LGD model is based on estimates differentiated by the industry sector underlying the project. The
final result, LGD as a percentage of EAD, is provided by the ones’ complement of the discounted recovery rate to which
recovery costs are added as well as an adjustment for the timing of recoveries.
For sectors in which sufficient internal information was available, external data were ignored, and for those in which there
was insufficient internal data, analyses of recovery rates done by Standard & Poors were used in the area project finance,
at times directly, and at times in combination with internal data if allowed by the large size of the subset.
Using Standard & Poors data for December 2005, a downturn scenario was determined, taking the crisis period following
the Enron situation between 2001 and 2002 as a reference, from which a specific downturn factor was obtained.
The validation unit has checked the design of the model, and the performance and representation of the sample (used for
the development of the model, which was built using internal and external data) in terms of geographic areas and sectors.
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Local models, Italy
Integrated Corporate Rating (ICR)
The ICR provides a rating for exposure to the category of companies at UniCredit Corporate Banking in the mid-corporate
segment, i.e., for borrowers with revenues (or total assets if revenue information is not available) up to €250 million. In its
current version, the ICR, which was developed in several phases with the support of the company Centrale Bilanci,
integrates various components at several levels. At the first level, the score generated by financial statement variables
(the CE.BI score) is integrated with qualitative information from questionnaires completed by the account manager. At the
second level, the previous rating is supplemented with geographic, industry and size information. Finally, at the third level,
performance information is combined to arrive at an integrated corporate rating.
The first phase of the project, which was launched operationally in May 2003, ended with the integration of geographic
and industry risk factors in the first-level company rating (financial statements + qualitative assessment) already used by
the bank. These variables make it possible to complete the company risk profile with risk elements that are “ordinarily”
attributable to a company’s industry, geographic location and size with the industry risk level assessed on a projected
basis.
In order to incorporate performance monitoring information in the rating, a model was structured using second-level
company scores and the performance score for 13 months prior to the default as explanatory variables.
The Kernel analysis of the distribution of the ICR score over the UniCredit Corporate Banking portfolio led to the
identification of 9 rating categories.
The validation unit checked the design of the model and the reliability (performance and stability, including in significant
sub-portfolios) of its various modules (financial statement score, qualitative score, geographic and industry component
and performance score), and reviewed the model’s override rules. It also analyzed coverage by relationships and
exposure and calibration by counterparty monitoring status, including at the segment level.
Rating model for the Italian Small Business segment
The Integrated Small Business Rating (ISBR) model provided UniCredit Banca (UCB) with a system to evaluate small
business counterparties that integrates information from the loan approval phase for new or renewed credit facilities
(CRSB) with information from the performance process (SMR).
The variables analyzed to establish loan approval grids can be broken down into the following categories:
 Customer data concerning the applicant and its affiliates;
 Operating and financial information from the financial statements or from simplified accounting documents;
 Information from the Experian credit bureau on the applicant and its affiliates;
 CR information.
The assessment method is broken down into the following phases:
 Accepted/Rejected Model (multivariate analysis): An initial statistical model based on the comparison of all
credit files accepted (good, unspecified, bad) and the credit files rejected makes it possible to assign the
probability of rejection to each counterparty in the sample.
 Initial Good/Bad Model (multivariate analysis): This model, which was developed only in relation to the
accepted sample, was later applied to the entire portfolio, thus also including rejected counterparties.
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 Reject Inference: The analysis of output from the two models developed (Accepted/Rejected and
Good/Bad) makes it possible to also assign a theoretical performance level to Rejects using the Reject
Inference technique.
 Final Good/Bad Model (multivariate analysis): After assigning a performance level to each counterparty in
the sample using the Reject Inference method, a scoring algorithm is applied.
Finally, the integration of loan approval and performance components was estimated using a logistic regression.
In addition to the quantitative and performance modules, there is a qualitative module, which is based on questionnaires
that are a part of the process to assess the company, and that are segmented by area of economic activity. The approach
of assigning weightings is based on a hierarchy in order to make the process of optimizing weightings more orderly and
rational and to ensure greater clarity in the process of interpreting results. Weighting assignment levels start with the
procedures for answering questions. Weightings for individual questions are then determined within the section, and in the
end, the section’s weighting is assigned to the overall assessment.
Integration with the quantitative module is linear in nature with a weighting determined by experts.
The validation unit checked the design of the model and its modules: the loan approval, performance and qualitative
modules. It also tested their reliability in terms of performance and stability, including in significant sub-portfolios, with a
particular focus on the impact of introducing the Basel 2 default definition. Finally, it analyzed portfolio coverage and the
model’s calibration overall.
Rating model for the Italian Individual segment: Mortgages
The target portfolio of the Integrated Individual Rating (IIR) model, which is based on a pool approach, consists of the set
of all categories of mortgages handled at UniCredit Banca and UniCredit Banca per la Casa which are used for the
purchase, construction and remodeling of residential properties by individual customers and for the purchase of properties
for the purposes of business carried out by individuals included in the family firm sector.
As regards the Group’s installment products, the incorporation of specific characteristics of an individual product for the
purposes of determining its pool resulted in assigning a potentially different probability of default to each relationship of the
same counterparty, although the customer’s characteristics are among the fundamental drivers used to identify pools.
Like all other rating systems for the Group’s portfolio of individuals, the development of the IIR model was also broken
down into two separate phases. The first phase consists of identifying pools related to the portfolio in the loan approval
phase, and the second consists of identifying pools related to the existing portfolio. Using statistical techniques, pools
covering the entire portfolio were identified. Following this process, tree structures were created in which the “leaves”
correspond to the pools identified. The PD associated with each pool is then estimated using the default rate observed for
the exposure attributed to it. The individual pools were then combined into rating categories using cluster analysis.
In the process of assigning the probability of default, the assessment made during the initial approval process is
maintained during the first six months of the relationship unless an excess of over a month is discovered, and starting in
the seventh month, the transaction’s allocation to the corresponding pool is recalculated using the tree established for the
existing portfolio. Performance variables gain greater significance with the age of the mortgage.
Since the rating model is consistent with the development approach and overall style of UniCredit Banca, it offers certain
customization features for specific characteristics related to the different origins of exposure making up the risk portfolio of
UB Casa, especially with regard to the portfolio acquired through the Abbey National channel.
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In the analysis of the overall portfolio of Banca per la Casa, three segmentation trees were determined, the initial
discriminating variable of which is the maturity of the mortgage (the number of months from disbursement greater of less
than 6) and the place of origin for mortgages with a longer maturity. Specifically these include:
 a tree created for the portfolio in the loan approval or application phase, used for assigning the probability of
default to all mortgages that are less than 6 months old;
 a tree for the “existing” former ANBI portfolio to be used for mortgages from the former ANBI that are more
than 6 months old;
 a tree for the “existing” former Adalya-Kiron portfolio created in order to estimate PD for former Adalya
mortgages that are more than 6 months old.
A feature common to the three segmentations is the assignment of greater risk to the pool of those credit files that have
payment delays or delinquencies of over one month.
The validation unit checked the design of the model and the underlying loan approval process score, their discriminating
capacity and the stability of the sample over time. In addition, special emphasis was placed on analyzing sub-models
identified based on the mortgage’s age and its channel of origin. Finally, coverage, in terms of relationships and exposure,
and calibration were analyzed on a combined and sub-portfolio basis.
LGD for local Italian portfolios
LGD models are specific to UniCredit Corporate Banking, UniCredit Banca and UniCredit Banca per la Casa depending
on the area of application (product and segment), although the estimating methodology is the same (i.e., regressive). The
Group selected the workout method for measuring LGD. In this method, the loss rate is calculated on the actual recovery
observed using historical data, starting with cash flows generated on the specific loan from the time it goes into default
until the end of the recovery process. With regard to the estimate, separate regressive models were used for the watchlist
and non-performing phases, while for the past-due phase, an average change in exposure was calculated by counterparty
segment and by major product category (installment, non-installment loans). The block approach makes it necessary to
determine a method for integrating the results of the various models for the calculation of the overall LGD. In particular, it
is necessary to determine two types of parameters. The first are tied to the composition of loans when they initially enter
into default (assuming a default, the probability that it will occur in the form of a past-due, watchlist or non-performing
loan). The second are tied to the probability of a transition between the various stages of default (using UniCredit's
terminology, the latter are defined as "danger rates"). In addition to several variables concerning the counterparties’
customer data and the type and characteristics of relationships, the collateral used to cover exposure is particularly
important. UniCredit Corporate Banking, UniCredit Banca and Banca per la Casa have decided to incorporate the impact
of the various types of collateral in LGD, even if regulations call for an alternative, as in the case of guarantees, for which
it is possible to replace the customer’s PD and LGD with the corresponding parameters of the guarantor when assessing
the risk associated with the portion of exposure secured. Thus, the possibility of treating the secured and unsecured
portions of exposure separately is not taken into account. Instead, the Loss Given Default is calculated at the relationship
level as a function of the existing collateral and its value, if significant.
With particular reference to the segment consisting of individuals, it was decided to jointly (UniCredit Banca and Banca
per la Casa) develop the model for mortgages. As regards Corporate and Small Business, the group opted to use a jointly
developed model for certain types of relationships. Limited to the non-performing loan phase, the highest level of detail
possible, i.e., the relationship, was taken into account for the calculation of the value of LGD. With regard to the watchlist
phase, the bank instead developed two models for each segment with a differentiation based on installment and non-
installment exposure. This decision was driven by the database used for the calculation of observed LGD (i.e., SISBA) in
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which unpaid debt resulting from advances becomes, for all intents and purposes, cash exposure, which is therefore
indistinguishable from current account exposure. Thus, the relationship is the unit of measure for creating models for the
watchlist phase only with respect to the model for installment exposure, while the unit of measure for all non-installment
relationships with the same customer is exposure by counterparty.
The validation unit reviewed the structure of the model, its consistency with the definition of PD, the effect of the economic
cycle, the methodology used for discounting recoveries, the cost allocation and the treatment of assets in default. It
checked the construction of development samples, migrations from one status to another, and the treatment of specific
assets such as derivatives and bank guarantees. Finally, it conducted tests aimed at checking the models’ accuracy and
calibration.
Local models, Germany
“Mid-corporate” rating model
The “Mittelstandsrating” model aims to provide ratings for exposure to the HVB category of companies headquartered in
Germany with revenues of €3-500 million. The model is made up of two components: a quantitative and qualitative
module. The score resulting from the analysis of financial statements (adjusted as necessary as a function of their quality)
results in the partial rating for operating conditions. The qualitative model instead provides the partial rating for the
company’s situation. The final rating is created from a combination of the two partial ratings.
The quantitative module is made up of 12+1 statistical sub-modules called “Maschinelle Analyse von Jahresabschlüssen”
(automated financial statement analyses) or MAJA. The area of application of each of these sub-modules is dependent
upon the company’s industry and size.
In general, the risk factors included in the quantitative module (which were selected using a process including statistical
analyses and discussions with experts) cover the following areas of analysis:
 Asset structure;
 Financial situation;
 Growth in production/Margins.
The qualitative module instead covers areas of analysis concerning:
 the financial situation (not directly covered by the quantitative module) in the context of assessing the ability
to repay debt and the future ability to incur debt;
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 sector, market and product;
 management/business structure;
 risk factors and performance.
Finally, the final rating can be adjusted manually (overridden) if the additional information indicate that the calculated
rating is not appropriate. This practice is subject to specific restrictions and constraints and is closely monitored by the
internal validation unit.
The internal validation unit checked the design of the model, the reliability (performance and stability) of its various
modules (the quantitative module with its related sub-modules, and the qualitative module) and its calibration. It also
analyzed the process of assigning ratings, rules for attributing exposure to the model concerned and the override process.
“Small business” rating model
The “HVB smallcorp” rating model covers small and medium-sized German companies (up to €3 million in net income
based on simplified accounting) and individuals with residence in Germany whose income is mainly from freelance
activities, independent work or income from a small or medium-sized business in which they are major shareholders or
owners.
The application of the model depends on how many affiliated entities are involved in the credit facility: If there are no
affiliated entities, the “Scoring GK (small business)” module is used; if there are affiliated entities, the “Rating GK (small
business)” module is used.
The “Scoring GK” module calculates a single score that is then mapped to a PD. The score is obtained using two different
scorecards depending on whether the counterparty is fully responsible for the company’s liabilities or professional
activities.
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In both cases, the same information is used:
 The so-called “MAJA Values,” which are true financial statement scores developed statistically in a manner
similar to what was used for mid-sized corporations;
 Internal industry scores;
 Performance scores.
In the case of an individual, debt levels are used as an additional risk factor.
The “Rating GK” module consists of two separate modules, one for the company and one for the related individual(s)
(owners/major shareholders). The score used for each related individual follows the rules of the model used for individuals
combining elements that are typical of the loan approval phase and performance aspects. The ratings of each related
individual are then combined in an overall rating of the “individual” portion on the basis of their equity investments in the
company(ies).
The score of the small and medium-sized companies is calculated in subsequent steps:
1. First, a quantitative rating is calculated for each company combining:
- “MAJA Values”;
- Internal industry scores;
- Length of bank relationship.
The above does not apply to the "construction" sector where MAJA values are only combined with the "MORIX"
rating for the real estate market and the property being financed.
2. The financial rating is combined with the performance rating of each of the small and medium-sized businesses
creating an overall company rating.
3. A down-notching is required if the financial information is more than 18 months old.
4. The overall rating of the “individual” portion is combined with the rating of the “company” portion with different
weightings depending on whether the loan is provided to the company or to one of the related individuals.
5. Finally, the rating may be adjusted upon the occurrence of one of the so-called “termination events” (a set of
predetermined events that require the immediate downgrading of the counterparty) on the basis of an expert
assessment. In the latter case, a downgrade correction may be made, but an upgrade is subject to specific
approval and is closely monitored by the internal validation unit.
The internal validation unit checked the design of the model, including through user audits. It also analyzed the
performance and calibration of the overall model and the various modules (quantitative module with the related sub-
modules, and qualitative module) and the stability of the underlying sample. Finally, it reviewed the process for assigning
the rating and the override process.
“Individual” rating model
The “HVB private individuals” rating model covers all individuals excluding independent contractors and independent
workers. Individuals with high property lease income are also excluded. They are considered a part of the Commercial
Real Estate portfolio and assessed using the appropriate rating system.
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The rating model for individuals is made up of 12 scorecards: 8 loan-approval-phase scorecards (one for each product
type) and 4 performance scorecards. Both scores are combined, or one of the two scores is used depending on the
transaction’s phase in the life cycle.
A so-called “supplemental approach” makes it possible to combine all assessments available on each customer (in the
event the customer has more than one relationship with the bank) to obtain an overall probability of default for the
individual customer.
First, this approach calls for determining a “relationship PD” for each transaction. All relationship PDs for the same product
category are then combined (using a weighted average for exposure) into a “product PD.” Finally, all product PDs
contribute to the determination of a “customer PD” based on exposure, the “information weighting” (that summarizes how,
and how far in advance, each product contributes information on the future default of the customer) and the “risk factor for
the product combination” that specifies the different contribution of each product combination to the projected rate of
default.
The validation unit checked the design of the model and its reliability in terms of performance and calibration. In addition, it
analyzed the performance of the various underlying modules and their calibration, and also separately reviewed the
different possible combinations of products used by the same customer.
Rating model for “Commercial Real Estate Finance”
The rating model for HVB’s Commercial Real Estate Finance (CRE) is used in Germany to assess exposure to:
 Real estate dealers: Companies whose financial statements report income that comes mainly from the
construction (or purchase) and subsequent sale of buildings for residential or commercial (offices, stores)
uses;
 Real estate investors that publish financial statements: Companies whose financial statements report income
that comes mainly from the lease of owned residential and commercial properties;
 Real estate investors that do not publish financial statements: Companies with no financial statements or
individual customers with income coming mainly from the lease of owned properties.
This model provides a different module for each of the three categories of counterparties indicated above. Each module is
made up of three sub-modules:
a) a qualitative module that aims to assess the quality and reliability of management, the abilities of the
management team, the quality of organizational management and the bank's experience in managing
relationships with the company;
b) a qualitative module that aims to assess the asset/project to be financed or already financed (by the bank or
other lender), including the quality and implicit risk of the portfolio of the company’s properties/projects, its
planning capabilities (based on past experience) and cash flows planned/projected in future years;
c) a quantitative financial module based on the company’s financial statements supplemented with a qualitative
assessment of the quality, reliability and completeness of the financial statements.
78
Modules a) and b) are expert-based systems in which the factors and their weightings were determined by a team of
experts and refined over time based on experience gained, while module c) was developed statistically.
The results of the three sub-modules are then combined on the basis of the score (Log-PD for the quantitative module),
with the weighting defined on the basis of expert opinions, and the final score calibrated statistically.
The three modules all use the same sub-modules. What changes is the weighting used to combine the partial scores into
the overall score.
The validation unit assessed the design of the model including through an analysis of responses to a questionnaire
provided to users. It also tested the reliability of the model and its modules in terms of performance and calibration, and
the stability of the sample, including through the use of transition matrices. Finally, it analyzed the coverage of the portfolio
and checked in how many cases there were invalid ratings due to the failure to update several components of the model
and overruling rules.
Rating model for “Acquisition and Leveraged Finance” transactions
The “Acquisition and Leveraged Finance" (ALF) model is used for the assessment of projects to finance/refinance
corporate acquisition transactions in which additional bank liabilities are added to the normal operating debt of the
company acquired in order to finance the acquisition.
The debt resulting from the acquisition is repaid out of the future cash flow of the company acquired, and, in certain cases
(i.e., acquisitions that involve strategic investors), out of the cash flows of the acquiring company.
Acquisition transactions and their corporate and tax implications (often involving several jurisdictions) demand specific
expertise during the audit phase, and require:
 appropriate risk-return relationships in addition to a loan structure based on a realistic cash flow simulation
model;
 the adjustment of the acquired company’s financial and debt repayment structure to future cash flows;
 the combined use of highly differentiated borrowing tools (senior debt, junior debt, mezzanine debt, etc.).
79
In terms of procedural aspects, the "ALF rating" is essentially a financial rating that calculates the acquired company’s
probability of default based on equity and financial ratios taken from the provisional financial statements and income
statement. There is no qualitative module since in the preparation of the provisional financial statements, a large amount
of qualitative information based on experts’ opinions is already implicitly taken into consideration. The provisional financial
statements are prepared with the aid of models that simulate future cash flows (INCAS, international financial model).
In this case, manual adjustments (overrides) are also allowed with respect to individual financial ratios and the end rating,
and these adjustments must be approved by the units in charge and must be closely monitored by the internal validation
unit.
The validation unit performed qualitative and quantitative analyses to check the model’s reliability. In particular, the
qualitative analyses of the model’s design are based on results of a questionnaire provided to users. The results of the
model were compared with internal and external benchmarks from a quantitative viewpoint.
“Income Producing Real Estate” (IPRE) rating model
The IPRE-Slotting Criteria model provides an assessment of a particular category of specialized loan related to cash-flow-
based real estate transactions in which the bank has direct access to the cash flows produced in the transaction.
Since it is the result of slotting criteria, the model was obtained by following the project assessment procedures dictated
by prudential rules.
To be specific, the model uses qualitative risk factors and a scoring process that produces an overall score on the basis of
the type of property or number of properties to be assessed. Different scorecards are created as a function of the type of
ownership/property. The valuation criteria of the scorecards are divided into 5 risk categories as indicated in the regulatory
provisions.
Each risk category is assessed on the basis of different risk factors using a questionnaire, and the user assigns an
individual score on a scale of 1-5 to each question.
The combination of the various scores results in the final assessment.
80
Rating model for “Asset Backed Commercial Paper” operations
The model, developed by replicating the approach of the rating agencies, assigns a rating to HVB’s commitments in
relation to vehicles that issue “Asset Backed Commercial Paper”, and is used only in cases where the transaction is
suitable to be given an internal valuation as required by the Regulatory Authority. Three types of exposure are
distinguished:
 Letters of credit
 Lines of liquidity
 Swap agreements
This Rating System comprises different models which are applied according to the type of exposure underlying the
securitization operation. In particular, there are 7 models:
1. Trade receivables;
2. Mortgage warehousing (to cover the residential mortgages segment);
3. Single rated securities;
4. Commercial mortgages (to cover the commercial mortgages segment);
5. Loans and leases;
6. Rated securities and corporate loans;
7. Credit cards
All of the above models consist of a quantitative module which supplies a rating class and a qualitative module whose
results influence the quantitative module through the upward or downward movements of notches.
For the quantitative module, two principal methodologies are used according to the type of underlying exposure and the
residual life of the assets within the vehicles:
 “Reserve Based” approach: used for assets with a short residual life (typically less than 6 months) within the
vehicle (and consequently the commitment also has a limited duration). For this type of transaction, a “point
in time” valuation is carried out in order to determine, in a static manner, the reserves required to cover the
losses.
 “Cash Flow Based” approach: used for assets with a longer residual life. In this case, instead of making a
“point in time” valuation, the evolution of the assets within the vehicle is evaluated by using models which
take account of the expected cash flows to determine the reserves necessary to cover the losses suffered.
81
Apart from the above difference, the structure of the model is generally very similar, as can be seen from the graphic
below:
General model structure – Reserve Based Model
82
General model structure – Cash flow models
All the qualitative modules have been developed on the basis of feedback from experts in the sector.
The validation unit has assessed the conformity of the approach followed by HVB with the criteria used by the Rating
Agencies and declared that it satisfies the minimum requirements prescribed by current legislation.
LGD model
The LGD represents the financial loss suffered by the bank on the individual transaction, and is calculated as a
percentage of the exposure to default. The LGD is calculated for each individual transaction and takes account of the fact
that different types of default are possible:
 Liquidation: total liquidation of the guarantees and forced recovery of the residual debts. The relationship
with the customer is terminated and the customer is removed from the portfolio.
 Settlement: the customer re-enters the performing portfolio after reporting a major loss (> €100) to the bank.
 Cure: once the period of difficulty is over, the customer re-enters the performing portfolio after reporting a
major loss to the bank.
In the case of a Cure, the LGD is set at 0, while in the other two cases the estimation of the LGD follows a work-out
approach, with separate estimation of the recoveries deriving from guarantees and those deriving from the unsecured part
of the exposure. Personal guarantees are not taken into account in the models, since the substitution approach is used for
this type of guarantee.
83
In order to determine the final value of the LGD, the following factors are taken into consideration:
 minimum value that the LGD can fall to under legislative provisions (e.g. 10% for mortgages);
 estimated rate of non-cure cases;
 expected recovery value of the guarantee, net of direct costs;
 expected rate of loss of the unsecured portion of the transaction, discounted and net of direct costs;
 percentage of indirect costs (net of the recoveries made after closure of the positions which it has not been
possible to re-attribute to the individual position);
 refinancing costs;
 any adjustment factor to take account of a potential worsening of the economic cycle.
With regard to the procedure for estimating the rate of recovery from the guarantee, this has been obtained on the basis of
a historical sample and calculated differently for the following types of guarantee:
 real estate;
 other guarantees (physical);
 other guarantees (non-physical).
This value has then been discounted by taking account of the average observed duration of the defaults.
With regard to the procedure for estimating the unsecured part, on the other hand, this has been carried out separately for
seventeen customer categories (the principal categories are retail, small business, corporate, real estate developers, real
estate investors, real estate housing companies, etc.).
The validation unit has examined the structure of the model, its coherence with the definition of PD, the effect of the
economic cycle, the methodology for discounting recovery flows, the allocation of costs and the handling of the assets in
default. The calibration of the model and its components has also been checked.
EAD model
The EAD model determines the expected exposure on a transaction at the time of the default. It is estimated for each
individual transaction as the sum of two components:
Where the parameter that is estimated is obviously the EAD (Off balance).
This parameter may be generically defined as the sum of the following elements:
Where:
CEQ: Credit Equivalent Factor; this is the credit conversion factor for the credit, and represents the portion of the
commitment/guarantee issued by the bank that will be used;
84
LEQ: Limit Equivalent Factor; this is the percentage of the amount unused 12 months before the default that is expected
to be used at the time of the default;
LOF: Limit Overdraft Factor;
BO: Base Overdraft;
BO and LOF: these are the parameters that estimate the expected amount of use that, at the time of the default, will
exceed the allocated maximum limit (overdraft amount); in the application phase, in order to avoid a “double counting” for
cases where the counterparty is already in an overdraft situation, a correction is made using the OCF (Overdraft
Correction Factor);
Endorsement: amount of commitments issued to the bank’s customer;
external line: irrevocable line of credit;
drawing: current use.
The parameters defined above are then differentiated according to the product macro-typologies defined within the
regulatory calculation engine.
For the purposes of evaluating the model, the parameters have been assessed by calculating on the basis of the weighted
averages for each segment.
The validation unit has examined the design model with particular reference to the coherence of the defined parameters,
the need to include a downturn parameter and the coherence of the definition of default with that used in the PD and LGD
models. The calibration of the model and its components, including their major sub-segments, has also been checked.
Local Models, Austria division
“Mid corporate” rating model
The “Firmenkundenrating Inland” rating (= Midcorporate PD rating) concerns itself with ratings for exposures to the
category of Bank Austria (BA) businesses based in Austria of more than €1.5 million and less than €500 million. The
model consists of two components: a quantitative module and a qualitative module.
The risk factors for the quantitative module have been selected on the basis of both statistical and expert criteria.
The principal risk factors included in the quantitative module generally cover the following areas of analysis:
 Size;
 Growth;
 Cost/Income;
 ROI.
The qualitative module, on the other hand, covers the areas of analysis relating to:
 financial situation (not directly covered by the quantitative model), with view to evaluating the capacity for
repayment and the future serviceability of the debt;
 managerial/entrepreneurial setup;
 risk factors and behaviors.
85
The “qualitative rating” and the “final financial rating” (= quantitative rating after verification of the possibility of applying an
“age restriction” and carrying out a first “override” on the basis of the information available) are combined to obtain the so-
called “Combined Customer Rating”.
The “warning signals” are applied to this rating in order to obtain the “Modified Customer Rating”. If this rating is older than
15 months, an “age restriction” is applied, resulting in a downgrade of the qualitative and quantitative rating. It is also
possible to apply an override to this rating, thus producing the “Stand alone Customer Rating”. If there are no situations of
default, or if the counterparty does not belong to a Group (this could entail a modification of the rating), then the “Stand
alone Customer Rating” is also the “Approved Customer Rating”.
The figure below depicts in detail the different phases involved in determining the final rating.
The validation unit has also evaluated the design of the model by analyzing the responses to a questionnaire submitted to
users. It has also tested the behavior of the model and the modules that it comprises in terms of performance and
calibration. Finally, it has carried out analyses aimed at identifying any distorting behaviors in the use of the qualitative
questionnaire, the overrides and the warning signals, as well as analyzing the matrix of transition between financial rating
and final rating.
“Small Business” rating model
This rating model is applicable to small or medium-sized Austrian businesses (up to €1.5 million net profit or using short-
form accounting) and small-scale self-employed professionals and non-profit organizations.
The general design of the model differentiates between “application scorecard” and “behavior scorecard”.
86
The application scorecard is applied principally in the following cases:
 new client;
 the customer requests a further line of credit for which the total exposure exceeds €50,000 or there is no
behavior score (irrespective of the amount of the exposure);
 the updated balance sheet information is available;
 the “warning signals” have been modified / have arisen.
The application scorecard contains a qualitative and a quantitative module. There are two different scorecards according
to the accounting regime of the counterparty: one for small businesses and self-employed professionals drawing up a
balance sheet, and for non-profit organizations; and one for small businesses and self-employed professionals subject to
a short-form accounting regime.
The principal risk factors included in the quantitative modules principally cover the following areas of analysis:
 Profitability;
 Debt coverage.
There are also two qualitative scorecards (one for small businesses and one for self-employed professionals). For non-
profit organizations, the scorecard for small businesses is applied.
The qualitative scorecards cover, among other things, the areas of analysis relating to:
 Reliability of management;
 Level of disclosure to the bank;
 Quality of the accounting systems.
If the customer’s transaction is older than 6 months, the behavior scorecard is calculated automatically on a monthly
basis.
The behavior scorecard, on the other hand, is the same for all types of counterparties.
The risk factors for the behavior score have been selected on the basis of a thorough analysis carried out by a mixed
team of experts in statistics and credit analysis.
The two scorecards (application and behavior) are combined using different weights according to the exposure and the
age of the application score in order to obtain the so-called combined PD, which, once mapped to the master scale,
determines the “calculated rating”.
The final “valid rating” is obtained by modifying the calculated rating on the basis of any available negative information or
of “warning signals” in general.
The figure below depicts in detail the different phases involved in determining the final rating.
87
The validation unit has verified the appropriateness of the design of the model and carried out quantitative analyses
principally aimed at evaluating the discriminating power of the model and its components. It has also verified the stability
of the small business population and the calibration of the model.
“Private” rating model
The Private rating model is applicable to all individuals other than self-employed professionals and independent laborers.
The model consists of 6 scorecards: 3 yield cards and 3 behavior cards, differentiated according to the type of product
(mortgages, current accounts and consumer loans), statistically combined in order to obtain a counterparty PD.
In a first step, one of the six scorecards mentioned above is applied for each transaction. If the age of the transaction is
less than 6 months, the application scores are used; conversely, if the transaction is older than 6 months, the behavior
score is calculated and updated each month.
In a second step, the so-called integration principle makes it possible to consider, for each transaction, the possible
effects deriving from any other types of transactions that the client has with the bank. The result of this integration
determines the “Account specific customer score” for each transaction.
In the third step, according to the integration principle, all the PDs thus determined for the products of the customer
concerned are combined in order to obtain, through the use of a geometric mean, the “Customer PD”.
In the fourth and final step, the PDs are mapped to the rating classes using the BA Masterscale.
Both the transaction PD and the counterparty PD may be modified owing to “warning signals” or negative information
received from external credit agencies.
The internal validation unit has also verified the design of the model by means of checks among users. The behavior
(performance and stability) of the model and its various components has also been analyzed, along with the associated
calibration. Finally, an analysis of the portfolio hedging and a thorough examination of the use of warning signals have
been carried out.
88
“Non Profit Building Association” rating model
The “Non Profit Building Association” (NPBA) rating model is applied to non-profit associations created for the
construction of buildings.
This is a rating model consisting of a quantitative component (financial rating) and a qualitative component.
The financial rating is based on three principal types of information:
1. Adequacy of the available capital;
2. Profitability;
3. Available liquidity.
The qualitative rating, on the other hand, is based on 6 basic components:
1. Quality of management;
2. Accounting and reporting;
3. Organization;
4. Market position;
5. Performance behavior;
6. Specific characteristics of the NPBA.
The quantitative and qualitative ratings are combined in order to obtain the “Combined Rating”; this rating may be subject
to an overruling on the basis of information available to the manager of the transaction, and the final product of this activity
is the so-called “Valid customer rating”.
“Income Producing Real Estate” (IPRE) rating model
The IPRE model is a transaction rating applied to a particular type of specialized loan linked to “cash flow based” real
estate transactions in which the bank has direct access to the cash flows deriving from the transaction. In this type of
transaction, the essential question to which an answer is sought through careful evaluation is whether the cash flows from
the transaction are sufficient to repay the bank. In addition, BA also carries out an evaluation of the investor/builder.
Consequently, the IPRE model consists of two components:
1. transaction rating;
2. counterparty rating.
Both of these components are combined in order to obtain the final rating.
The transaction rating distinguishes three different phases in which the financing may take place:
a) construction of the building;
b) sale of the building;
c) leasing of the building.
The counterparty rating is a “corporate rating” which differentiates between “real estate investors” and “real estate
constructors”. For both of these, a quantitative module (referring to the balance sheet data) and a qualitative module are
used.
89
After integration of the transaction rating and the counterpart rating, further adjustments are applied to take account of
warning signals, overrulings (using, among other things, any available external ratings) and “age restrictions” (according to
the age of the rating).
The figure below shows the structure of the model:
In order to verify the adequacy of the model, the validation unit has carried out a qualitative analysis of its overall design.
Quantitative analyses have also been carried out with regard to the performance and calibration of the model.
“Income Producing Real Estate” (IPRE) LGD model
Generally speaking, the LGD represents the financial loss suffered by the bank on the individual transaction, and is
calculated as a percentage of the exposure to default.
For the purposes of determining the final LGD for an IPRE, three different situations are distinguished:
 “Cure”: when the counterparty returns to a “performing” state without causing any loss for the bank;
 “Settlement”: when the counterparty returns to a “performing” state but causes a financial loss for the bank;
 “Liquidation”: all other cases.
When the customer does not cause any financial loss for the bank, an LGD of zero is assumed. Thus, the overall LGD for
an IPRE transaction becomes as follows:
90
Below are specific details of the procedure for determining the LGD relating to “liquidation” status. The remaining
parameters have been determined, in view of the nature of the transaction, on the basis of expert evaluation carried out by
analysts in the sector.
In order to determine the liquidation LGD, different elements of information are taken into consideration. In particular:
 EAD;
 Rate of recovery;
 Costs;
 Discount factor;
 Value of the guarantee;
 Priority in repayment of the loan.
Both the EAD and the guarantees assume different values according to the different phases of the transaction
(construction, sale, rental).
The guarantees that can be used in the liquidation phase and therefore considered for the purposes of determining the
LGD for the IPRE are as follows:
 the principal subject of the transaction (the property);
 additional subjects of the transaction (any other properties);
 cash;
 securities.
LGD model for the other transactions
The LGD represents the financial loss suffered by the bank, and is calculated as a percentage of the exposure to default;
the general scheme of the LGD model in BA provides for the separate estimation, according to a work-out approach, of
the recoveries deriving from guarantees and those deriving from the unsecured part of the exposure. Personal guarantees
are not taken into account in the models, since the substitution approach is used for this type of guarantee.
In order to determine the final value of the LGD, the following factors are taken into consideration:
 minimum value that the LGD can fall to under legislative provisions (e.g. 10% for mortgages);
 expected recovery rate of the guarantee, net of direct costs;
 expected recovery rate of the unsecured portion of the transaction, net of direct costs;
 value of the guarantee;
 refinancing costs;
 any adjustment factor to take account of a potential worsening of the economic cycle.
91
With regard to the procedure for estimating the rate of recovery from the guarantee, this has been obtained on the basis of
a historical sample and calculated differently for the following types of guarantee:
 residential real estate;
 commercial real estate;
 financial guarantees;
 life insurance policies;
 other.
This value has then been discounted by taking account of the average observed duration of the defaults.
With regard to the procedure for estimating the “unsecured” part, on the other hand, this has been carried out separately
for seven customer categories (the three principal categories are retail, small business and corporate).
In a first phase, an estimation has been made (in a different manner than for retail and with respect to the other
categories) of the gross recovery value with respect to the unsecured percentage of exposure; this value has then been
corrected to take account of the direct costs. Finally, this value has been discounted by taking account of the average
observed duration of the defaults (in a similar manner to that applied for the value of the guarantees).
The validation unit has examined the structure of the model, its conformity with the definition of PD, the effect of the
economic cycle, the methodology for discounting recovery flows and the allocation of costs. The design of the model has
also been evaluated through targeted discussions with experts in the sector. From the quantitative point of view,
performance and calibration analyses have been carried out for all important sub-portfolios.
EAD model
The EAD model determines the expected exposure on a transaction at the time of the default. It is estimated for each
individual transaction by using the following information:
 effective exposure at the time of the estimation;
 amount of guarantees/commitments issued by the bank to the counterparty;
 allocated maximum credit limit.
The estimated parameters are as follows:
CEQ: this is the credit conversion factor for the credit, and represents the portion of the commitment/guarantee issued by
the bank that will be used;
LEQ: this is the percentage of the amount unused 12 months before the default that is expected to be used at the time of
the default;
BO and LOF: these are the parameters that estimate the expected amount of use that at the time of the default will
exceed the allocated maximum limit (overdraft amount);
COF: this is important only if the client’s exposure, in the application phase of the model, is above the allocated maximum
limit, and is calculated as the ratio between the overdraft amount at the time of the default and the overdraft amount 12
months earlier.
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The parameters have been estimated by calculating weighted averages for each segment. The estimation and
segmentation have been carried out separately for transactions that refer to a single type of product and those that refer to
multiple products.
For the first type of transaction, the observations have been segmented according to the product type, the segment of the
counterparty and the sector of economic activity, while for the second type of transaction only the last two aggregation
approaches have been taken into consideration.
For both types of transaction, the segments have been aggregated by following a 2-step clustering algorithm:
 in the first step, those categories that differ only in one segmentation criterion have been aggregated;
 in the second step, the clusters have been further aggregated in order to minimize the dispersion of the
model’s parameters.
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(€ thousand)
IRB approach - risk assets

Foundation IRB approach Advanced IRB approach
Exposures classes
Exposure weighted Exposure weighted
Exposure amount Exposure amount
amount amount
Exposures with or secured by central administrations and

central banks 0 0 5.703.572 199.513
Exposures with or secured by supervised institutions, public
and territorial entities and other entities:
- Supervised institutions 0 0 141.203.198 18.354.708
- Public and territorial entities 0 0 1.476.996 150.677
- Others 0 0 858.444 269.971
Exposures with or secured by corporates:
- Specialized lendings 0 0 7.576.954 3.205.633
- Small/Medium enterprises (SME) 0 0 98.511.696 44.998.674
- Other corporates 0 0 115.265.374 50.683.886
Retail exposures:
- Exposures secured by residential real estate property:
SME 11.086.199 3.554.222
- Exposures secured by residential real estate property:
individuals 64.591.051 15.012.865
- Qualified revolving reatil exposures 7.765.986 2.104.195
- Other retail exposures: SME 27.816.065 8.886.856
- Other retail exposures: individuals 14.589.402 8.247.965
Purchased receivables: dilution risk 0 0 0 0
Other assets 34.261.864 1.114.570
Specialized lending - slotting criteria 0 0 3.819.314 3.022.338
Alternative treatment of mortgages 0 0
Settlement risk: Exposures connected to non DVP
transactions (Delivery Versus Payment) with supervisory
weighting factors 0 0 61.049 61.049
Total on-balance-sheet risk assets 0 0 295.413.524 121.245.641
Total guarantees given and committed lines 0 0 135.433.391 26.664.656
Total derivatives contracts 0 0 39.951.831 10.909.737
Totale SFT transactions and long settlement transactions 0 0 63.788.416 1.047.090

From contractual cross product netting 0 0 0 0
Total 0 0 534.587.162 159.867.124
94
(€ thousand)
Advanced IRB approach

of which: off-
Exposure
Exposures classes balance sheet
amounts
items
Exposures with or secured by Central Administrations and Central Banks 7.837.593 522.936
PD - 0,00% 591.024 0
PD - 0,02% 3.130.006 174.038
PD - 0,03% 35.808 8.500
PD - 0,04% 13.589 0
PD - 0,08% 201.181 11.036
PD - 0,10% 21.119 16.866
PD - 0,14% 10.000 10.000
PD - 0,19% 2.981.448 75.051
PD - 0,26% 5.568 3.001
PD - 0,34% 40.000 0
PD - 0,36% 2.677 1.242
PD - 0,49% 5.860 5.150
PD - 0,61% 5.000 0
PD - 0,66% 10.303 10.001
PD - 0,90% 13.352 10.967
PD - 1,23% 175.572 164.519
PD - 1,68% 5.000 5.000
PD - 2,29% 551.048 0
PD - 3,12% 32.534 27.421
PD - 7,90% 187 76
PD - 20,00% 135 61
PD - 100,00% 6.182 7
Exposures with or secured by supervised institutions, public and territorial 186.040.697 9.803.462
entities, and other entities
PD - 0,02% 26.696.302 2.560.436
PD - 0,03% 101.854.180 1.381.498
PD - 0,04% 14.077.979 630.907
PD - 0,06% 3.628.709 934.365
PD - 0,08% 14.107.436 796.188
PD - 0,09% 123 62
PD - 0,10% 3.616.401 133.003
PD - 0,14% 3.681.121 375.684
PD - 0,19% 3.959.544 56.752
PD - 0,22% 11.476 0
PD - 0,26% 337.050 41.253
PD - 0,27% 553.530 36.302
PD - 0,36% 157.522 39.739
PD - 0,40% 19.375 4.361
PD - 0,43% 445.465 16.373
PD - 0,49% 1.627.552 211.535
PD - 0,52% 5.645 947
PD - 0,61% 6 0
95
of which: off-
Exposure
amounts
items
PD - 0,66% 599.033 77.182

PD - 0,70% 1.117.291 48.846
PD - 0,90% 462.185 139.134
PD - 0,96% 18.374 946
PD - 1,12% 3.225.216 1.369.131
PD - 1,23% 1.027.347 294.044
PD - 1,54% 70.757 22.719
PD - 1,64% 9.503 528
PD - 1,68% 421.817 150.889
PD - 1,89% 620.037 40.893
PD - 2,29% 1.477.166 61.792
PD - 2,60% 31.111 8.916
PD - 2,99% 11.055 4.656
PD - 3,00% 60 0
PD - 3,12% 308.275 50.116
PD - 3,19% 356.981 26.377
PD - 4,25% 98.729 16.371
PD - 4,87% 5.549 249
PD - 5,38% 216.182 10.724
PD - 5,80% 111.240 21.806
PD - 7,90% 200.936 111.623
PD - 10,77% 45.488 16.132
PD - 10,95% 4.190 0
PD - 12,06% 485.953 27.470
PD - 14,67% 22.601 9.402
PD - 20,00% 39.829 4.822
PD - 20,48% 1.511 123
PD - 25,00% 177.533 64.987
PD - 53,54% 262 0
PD - 100,00% 95.070 4.179
Exposures with or secured by corporates 222.595.130 38.620.746
PD - 0,00% 51.957 0
PD - 0,02% 3.496.701 361.319
PD - 0,03% 7.817.999 1.834.473
PD - 0,04% 2.484.308 501.939
PD - 0,06% 4.163.593 888.992
PD - 0,08% 3.788.258 1.051.550
PD - 0,09% 8.157.008 615.018
PD - 0,10% 6.947.168 2.400.334
PD - 0,14% 4.122.906 1.817.729
PD - 0,15% 961.097 214.544
PD - 0,19% 7.900.939 2.816.188
PD - 0,22% 14.362.414 1.132.883
PD - 0,24% 1.623.531 408.360
PD - 0,26% 5.004.089 1.859.167
PD - 0,27% 10.521 0
96
of which: off-
Exposure
amounts
items
PD - 0,36% 4.520.570 1.143.107

PD - 0,40% 3.140.933 356.673
PD - 0,49% 7.657.257 2.552.570
PD - 0,52% 24.543.108 2.146.912
PD - 0,65% 851.647 89.697
PD - 0,66% 5.211.021 1.148.602
PD - 0,90% 3.084.080 673.274
PD - 0,96% 17.605.436 1.169.166
PD - 1,07% 887.822 39.470
PD - 1,23% 11.036.533 3.034.215
PD - 1,54% 13.091.785 1.065.658
PD - 1,64% 1.114.534 158.279
PD - 1,68% 4.267.926 1.134.502
PD - 1,79% 411.172 69.034
PD - 1,89% 10.000 0
PD - 2,29% 3.259.054 793.301
PD - 2,60% 9.843.587 698.141
PD - 2,99% 1.662.130 188.647
PD - 3,12% 8.376.454 2.314.886
PD - 4,25% 5.735.368 1.098.146
PD - 4,87% 4.125.488 376.823
PD - 4,99% 112.047 2.567
PD - 5,38% 883.841 134.034
PD - 5,80% 2.446.921 542.544
PD - 7,90% 3.414.444 628.521
PD - 10,77% 1.589.566 183.867
PD - 10,95% 1.076.602 134.117
PD - 11,45% 7.555 75
PD - 14,67% 258.790 38.781
PD - 20,00% 968.045 204.472
PD - 20,48% 159.548 11.719
PD - 25,00% 58.805 0
PD - 31,85% 2.240.739 121.708
PD - 53,54% 72.577 2.217
PD - 100,00% 7.977.256 462.525
Equity exposures: PD/LGD approach 18.669
PD - 0,02% 44 n/a
PD - 0,08% 1.136 n/a
PD - 0,19% 8.601 n/a
PD - 1,23% 1.343 n/a
PD - 3,12% 6.250 n/a
PD - 20,00% 1.295 n/a
Equity exposures: simple risk weight approach 2.438.884 n/a
Equity exposures: internal models approach n/a n/a
97
(€ thousand)
IRB Approaches - Advanced approach - Retail exposures

of which: off-
Exposure
amounts
items
TOTAL RETAIL EXPOSURES 125.848.887 8.590.989

Exposures secured by residential real estate property: SME 11.086.199 583.033
PD - 0,02% 37.474 0
PD - 0,08% 138.593 2.454
PD - 0,19% 2.100.536 37.402
PD - 0,40% 139.228 35.995
PD - 0,49% 3.896.765 60.360
PD - 0,96% 223.558 53.527
PD - 1,23% 1.887.285 28.303
PD - 1,64% 338.876 58.514
PD - 2,99% 535.174 115.879
PD - 3,12% 602.502 9.947
PD - 5,38% 426.655 95.256
PD - 7,90% 163.039 2.105
PD - 10,95% 261.320 55.788
PD - 20,00% 72.704 909
PD - 20,48% 78.041 17.960
PD - 53,54% 34.387 4.336
PD - 100,00% 150.062 4.298
Exposures secured by residential real estate property: individuals 64.591.051 222.649
PD - 0,06% 130.265 496
PD - 0,08% 3.295 0
PD - 0,10% 33.478 1.500
PD - 0,11% 1.581.852 627
PD - 0,14% 37.698 1.053
PD - 0,15% 10.403 0
PD - 0,18% 36.581 164
PD - 0,19% 158.267 3.309
PD - 0,24% 7.716.585 6.128
PD - 0,25% 20.413 0
PD - 0,26% 532.293 8.841
PD - 0,30% 6.820.863 4.061
PD - 0,34% 9.718 0
PD - 0,36% 424.776 4.729
PD - 0,37% 7.281.344 6.772
PD - 0,40% 474 0
PD - 0,45% 29.359 78
PD - 0,49% 1.124.134 8.328
PD - 0,52% 12.383 27
PD - 0,54% 4.445.662 13.210
PD - 0,65% 165 0
PD - 0,66% 2.736.626 28.426
98
of which: off-
Exposure
amounts
items
PD - 0,67% 21.852 8
PD - 0,84% 2.941.708 8.533
PD - 0,90% 2.502.395 10.914
PD - 0,91% 10.445 0
PD - 0,96% 28 0
PD - 1,09% 22.907 15
PD - 1,12% 1.384.659 2.473
PD - 1,23% 7.312.513 39.980
PD - 1,54% 5.095 0
PD - 1,64% 79.014 370
PD - 1,68% 2.268.288 7.592
PD - 1,69% 61.058 221
PD - 1,79% 1.006.563 2.833
PD - 2,20% 661.765 3.088
PD - 2,29% 1.793.596 7.464
PD - 2,45% 27.872 216
PD - 2,99% 284.705 974
PD - 3,10% 6.060 14
PD - 3,11% 5.075 101
PD - 3,12% 1.915.067 16.722
PD - 3,19% 1.086 68
PD - 4,25% 1.051.015 5.391
PD - 4,30% 2.907 0
PD - 5,38% 157.299 151
PD - 5,80% 1.599.186 10.597
PD - 7,90% 516.631 1.595
PD - 10,77% 690.193 3.814
PD - 10,95% 282.281 7
PD - 13,78% 81 0
PD - 14,67% 544.147 3.302
PD - 20,00% 500.466 1.535
PD - 20,48% 122 0
PD - 31,85% 1.131.881 660
PD - 50,38% 508 0
PD - 50,69% 457 0
PD - 53,54% 40.603 0
PD - 100,00% 2.614.889 6.262
Qualified revolving retail exposures 7.765.986 5.822.428
PD - 0,02% 114 21
PD - 0,03% 14 14
PD - 0,06% 97 59
PD - 0,08% 22.915 19.575
PD - 0,10% 695.852 682.456
PD - 0,14% 145.356 141.002
PD - 0,19% 662.883 592.488
PD - 0,26% 244.953 221.049
99
of which: off-
Exposure
amounts
items
PD - 0,36% 106.097 91.623

PD - 0,49% 2.200.922 1.961.211
PD - 0,66% 319.085 258.494
PD - 0,90% 139.422 106.540
PD - 1,23% 1.762.530 1.315.128
PD - 1,68% 84.006 46.009
PD - 2,29% 77.299 38.662
PD - 3,12% 495.848 166.482
PD - 4,25% 73.886 34.358
PD - 5,80% 186.261 61.832
PD - 7,90% 151.746 25.327
PD - 10,77% 23.145 8.442
PD - 14,67% 74.804 20.311
PD - 20,00% 141.951 25.733
PD - 100,00% 156.800 5.612
Other retail exposures: SME 27.816.249 843.389
PD - 0,02% 24.133 0
PD - 0,08% 1.212 127
PD - 0,10% 963 744
PD - 0,14% 359 293
PD - 0,19% 12.775 9.499
PD - 0,26% 8.483 6.659
PD - 0,36% 3.039 2.453
PD - 0,40% 5.154.094 127.833
PD - 0,49% 73.694 39.687
PD - 0,66% 48.863 37.191
PD - 0,90% 13.146 7.143
PD - 0,96% 4.444.544 71.776
PD - 1,23% 278.936 151.505
PD - 1,64% 3.709.047 47.530
PD - 1,68% 11.514 4.524
PD - 2,29% 13.923 5.195
PD - 2,99% 3.927.680 44.481
PD - 3,12% 321.660 114.582
PD - 4,25% 14.711 5.161
PD - 5,38% 3.436.495 33.511
PD - 5,80% 91.932 30.093
PD - 7,90% 191.628 34.639
PD - 10,77% 11.188 3.363
PD - 10,95% 2.506.782 24.787
PD - 14,67% 29.669 6.727
PD - 20,00% 72.722 7.773
PD - 20,48% 838.535 12.545
PD - 53,54% 488.326 4.467
PD - 100,00% 2.086.196 9.101
100
of which: off-
Exposure
amounts
items
Other retail exposures: individuals 14.589.402 1.119.490

PD - 0,02% 97.388 0
PD - 0,06% 179 122
PD - 0,08% 99.187 12.709
PD - 0,10% 54.419 15.658
PD - 0,14% 21.553 4.038
PD - 0,19% 1.240.073 168.811
PD - 0,26% 171.022 22.722
PD - 0,36% 140.412 17.178
PD - 0,49% 2.554.622 287.698
PD - 0,66% 754.319 59.649
PD - 0,90% 472.835 28.862
PD - 1,23% 3.241.652 232.229
PD - 1,68% 604.166 27.797
PD - 2,29% 640.404 23.035
PD - 3,12% 1.366.777 88.979
PD - 4,25% 392.230 15.763
PD - 5,80% 579.657 25.412
PD - 7,90% 457.072 16.823
PD - 10,77% 278.762 35.083
PD - 14,67% 168.686 8.338
PD - 20,00% 270.973 8.513
PD - 100,00% 983.014 20.071
101
Table 8 – Risk mitigation techniques
Within the compliance to the framework of Basel II requirements, UniCredit Group has been carrying out specific activities
aiming at defining all the requirements for recognition of Credit Risk Mitigation techniques and to take all the necessary
steps for their satisfaction, i.e. policies / internal guidelines, processes and supporting IT systems, in relation to the
different approaches adopted (Standardized, IRB-F or IRB-A) and in accordance with each Country’s domestic legal
system and all local supervisory requirements.
With these regards specific policies representing the Group acknowledgement and interpretation of the regulatory
requirements concerning the Credit Risk Mitigation have been issued. In particular the requirements set out by the
“International Convergence of Capital Measurement and Capital Standards” and “Directive 2006/48/EC of the European
Parliament and of the Council” have been translated into internal guidelines, pursuing several objectives:
 to encourage collateral and guarantees optimal management;
 to maximize the credit protections’ mitigating effect on credit losses;
 to attain positive effect on Group Capital Requirements, ensuring that Local CRM practices meet minimum
Basel 2 requirements;
 to define general rules for eligibility, valuation, monitoring and management of collateral (funded protection) and
guarantees (unfunded protection) and to detail special rules and requirements for specific
collaterals/guarantees.
Collateral / guarantee is accepted only to support loans and they cannot serve as a substitute for the borrower’s ability to
meet obligations. For this reason they have to be evaluated in the credit application along with the assessment of the
creditworthiness and the repayment capacity of the borrower.
In the credit risk mitigation technique assessment, UniCredit Group emphasizes the importance of the legal certainty
requirement for all the funded and unfunded credit protection techniques, as well as their suitability. Legal Entities put in
place all necessary actions in order to:
 fulfill any contractual and legal requirements in respect of, and take all steps necessary to ensure the
enforceability of the collateral/guarantee arrangements under the applicable law;
 conduct sufficient legal review confirming the enforceability of the collateral/guarantee arrangements on all
parties and in all relevant jurisdictions.
Legal Entities conduct such review as necessary to ensure enforceability for the whole life of the underlying collateralized
credit exposure. In general operative instructions and related processes are particularly severe, aiming at granting the
perfection of each collateral/guarantee acquired.
On the other hand, suitability has always to be granted. Any collateral / guarantee can be considered adequate if it is
consistent with the underlying credit exposure and, for guarantees, when there are no relevant risks towards the
protection provider.
102
Policies and processes for, and an indication of the extent to which the Group makes use
of, on – and off – balance sheet netting
In general netting agreements are considered eligible if they are legally effective and enforceable in all relevant
jurisdictions, including in the event of insolvency or bankruptcy of counterparty.
Specifically, master netting agreements must meet the following minimum operational conditions:
 provide for the netting of gains and losses on transactions cleared under the master agreement so that a single
net amount is owed by one party to the other;
 fulfill the minimum requirements for recognition of financial collateral (valuation requirements and monitoring).
Legal Entities can use netting agreement only if they are able at any time to determine the position netting value (assets
and liabilities with the same counterparty that are subject to the netting), monitoring and controlling debts, credit and
netting value.
Policies and processes for collateral evaluation and management
Unicredit Group has implemented a clear and robust system for managing the credit risk mitigation techniques, governing
the entire process for evaluation, monitoring and management.
The collateral value is based on the current market price or the estimated amount which the underlying asset could
reasonably be liquidated for (i.e. financial instrument or real estate Fair Value).
In detail, for financial instruments, valuation methods are different depending on their type:
 securities listed on a recognized stock exchange, are evaluated according to the market price (the price of the
most recent trading session);
 securities not listed on a recognized stock exchange, have to be based on pricing models based on market
data;
 undertakings for Collective Investments and mutual funds are based on the price for the units that are publicly
quoted daily.
Market price of pledged securities are adjusted by applying haircuts for market price and foreign exchange volatility
according to Basel 2 regulation requirements. In case of currency mismatch between the credit facility and the collateral,
an additional haircut is applied. Possible mismatches between the maturity of the exposure and that of the collateral are
also considered in the adjusted collateral value.
The current models in place within the Group are mainly based on pre-defined prudential haircuts. Internal haircuts for
each security based on Value at Risk (VaR) respectively estimated volatility adjustment approach are in use or under
implementation.
The main Legal Entities of the Group are also provided with tools for the automatic evaluation of the mark to market of the
pledged securities, granting the constant monitoring of the financial collateral values.
For the valuation of real estate collateral, specific processes and procedures ensure that the property is valuated by an
independent expert at or less than the market value.
For the Legal Entities operating in Austria, Germany and Italy, systems for the periodic monitoring and revaluation of the
real estate serving as collateral, based on statistical methods and internal databases or provided by external info-
providers, are in place.
103
The other types of collateral (such as movable assets) are subject to through evaluation and specific prudential haircuts
are applied. Monitoring activities strictly depend on the collateral characteristics. In general pledges on goods are treated
with caution.
A description of the main types of collateral taken by the Group
The list of collateral types taken by each Legal Entity within the Group strictly depends on the approach adopted
(Standardized, IRB-F, IRB-A) and on the specific legal framework of the Country.
The Holding Company provides specific guidelines for the eligibility of all kind of collaterals and each Legal Entity defines
the list of eligible collaterals according to uniform Group methods and procedures and in compliance with all domestic
legal and supervisory requirements and local peculiarities.
The main collateral types are represented by real estate, both residential and commercial, financial collaterals (including
cash deposits, debt securities, equities, Undertakings for Collective Investments in Transferable Securities (UCITS) and
mutual funds) and insurance policies.
The main types of guarantor and credit derivative counterparty and their creditworthiness
In general, the main types of guarantor counterparty are entrepreneurs and company partners/shareholders (and their
relatives if the case) of the borrower. Less frequent are credit facilities covered by personal guarantees provided by other
companies, usually the holding company or other companies belonging to the same economic group of the borrower, or
by financial institutions and insurance companies.
Credit derivative providers are mainly banks and institutional counterparties.
The list of eligible protection providers depends on the specific approach adopted by each single Legal Entity. For
instance, under the Standardized approach, eligible protection providers pertain to a restricted list of counterparts, such as
central government and central banks, public sector entities and regional and local authorities, multilateral development
banks, supervised institutions and corporate entities that have a credit assessment by an eligible ECAI associated with
credit quality step 2 or above). Legal Entities adopting IRB-A have no particular restrictions and the list of eligible
protection providers has to be defined by local Risk Management and Strategic Risk Management (if existing) and
approved by the competent Body, in coordination with the Holding Company.
Before a personal guarantee is acquired, the protection provider (or the protection seller in case of credit default swap)
has to be assessed in order to measure his/her solvency and risk profile. The hedging effect of guarantees / credit
derivatives for the purpose of credit protection depends basically on the protector’s creditworthiness and the protected
amount must be reasonably proportionate to the economic performance capabilities of the protection provider.
104
Information about market or credit risk concentrations under the credit risk mitigation
instruments used
There is concentration risk when the major part of Group-wide collateral assets (at portfolio level) are concentrated in a
small number of collateral types, instruments, special providers of collaterals or sectors.
Such concentration is monitored and controlled by the following processes / mechanisms:
 In case of personal guarantees / credit derivatives, a contingent liability (indirect risk) is charged to the
protection provider. In the evaluation of the credit application, the secondary commitment is added to the
guarantor and it is reflected in the guarantor’s total credit exposure as deemed competent and approved in
accordance with the bank’s system of authority;
 In case the protection provider, directly or indirectly, is a bank or a sovereign, a specific credit limit has to be
instructed and, if the guarantor is a foreign subject, a country limit must be obtained, if necessary;
 For all the collateral / guarantee types, both credit and market risk, specific reporting and monitoring activities at
consolidated level have to be implemented.
(€ thousand)
Total amount of secured exposures (securitizations excluded)

Exposures with
Financial Guarantees and
Other guarantees
collaterals credit derivatives
Central governments and central banks 52.425 0 10.933.011

Supervised institutions 629.905 279.200 5.048.957
Regional administrations and local authorities 49.268 101 4.855.732
Administrative bodies and non-commercial undertakings 613.054 0 629.831
Multilateral development banks 525 0 3.237
International organizations 0 0 0
Corporate and other entities 14.497.147 251.641 5.479.542
Retail exposures 16.366.486 6.242 179.854
Corporate (short term exposures) 0 0 52
Collective Investment Undertakings (CIU) 0 133.000 0
Exposures secured with real estate property 4.011.951 0 486
Exposures in the form of guaranteed bank bonds (covered bond) 0 0 285.000
Past due exposures 20.061 643 24.036
High risk exposures 0 0 0
Other exposures 0 0 21.462
Total 36.240.822 670.827 27.461.200
105
Table 9 – Counterparty risk
Counterparty Risk - Qualitative Information
Role of the Parent Company
The Parent is responsible for realising risk measurement and management methodologies, developing its own risk
measurement system, establishing the grid of operating limits for itself and individual Group entities and monitoring the
Group’s total risk profile.
The following is a brief description of the risk measurement and control methods in use in the Group’s larger entities.
HVB AG
Counterparty risk is measured and monitored by an independent risk management unit using an internal model based on
a Montecarlo simulation approach.
This model is used to calculate – with a 99% confidence interval – the potential future exposure arising from OTC
derivatives. The model takes into account the mitigation effect of the netting and collateral agreements entered into with
various counterparties.
Internal limits are used to monitor the following risks:
 money market risk;
 pre-settlement risk for positions margined by collateral agreements;
 pre-settlement risk for positions not subject to collateral agreements; and
 settlement risk.
The limits grid is specified for all counterparties individually, large groups and countries. The grid is an integral part of the
credit approval process.
Counterparty exposure is monitored in real time. The integration of front office and internal risk measurement systems
enables continuous monitoring of changes in exposure due to derivatives.
An automatic report is generated for all interested parties of all excesses over the limits.
106
BA-CA AG
Counterparty risk is measured and monitored by an independent risk management unit using an internal model based on
a Montecarlo simulation approach which calculates potential future exposure on a daily basis for individual counterparties
and portfolios. The following are the main risk measures produced:
 Current Exposure: The replacement cost that the bank would have to bear on default by the counterparty, i.e.,
the positive mark-to-market value of derivatives.
 Potential Future Exposure: The future replacement cost arising from future increases in exposure due to
unexpected changes in risk factors (interest rates, exchange rates and share prices), which is calculated using
two methods: Montecarlo approach and Add on approach.
The Montecarlo approach is used to calculate the main product classes’ potential exposure: currency derivatives, interest-
rate derivatives, equity and credit derivatives; the future exposure of commodity derivatives and repurchase agreements is
calculated by means of add-ons differentiated according to contract maturity.
The Montecarlo method in use includes the full revaluation of all transactions by present time buckets.
The internal model is able to pick up the mitigation effect of the netting and collateral agreements and to provide internal
effective maturity measures as prescribed under Basel II.
Counterparty risk monitoring is based on a system of limits for individual counterparties and product groups (spot,
derivatives, money markets, securities and repos).
Counterparties’ exposures and information relating to the use of credit lines for derivatives transactions is made available
0on line by the central treasury system.
UniCredit Banca d’Impresa
Counterparty risk relating to derivatives is subject to prior specific credit approval which sets exposure limits for specific
Group and outside counterparties.
Monitoring of risk profiles is carried out as follows.
Positions with mark-to-market higher than approved limit
The account manager monitors differences between the credit equivalent – calculated by applying the weighting
coefficient to the notional value of the contract – and mark-to-market value, and, where the difference is significant, the
risk is reviewed.
To facilitate this activity the bank’s markets control department (Presidio Operativo Finanza) identifies significant (i.e., min.
10%) differences between mark-to-market values and limits. The branch manager is informed of these differences so that
the counterparty’s credit lines can be promptly reviewed. The assessment is completed positively where the customer
brings the mark-to-market value within its limits or provides a real guarantee for the excess amount, or, alternatively, the
limit itself is increased accordingly.
107
Positions with large negative mark-to-market
A special monitoring process is carried out on customers with negative mark-to-market value of over €500,000.
The Derivatives Committee is kept informed by the business functions of potentially critical situations of inconsistent or
high risk.
These positions are notified by the Derivatives Department to the Risk Management Monitoring unit of the Credit
Department; the latter distributes a list of critical positions to the Regional Managers so that the relationship can be closely
managed. Local Risk Management Monitoring units check that the instructions of HQ are carried out.
The Derivatives Committee regularly monitors the mark-to-market value of derivatives, inter alia, quantitatively and
qualitatively, in terms of distribution by product class (focussing on very complex products) and bands of notional principal.
IRSs are the most-used derivative for non-financial companies and this portfolio is also tested for sensitivity to various
possible interest-rate shocks.
Pioneer Global Asset Management
An International Swap and Derivatives Association (ISDA) Master Agreement is required for all OTC contracts and Global
Policies require that OTC counterparties should be of high standing, viz.:
a) S&P Long Term ≥ A or Moody’s ≥ A2;
b) capital ratios in excess of an internally defined threshold, viz.: shareholders’ equity, shareholders’ equity net of
intangibles/total assets; liquid assets/short-term borrowing; ROE; Cost/Income; and Tier 1.
Risk management continuously checks that these standards are met.
In addition the Executive Committee and the Board of Directors have also set limits on derivatives transactions for Italian-
law fund managers. Only staff with proven experience and high seniority (viz., investment heads, trading desk heads and
senior portfolio managers) are authorised to deal in derivatives.
Luxembourg-law funds managed by PIM Ltd have a counterparty limit for CDS hedge purchases.
Counterparty risk reports on both standard and derivatives business are given submitted by Risk Management to PIM
Ltd’s Credit Committee and regularly sent to PGAM’s Risk Management.
108
Parent and Other Subsidiaries
The distribution of business in the Group and its own role are such that the Parent controls most derivatives business
entered into with institutional counterparties.
In order to contain and control counterparty risk, the Parent has drawn up a schedule of limits based on the credit
equivalent of the exposure, i.e., the weighted sum of transactions with an individual counterparty. The weighting takes the
specific riskiness of instruments into account.
The Parent’s OTC derivatives business uses the internationally recognised ISDA Master Agreement and calls for netting
agreements with counterparties, thus limiting the use of the credit line for long or short positions with the same
counterparty.
Since July 2006 the Parent has been using the Murex IT system for money market instruments and since February 2007
has been developed to take derivatives as well. This makes it possible to manage counterparty risk in keeping with the
nature of the business.
Within this regulatory and procedural framework, the Parent uses lines of credit assessed and approved, according to
their area of responsibility, by the Global Financial Services Department or the Risk Management Department. The
amount of each line and the extent of usage are available in the Murex front office system which is automatically updated
through data downloads from the loan approval system (Fidi e Garanzie) and the front office system, with no intervention
by traders.
Controls are as follows:
 prior check that a line of credit is available by front office staff (line control);
 a real time and ex-post control by credit approval staff (line control); and
 a check by middle and back office (line control) that new lines or renewals have been updated.
109
(€ thousand)
Counterparty risk - collaterals

EAD AMOUNT AS AT
COUNTERPARTY RISK - COLLATERALS
06/30/2008
Standardized approach
- derivatives contracts 303.466
- SFT transactions and long settlement transactions 24.349.271
(€ thousand)
Counterparty risk
EAD AMOUNT AS AT
COUNTERPARTY RISK
06/30/2008
Standardized approach
- derivatives contracts 14.175.006
IRB approaches
- derivatives contracts 39.951.831
(€ thousand)
Counterparty risk - Credit derivative contracts

Credit derivative contracts (Notional amount) Purchases of

Sales of protection
protection (Sales of
(Purchases of risk)
risk)
Regulatory trading book 202.849.997 224.692.725

- Credit Default Swap 201.140.997 220.472.725
- Credit Default Option 0 0
- Credit Spread Option 0 0
- Credit Spread Swap 0 0
- Credit Linked Note 1.294.000 4.220.000
- Total Rate of Return Swap 415.000 0
- Other Credit derivative contracts 0 0
Banking book 5.686.590 1.287.483
- Credit Default Swap 4.250.552 752.483
- Credit Default Option 88.810 0
- Credit Spread Option 0 0
- Credit Spread Swap 0 0
- Credit Linked Note 533.418 535.000
- Total Rate of Return Swap 813.810 0
- Other Credit derivative contracts 0 0
110
(€ thousand)
OTC financial derivatives: positive fair value - counterparty risk

Offsetting
Equity securities and share Total exposures after offsettings
Bonds and Interest rates Exchange rates and gold Other underlying assets agreement
indices agreements
effects
Counterparty/Underlying
Gross amount not settled

Gross amount settled

Assets
Offset
A.1 Central Governments and
banks 9.394 3.302 0 0 65.515 12.486 0 0 0 74.909 0
A.2 Public bodies 666.252 8.324 5.000 0 39.839 675 0 0 3.797 711.091 3.797
A.3 Banks 3.820.853 37.247.049 331.016 5.113.511 1.857.839 7.642.242 83.434 79.557 6.190.274 6.093.142 6.190.274
A.4 Financial companies 612.059 3.989.268 3.608.586 1.816.824 260.546 659.273 120.993 102.813 1.606.911 4.602.184 1.606.911
A.5 Insurance companies 69.417 60.520 3.983 4.037 747 3.000 0 0 29.000 74.147 29.000
A.6 Non-financial enterprises 991.052 374.687 107.573 972 1.072.305 1.358.474 285.045 88.876 1.225.576 2.455.975 1.225.576
A.7 Other entities 33.134 23.000 43.519 0 66.764 133.246 511 0 144.000 143.928 144.000
Total 6.202.161 41.706.150 4.099.677 6.935.344 3.363.555 9.809.396 489.983 271.246 9.199.558 14.155.376 9.199.558
111
(€ thousand)
Credit derivatives: positive fair value - counterparty risk

Type of transaction
Potential future
Notional amount Positive fair value
exposure (add-on)
A. REGULATORY TRADING BOOK 211.400.385 7.390.029 15.988.838

A.1 Purchases of protection - counterparty 174.325.845 6.138.645 13.437.788
1. Central governments and central banks 0 0 0
2. Public bodies 28.997 3.652 2.000
3. Banks 142.024.076 4.836.610 10.988.060
4. Financial companies 32.218.778 1.298.323 2.444.728
5. Insurance companies 11.999 60 0
6. Non-financial enterprises 41.995 0 3.000
7. Other entities 0 0 0
A.2 Sales of protection - counterparty 37.074.540 1.251.384 2.551.050
2. Public bodies 58.000 1.826 4.000
3. Banks 28.996.319 1.127.343 1.941.521
4. Financial companies 8.015.221 121.302 604.529
5. Insurance companies 0 0 0
6. Non-financial enterprises 5.000 913 1.000
B. BANKING BOOK 4.500.363 15.521 325.125
B.1 Purchases of protection - counterparty 3.762.880 13.695 299.125
2. Public bodies 143.000 1.826 7.000
3. Banks 1.567.853 0 140.148
4. Financial companies 1.308.407 1.826 100.215
5. Insurance companies 10.000 0 1.000
6. Non-financial enterprises 556.000 10.043 33.000
7. Other entities 177.620 0 17.762
B.2 Sales of protection - counterparty 737.483 1.826 26.000
2. Public bodies 50.000 0 3.000
3. Banks 459.000 1.826 23.000
4. Financial companies 218.483 0 0
5. Insurance companies 0 0 0
6. Non-financial enterprises 10.000 0 0
Total 215.900.748 7.405.550 16.313.963
Table 10 – Securitization transactions
The Group acts as originator and sponsor of securitisations as well as investor, as defined by Basel 2 and transposed by Banca
d’Italia Circular 263 “New Supervisory Instructions for Banks” dated 27 December 2006.
The Group’s origination consists of the sale of on-balance sheet receivables portfolios to vehicles set up as securitization
companies under Law 130/1999 or similar non-Italian legislation.
The buyer finances the purchase of the receivables portfolios by issuing bonds of varying seniority and transfers its issue proceeds
to the Group.
The yield and maturity of the bonds issued by the buyer therefore mainly depend on the cash flow expected from the assets being
sold.
As a further form of security to bondholders, these transactions may include special types of credit enhancement, e.g.,
subordinated loans, financial guarantees, standby letters of credit or over-collateralization.
The Group’s objectives when carrying out these transactions are usually the following:
 to free up economic and regulatory capital by carrying out transactions that reduce capital requirements under current
rules by reducing credit risk and
 to reduce funding costs given the opportunity to issue higher-rated bonds with lower interest rates than ordinary senior
bonds.
The Group carries out both traditional securitizations whereby the receivables portfolio is sold to the SPV and synthetic
securitizations which use credit default swaps to purchase protection over all or part of the underlying risk of the portfolio.
Use by the Group of this type of structures is limited. The amount of loans securitized2 is equal to 7.56% of the Group’s total loan
portfolio.
Under traditional securitizations the Group keeps the first loss in the form of junior bonds or similar exposure and in some cases
provides further credit enhancement as described above. This enables the Group to benefit from the portion of the sold receivables’
yield in excess of the yield due to the senior and mezzanine tranches.
Retention by the Group of the first loss risk and the corresponding yield means that most of the risk and return on the portfolio is
retained. Consequently these transactions are recognized in the accounts as financings and no profits arising out of the transfer of
the assets are recognized and the sold receivables are not derecognized.
Exceptions to this rule are those which the Group – while retaining most of the risk and return of the underlying portfolio – has
derecognised as being prior to 1 January 2002. On first adoption of IFRS we took the option afforded by IFRS 1 of not re-
recognising assets sold before 1 January 2004, regardless of the extent of the risk and return that had been retained.
As well as an originator, the Group is also a sponsor of asset-backed commercial paper conduits (i.e., SPVs issuing commercial
paper) set up both as multi-seller customer conduits to give clients access to the securitization market, and as arbitrage conduits.
2
- We refer to loans sold, also synthetically, but not derecognized from balance sheet
113
These SPVs are not part of the banking group, but have been consolidated since December 2007.
Customer conduits require the formation and management of a bankruptcy-remote company (i.e., one that would be immune from
any financial difficulties of the originator) which directly or indirectly buys receivables created by companies outside the Group.
The receivables underlying these transactions are not bought directly by the conduit set up by the Group, but by a purchase
company which in turn is wholly funded by the conduit by means of commercial paper or medium term notes.
The main purpose of these transactions is to give corporate clients access to the securitization market and thus to lower funding
costs than would be borne with direct funding.
Arbitrage conduits require the formation and management of an SPV that buys highly rated corporate bonds, asset-backed
securities and loans.
The purpose is to achieve a profit on the spread between the yield on the assets held, usually medium/long-term, and the
short/medium-term and the securities issued to fund the purchase.
The conduits’ purchase of assets is financed by short-term commercial paper and medium-term notes.
Payment of interest and redemption of the securities issued by the conduit therefore depends on cash flow from the receivables
purchased (credit risk) and the ability of the conduit to roll over its market funding on maturity (liquidity risk).
To guarantee prompt redemption of the securities issued by the conduit, these transactions are guaranteed by a standby letter of
credit covering the risk of default both of specific assets and of the whole program.
The underwriters also benefit from security provided by specific liquidity lines which the conduit may use if it unable to place new
commercial paper to repay maturing paper, e.g. during market turmoil.
These liquidity lines may not however be used to guarantee redemption of securities issued by the conduit in the event of default by
the underlying assets.
In its role as sponsor, the Group selects the asset portfolios purchased by conduits or purchase companies, provides administration
of the assets and both standby letters of credit and liquidity lines.
For these services the Group receives fees and also benefits from the spread between the return on the assets purchased by the
SPV and the securities issued.
The current market turmoil has created a significant contraction in investor demand for the securities issued by these conduits. The
Group has consequently purchased directly all outstanding commercial paper.
Due to the activity performed, the Group bears most of the risk and receives most of the return on conduit business and also has
control of the conduits.
Consequently, as required by IAS 27 and SIC 12, we have consolidated the above-listed SPVs.
The ABCP conduits are consolidated and not the second-level vehicles that are the direct purchasers of the assets, as described
above.
Accordingly the funding of purchase companies by the ABCP conduits is recognized in the consolidated accounts.
However, since the purchase companies are wholly funded by the consolidated conduits, the consolidated accounts in fact disclose
the assets in the books of the purchase companies.
As well as originator and sponsor, the Group is also an investor in structured credit instruments.
These risks are on the books of the Markets and Investment Banking Division (MIB) and UniCredit Ireland mainly for trading
purposes.
114
The following tables give a breakdown of the Group’s non-derecognized securitised credits by region and asset quality, and by
traditional and synthetic securitizations.
(€ millions)
Amounts as at 30.6.2008
Traditional Italy Germany Austria Rest of the world Total
Assets sold but not derecognized
- Residential mortgage loans 13.068 0 0 0 13.068

- Leasing 8.873 0 385 0 9.258
- Consumer loans 73 0 0 0 73
- SME loans 63 0 0 0 63
- Corporate loans 0 5.402 0 0 5.402
- Others 0 0 0 0
Total 22.077 5.402 385 0 27.864
(€ millions)
Other
Other UE European Rest of the
Synthetic Italy Germany Austria America Total
Countries Countries world
(non UE)
Synthetic transactions
- Residential mortgage loans 0 13.709 0 0 0 0 0 13.709
- Commercial mortgage loans 0 2.009 7 2 4 0 0 2.022
- SME loans 0 3.183 1.835 15 92 0 0 5.125
- Corporate loans 993 1.125 1.660 965 511 464 1 5.719
- Others 0 0 0 0 0 0 0 0
Total 993 20.026 3.502 982 607 464 1 26.575
115
(€ millions)
Traditional Other assets (performing) Impaired assets Total
Assets sold but not derecognized
- Residential mortgage loans 12.980 88 13.068

- Leasing 9.109 149 9.258
- Consumer loans 72 1 73
- SME loans 63 0 63
- Corporate loans 5.383 19 5.402
- Others 0 0 0
Total 27.607 257 27.864
(€ millions)
Synthetic Other assets (performing) Impaired assets Total
Synthetic transactions
- Residential mortgage loans 13.525 184 13.709
- Commercial mortgage loans 2.015 7 2.022
- SME loans 5.091 34 5.125
- Corporate loans 5.719 0 5.719
- Others 0 0 0
Totale 26.350 225 26.575
As noted, the traditional securitisation tables give the amount of the assets sold but not derecognised due to retention by the Group
of most of the related risk and rewards.
Alongside these there are further exposures totalling €1,392 million, almost all of which are impaired assets derecognised as being
prior to 1 January 2002, as detailed in the previous section.
The total amount of the exposures securitised by the Group by means of traditional securitisation is €29,256 million.
Funded securitization structures originated by the Group mainly have residential mortgages and leasing granted to Italian
counterparties as underlyings.
Structures originated in Germany, a significant part of the securitized portfolio, have corporate loans as underlyings.
Synthetic securitization structures have mainly residential mortgages and loans to Small Medium Entities originated in Germany as
underlyings.
Both for funded and unfunded securitization structures, the underlying portfolio is almost entirely performing.
The Group is not an originator of securitizations having US subprime or Alt-A residential mortgages as underlyings.
In H1 2008 a single securitization was carried out involving performing receivables arising out of motor, equipment and property
leases, with a nominal amount of €2,489 million.
Sale of these assets occasioned neither gains nor losses for the Group, which underwrote the entire amount of the securities
issued by the vehicle.
116
The following table gives the amounts of in-house and others’ securitisations divided according to the Group’s role and the type of
exposure.
Where the Group acted as investor the table shows only those exposures that are held in the banking book. The trading book
contains further exposures totalling €11,485 million.
Further information on the Group’s total exposure to structured credit products is available in the specific disclosure and the
glossary of terms and acronyms given in the 2008 Consolidated First Half Report.
(€ millions)
Investment in securitizations Senior Mezzanine Junior Total
Investments in own ABS transactions
Assets sold totally derecognized 122 428 574 1.124
- CLO/CBO 112 0 69 181
- CLO / CBO others 112 0 69 181
- Others 10 428 505 943
Guarantees given 267 0 0 267
Credit facilities 0 721 0 721
Assets sold but not derecognized 3.959 425 897 5.281

- RMBS 1.109 154 290 1.553
- Prime 1.109 154 290 1.553
- CLO/CBO 485 31 99 615
- CLO SME 480 16 23 519
- CLO arbitrage/balance sheet 0 0 0 0
- CLO / CBO others 5 15 76 96
- Consumer loans 3 1 10 14
- Leasing 2.362 238 498 3.098
- Others 0 1 0 1
Synthetic transactions 6.456 504 26 6.986

- RMBS 4.242 265 26 4.533
- Prime 4.242 265 26 4.533
- CLO/CBO 2.214 239 0 2.453
- CLO SME 80 133 0 213
- CLO / CBO others 1.994 71 0 2.065
Consolidated Conduits sponsored by the Group

Balance sheet exposures 0 5.384 0 5.384
- ABCP 0 5.384 0 5.384
Credit facilities 1.828 0 0 1.828
Investments in third party securitizations

Balance sheet exposures 770 793 93 1.656
- RMBS 268 0 0 268
- Prime 268 0 0 268
- CMBS 92 1 0 93
- CDO 232 14 0 246
- CDO others 232 14 0 246
- CLO/CBO 27 49 56 132
- CLO SME 27 4 1 32
- CLO / CBO others 0 33 52 85
- Consumer loans 17 0 0 17
- Credit cards 27 0 0 27
- Leasing 43 5 0 48
- Others 53 1 37 91
- Warehouse Financing 11 723 0 734
117
(€ thousand)
Standardized approach: securitisation positions

On-Balance-Sheet risk assets Off-Balance-Sheet risk assets Pre-payment clauses
WEIGHTING FACTORS "in house" securitisations third party securitisations "in house" securitisations third party securitisations "in house" securitisations
Securitisation type Securitisation type Securitisation type Securitisation type Securitisation type
Traditional Synthetic Traditional Synthetic Traditional Synthetic Traditional Synthetic Traditional Synthetic
Weighting 20% 570.990 0 4.686.372 106.738 0 0 0 0
Weighting 50% 0 0 21.881 33.321 0 0 0 0
Weighting 100% 0 0 37.125 22.545 0 0 0 0
Weighting 350% 0 0 15.131 12.411 0 0 0 0
Weighting 1250% - with rating 0 0 0 0 0 0 0 0
Weighting 1250% - without di rating 0 0 9.561 0 0 0 0 0
Look-through - second loss in ABCP 0 0 0 0 0 0 0 0
Look-through - other 0 0 0 0 0 0 0 0 0 0
Total exposures 570.990 0 4.770.070 175.015 0 0 0 0 0 0
(€ thousand)
IRB approach: securitisation positions

On-Balance-Sheet risk assets Off-Balance-Sheet risk assets Pre-payment clauses
WEIGHTING FACTORS "in house" securitisations third party securitisations "in house" securitisations third party securitisations "in house" securitisations
Securitisation type Securitisation type Securitisation type Securitisation type Securitisation type
Traditional Synthetic Traditional Synthetic Traditional Synthetic Traditional Synthetic Traditional Synthetic
Weighting 6-10% 0 10.735.391 442.409 0 0 0 350.487 0
Weighting 12-18% 0 356.026 164.913 100 0 0 5.619 0
Weighting 20-35% 0 116.600 410.312 100 0 0 160.418 0
Weighting 50-75% 0 101.922 380.932 0 0 0 83.990 0
Weighting 100% 0 0 49.309 0 0 0 95.873 0
Weighting 250% 0 0 0 0 0 0 0 0
Weighting 425% 0 35.873 4.201 0 0 0 0 0
Weighting 650% 0 0 0 0 0 0 0 0
Weighting 1250% - with rating 0 0 0 0 0 0 0 0
Weighting 1250% - without rating 0 0 0 0 0 0 0 0
Nc (1) 0 963.491 40.889 98.651 0 1.223 7.886.120 0 0 0

Total exposures 0 12.309.303 1.492.965 98.851 0 1.223 8.582.507 0 0 0
Securitized assets for €827.067 thousand has been deducted from regulatory capital.
118
Table 11 – Market risks: disclosures for banks
using the internal models approach (IMA) for
position risk, foreign exchange risk and
commodity risk
Interest Rate Risk – Trading Book
General
Regulatory trading book interest rate risk arises when financial positions are taken by specialist centres holding assigned market
risk limits within certain levels of discretion.
Following the absorption of the Capitalia group in October 2007, the risk positions held in the latter’s trading book were initially
controlled and managed by pre-existing units. Positions have moved out of Capitalia and transferred to HVB’s Italian branch all
along the year, while risk exposures are gradually reduced.
In performing cash management duties, or in the integrated management of the Group’s liquidity, the interest rate risk proves to be
closely linked to market maker activities on money market products and related derivatives. Active participation in auctions for
government securities issued by the main European countries — as a primary dealer rather than as a market maker — is a source
of interest rate risk, owing also to both directional positions in fixed income securities taken on the property portfolio and to relative
value strategies employed by individual desks. This risk is managed by recourse to derivatives traded on regulated markets or, in
their absence, with innovative and complex products traded over-the-counter with individual counterparties.
Interest Rate Risk Management Processes and Measurement Methods
Within the organizational context described above, the policy implemented by the UniCredit Group within the scope of market risk
management — and so, specifically, in managing interest rate risk — is aimed at the gradual adoption and use of common
principles, rules and processes in terms of appetite for risk, ceiling calculations, model development, pricing and risk model
scrutiny. Group Market Risk Dept is specifically required to ensure that principles, rules and processes are in line with industry best
practice and consistent with standards and uses in the various countries in which they are applied.
The main tool used by the UniCredit Group to measure market risk on trading positions is Value at Risk (VaR), calculated using the
Historical simulation method. During this phase of convergence, however, some companies belonging to the Group still use a
Monte Carlo-type simulation approach.
The Historical simulation method provides for the daily revaluation of positions on the basis of trends in market prices over an
appropriate observation period. The empirical distribution of profits/losses deriving there from is analyzed to determine the effect of
extreme market movements on the portfolios. The distribution value at the percentile corresponding to the fixed confidence interval
represents the VaR measurement. The parameters used to calculate the VaR are as follows: 99% confidence interval; 1 day time
119
horizon; daily update of time series, which can be extended to cover at least a year. Use of a 1-day time-horizon makes it possible
to make an immediate comparison between profits/losses realized.
As for internal scenario analysis policies and procedures (so called “stress testing”), these procedures have been entrusted to the
individual legal entities. Overall, however, a set of scenarios common to the Group as a whole, is applied to all positions in order to
check on a monthly basis the potential impact that their occurrence could have on the global trading portfolio.
In aggregating the various risk profiles of the different risk taking units of the Group, the diversification arising from positions taken
by group companies which have adopted different internal models has conservatively been disregarded when calculating the
overall risk.
The harmonization of VaR methodologies and the definition of an appropriate consistent framework to come to the calculation of a
Group’s VaR is one of the main targets of the Market Risk reorganization within the group.
Price Risk – Trading Book
General information
As described in paragraph “Interest Rate Risk – Trading Book” above, price risk relating to equities, commodities, UCITS and
related derivative products included in the trading book, originates from positions taken by specialist centres holding assigned
market risk limits within certain levels of discretion.
Price risk deriving from own trading of these instruments is managed using both directional and relative value strategies via direct
sale and purchase of securities, regulated derivatives and OTCs and recourse to security lending. Volatility trading strategies are
implemented using options and complex derivatives.
Price Risk Management Processes and Measurement Methods
For both a description of internal processes for monitoring and managing risk and an illustration of the methodologies used to
analyse exposure, please refer in paragraph “Interest Rate Risk – Trading Book” on internal models.
Price Risk – Banking Book
General Aspects, Price Risk Management Processes And Measurement Methods
Banking book price risk primarily originates in equity interests held by the Parent company and its subsidiaries as a stable
investment, as well as units in mutual investment funds not included in the trading book in so far as they are also held as a stable
investment.
Just in respect of these last instruments, internal price risk management and measurement processes reproduce what has already
been said with regard to the regulatory trading book.
120
Exchange Rate Risk
General Aspects, Exchange Rate Risk Management Processes and Measurement Methods
As it has already been said in the previous in paragraph “Interest Rate Risk – Trading Book”, exchange rate risk also originates
from positions taken by specialist centres holding assigned market risk limits within certain levels of discretion.
Exchange risk originates from currency trading activities performed through the negotiation of the various market instruments, and
is constantly monitored and measured by using internal models developed by group companies. These models are, in addition,
used to calculate capital requirements on market risks corresponding to this type of risk.
Hedging Exchange Rate Risk
The Parent company implements a policy of hedging profits created by the Group’s Polish subsidiaries (which constitute the main
subsidiaries not belonging to the euro zone), as well as dividends relating to the previous year, said policy being activated during
the period between year-end and the payment date. This hedging policy is implemented using foreign exchange derivative products
aimed at protecting against fluctuations in the Euro/Zloty exchange rate.
Internal Model for Price, Interest Rate and Exchange Rate Risk of the Regulatory
Trading Book
In its capital calculation and risk monitoring functions, UniCredit adopts the internal models used by former UBM (now HVB Milan
Branch), HVB AG and BA-CA AG and approved by the respective national supervisory authorities. For the purposes of calculating
capital requirements, the internal model method has been authorized for full use for HVB AG and BA-CA AG, whilst in the case of
HVB Milan Branch, model cover for regulatory purposes does not include structured credit products. No recourse is made, on the
other hand, to the internal model for calculating capital requirements regarding trading positions in relation to the Parent company,
UCI Ireland and Bank Pekao. The standardized measurement method is also applied to the calculation of capital covering the risk
of holding banking book exposure in foreign currencies for the subsidiaries that do not perform trading activities.
The characteristics of the internal models are as follows:
 Former UBM (now HVB Milan Branch): historical simulation based on a one-year historical observation period, with VaR
calculated as 1-day expected loss with 99% double tail confidence level. Option-related risk is estimated by using the
delta-gamma-vega approximation.
 HVB AG: Monte Carlo simulation with the full evaluation of individual positions taken in options, with VaR calculated as 1-
day expected loss with 99% confidence level. The Monte Carlo simulation is based on a variance-covariance matrix
calculated on a one-year historical observation period without weighting scheme.
 BACA AG: Declustered3 historical simulation based on a two-years historical observation period with VaR calculated as
1-day expected loss with 99% confidence level and with the full evaluation of individual positions taken in options.
Trading portfolios are subject to stress tests according to a wide range of scenarios for managerial reporting, which are described in
paragraph “Independent price verification process” below. According to the national regulations, some relevant scenarios are also
3
- Historical returns for each risk factor are weighted by the ratio between the current volatility and the historical volatility.
121
matter of regulatory reporting on a quarterly basis. Moreover, substituted risk measures, i.e. sensitivities, defined stress scenarios
or the indication of nominal amounts, are considered and included in the regulatory reporting for the estimation of risks that are not
covered by the VaR simulation of HVB internal model.
Apart from use in calculating capital requirements on market risks, internal models are applied to all positions included in the
trading book to perform back testing, through the continuous comparison of the bank’s daily VaR measures with the subsequent
daily profit or loss. This test consists of comparing the estimated expected loss with clean P&L data, i.e. simulated changes in
portfolio value that would occur were end-of-day positions to remain unchanged.
Stress Testing
Stress tests complement the sensitivity analysis and VaR results in order to assess the potential risks in a different way. Stress test
performs the evaluation of a portfolio under both simple scenarios (assuming change to single risk factors) and complex
scenarios (assuming simultaneous changes in a number of risk factors).
Results for simple scenarios are reported to top management on a weekly basis, together with the most relevant sensitivities. They
include shocks on:
 Interest rates: Parallel shifts and Steepening/Flattening of IR curves; Increase/Decrease in IR volatilities
 Credit Markets: Parallel shifts of Credit Spreads curves (both absolute changes and relative changes); sensitivity to Base
Correlation, Issuer Correlation and Recovery Rates
 Fx Rates: Appreciation/Depreciation of each currency; Increase/Decrease in FX volatilities
 Equities: Increase/Decrease in Spot Prices; Increase/Decrease in Equity volatilities; sensitivity to Implied Correlation
 Commodities: Increase/Decrease in Spot Prices
As far as complex scenarios are concerned, so far, two different recession scenarios (mild and severe) are applied to the whole
MIB portfolio on a monthly basis and reported to top management.
“Recessionary Fears” Scenario
This scenario presumes the spreading of US recessionary fears possibly affecting the rest of the world by a “contagion effect”.
In terms of macro-economic variables, this scenario assumes:
 Stock markets slowing (fall) related to an increase in equity volatilities;
 A comprehensive decrease in interest rates (different stress factors depending on the maturity) with a principal focus on
the short term, and an even stronger stress scenario on the US (also different stress factors depending on the maturity).
In this scenario also an increase in interest rate volatility is assumed;
 A dramatic and comprehensive widening of credit spreads with different stress factors depending on rating and industry
class.
122
“Full US Recession” Scenario
This scenario assumes a severe US recession affecting also the rest of the world by a “contagion effect”. In terms of macro-
economic variables this scenario assumes:
 A dramatic decrease in equity stocks prices and indices either on the US and non-US markets associated to an equity
volatility increase;
 A dramatic US (different stress factors depending on the maturity) and non-US (different stress factors depending on the
maturity and geographic area) interest rate decrease each also associated to an increase in interest rate volatility;
 A dramatic and comprehensive widening in credit spreads depending on rating and industry class.
Independent price verification process
In this respect, further to the market turmoil following the sub-prime mortgages’ meltdown and the subsequent uncertainties in the
valuation of most of the Structured Credit Products, the Holding Company (HC) Group Market Risk function in a joint effort with
Risk Control functions at the Legal Entity (LE level established to:
1. centralize the Independent Price Verification (IPV) process for such products in the Risk Control function of HVB London
branch which has been elected as the group’s “competence centre” for the evaluation of complex structured credit
products, i.e. ABS, CDO, CLO, CDO of ABS etc which represent the various sectors.
2. harmonize the IPV methodology across the group defining a consistent approach based on the ranking of to each single
position according to the availability and relative reliability of available price sources. As a consequence all such positions
have been treated and valued uniformly at the group level including Bank of Austria Credit Anstalt ’s (BACA) and UCI
Ireland’s
3. define and develop a proper methodology to apply specific Fair Value Adjustments to such valuations. The chosen
approach is essentially based on the above ranking of price sources and define specific stress tests for market
valuations, the wider the less reliable is the ranking through their respective sensitivity to a one-notch downgrade
4. the whole process has been shared and developed within the framework of the established cooperation model between
all CRO (Chief Risk Office) functions either at the HC as well as at the LE level and the HC and LE CFO (Chief Financial
Office) functions, responsible for the accounting treatment of such valuations and adjustments.
123
Liquidity risk
General aspects, operational processes and methods for measuring liquidity risk
Definition and Sources of Liquidity Risk
Liquidity risk is a term used to indicate the possibility that a bank may encounter difficulties in meeting expected or unforeseen cash
payments or delivery obligations, thereby impairing daily operations or the financial condition of the bank.
The UniCredit Group defines liquidity risk components as follows:
1. Liquidity mismatch risk: the risk that the amounts and/or timing of cash inflows and outflows will not coincide;
2. Liquidity contingency risk: the risk that unexpected future events may require a greater than expected amount of
liquidity. This risk can be generated by events such as loans not being repaid, the need to finance new operations,
difficulty in selling liquid assets or obtaining cash in times of crisis.
3. Market liquidity risk: the risk that the bank may liquidate assets at a loss due to market conditions. This risk is managed
by those responsible for the different trading portfolios and is measured and monitored in accordance with market risk
management criteria.
4. Operational liquidity risk: the risk that a party will not meet payment obligations due to errors, breaches, failures or
damage due to internal processes, people, systems or external events, while still remaining solvent;
5. Funding risk: the risk of a potential increase in the cost of funding due to changes in an entity’s rating (internal factor)
and/or a widening of credit spreads (market factor);
6. Margin calls liquidity risk: this refers to a situation in which the bank is contractually required to provide new collateral
and/or margin payments to cover its financial instrument positions.
Basic Principles of the Liquidity Risk Management Model and the Units Responsible for LRM
The Group’s objective is to fund its operations at best interest rate conditions under normal operating circumstances and to remain
in a position to meet payment obligations in the event of a liquidity crisis.
The basic principles underlying the Group’s internal liquidity management are as follows:
1. Centralization of liquidity management functions
2. Diversification of sources of funding based on geographic location, counterparties, currency and funding instruments
3. Management of short-term liquidity in accordance with the applicable regulatory framework in the countries where the
Group operates
4. Issuance of financial instruments in order to meet prudential capital ratio targets.
This methodological and operational framework is part of the Group Liquidity Policy, which was drawn up by the Group’s Finance
Area in concert with the Group’s Group Market Risk function and adopted by all Group entities. The Group’s liquidity management
rules are based on two principles.
1. Short-term liquidity management, the purpose of which is to ensure that anticipated and unforeseen obligations to
make cash payments are met by maintaining a sustainable balance between inflows and outflows. Management in this
area is an essential condition to ensure the continuity of day-to-day banking operations;
124
2. Management of structural liquidity, the purpose of which is to maintain an appropriate balance between overall
liabilities and medium- to long-term assets in order to avoid pressures on current and future short-term liquidity sources.
Group liquidity risk management functions are carried out by the Group HQ’s Finance Area, which falls under the responsibility of
the Group’s Chief Financial Officer (CFO). The Market Risk Management Area, headed by the Group’s Chief Risk Officer (CRO), is
charged with setting and monitoring operating limits.
Group HQ manages the Group’s liquidity, ensuring that consolidated thresholds are met and setting out the relevant tactical and
structural funding strategies. If any of the Group’s banks or companies experiences liquidity problems, Group HQ is also
responsible for implementing, managing and coordinating the Group’s Liquidity Contingency Plan.
In performing these duties, Group HQ works with the Regional Liquidity Centres, i.e. – under the Liquidity Policy – the Liquidity
Centre for Italy, Milan; Liquidity Centre for Germany, Munich; Liquidity Centre for Austria and CEE banks, Vienna; and Liquidity
Centre for Poland, Warsaw. Regional Liquidity Centres are responsible at local level for all the banks and companies included in
their consolidation scope and act as “sub-holding” companies by receiving and managing cash flows. In addition to ensuring
compliance with local liquidity policies and regulatory requirements imposed by national regulators. Regional Liquidity Centres are
responsible for optimising funding activities in their markets and with their customers through functional specialisation.
Net cash flows from the Group’s Regional Liquidity Centres are concentrated and managed at the parent company level. The latter
employs a centralised management system for cash flows.
This centralised approach to liquidity risk management aims to:
1. Reduce overall borrowing requirements from non-Group counterparties and
2. Optimize access to liquidity markets by leveraging the Group’s credit rating and minimizing funding costs.
Methods and Tools
Regional Liquidity Centres run daily cash flow reports to measure short-term liquidity risk. These reports are then assessed against
available liquid asset reserves, consisting primarily of the most liquid securities available. In addition, several stress scenarios are
simulated based on liquidity profiles.
The Group’s structural liquidity management is aimed at ensuring its financial equilibrium in terms of maturities with a time horizon
greater than one year. Typical measures taken for this purpose are as follows:
1. Lengthening its liabilities maturity profile in order to reduce dependence on less stable sources of funding, while at the
same time optimizing the cost of funding (integrated management of strategic and tactical liquidity); and
2. Reconciling medium- to long-term wholesale funding requirements with the need to minimize cost by diversifying the
sources of funding, national markets, currencies of issuance and the instruments used (in accordance with the Funding
Plan).
On the basis of its structured liquidity policy, the Group has kept as a guiding principle that of moderate maturity transformation.
Risk Monitoring and Financial Planning
The duty of monitoring the Group’s liquidity risk position has been entrusted, on the basis of their role and functions, to the
Treasury, Asset Liability Management and Market Risk Management Units of each Group entity and at Group HQ.
125
This is performed at Group level and consists of analysis, classification and management of the cash flow gap for all maturities
together with a check on observance of limits using appropriate methods and frequency according to the level of analysis (daily for
short-term liquidity and monthly for structural liquidity).
Short-term liquidity is monitored using a maturity ladder showing all cash flows with daily maturities starting from overnight up to 1
year. Structural liquidity is monitored by incorporating a dynamic projection of business growth in terms of customer loans and
deposits. The Group’s annual financial plan is drafted through a planning process that is consistent with the criteria applied in
setting out budget objectives and complies with regulatory requirements.
Liquidity Stress Tests
Liquidity stress testing is the technique used to evaluate the potential effects on an institution’s financial condition of a specific
event and/or movement in a set of financial variables. As a forward looking tool, liquidity stress testing diagnostic the institution’s
liquidity risk. The results of the liquidity stress tests are used to 1) assess the adequacy of liquidity limits; 2) planning and
implementing alternative sourcing transactions; 3) structuring or modifying the liquidity profile of the Group’s assets; 4) setting
additional criteria with the objective of determining an appropriate structure and composition of the Group’s assets; 5) providing
support to the development and upgrade of the liquidity contingency plan.
In order to execute stress tests that are consistent across the Liquidity Centers, the Group has a centralized approach to stress
testing, requiring each Regional Liquidity Center to run the same scenario set under the coordination of the Group CRO through the
activation of local procedures. Liquidity stress scenarios are related to either market or name related crisis.
The Group runs liquidity scenarios and sensitivity analyses, the latter assessing the impact on an institution's financial condition of a
move in one particular risk factor, the source of the shock not being identified, whereas scenario tests tend to consider the impact
of simultaneous moves in a number of risk factors, the stress event being well defined.
Liquidity Contingency Plan
The objective of the Liquidity Contingency Plan (LCP) is to safeguard the Group’s assets from losses or risks which may arise as a
result of a liquidity crisis. In the event of the occurrence of an actual crisis, the LCP is aimed at ensuring effective intervention
starting from the very outset of the crisis, through the clear identification of individuals, powers, responsibilities and potential actions
with a view to increase significantly the probability of successfully overcoming the state of emergency.
126
Table 12 – Operational risk
UniCredit Group received the approval from the Bank of Italy to use the Advanced Measurement Approach (AMA) for the
operational capital at risk calculation.
As of 30 June 2008, the AMA covers 62% of the Group considering the relevant indicator (i.e. gross margin), the roll out plan set
the time schedule for the extension of the method to all relevant Group legal entities and it will be completed by 2012. The
subsidiaries that at the moment are not yet AMA compliant apply TSA or BIA method to calculate the capital at risk.
UniCredit Group (UCG) developed an internal model for measuring the capital at risk for its AMA compliant subsidiaries.
The operational risk profile of UCG is reliably covered by the analysis of internal loss data. External data (consortium and public
data) properly captures the effects of extreme events, which are typically not present in internal data. The inclusion of scenario data
and key risk indicators provides a forward looking element in the operational risk capital model.
Capital at risk is calculated per event type class. For each risk class, severity and frequency of losses are separately estimated to
obtain the annual loss distribution through simulation. Based on internal loss data and expert opinion, the probability of coverage,
the single and aggregate limit, and the single and aggregate deductible of relevant insurance contracts is obtained. The possibility
of insurance payments is then taken into account in the Monte Carlo simulation of the aggregate yearly loss.
The severity distribution is estimated on internal, external and scenario generated data, while the frequency distribution is
determined using only internal data. An adjustment for key operational risk indicators is applied to each risk class.
The dependence structure between the different event types is derived from internal data. From the annual aggregated loss
distributions for each risk class, the overall annual loss distributions is obtained by aggregating the distributions through a t-Student
copula based method. Capital at risk is calculated at confidence level of 99.9% on the overall loss distribution for regulatory
purposes. The 99.97% confidence level for economic capital is deduced from the regulatory one by applying a scaling function
based on external loss data.
By the allocation mechanism, the individual legal entities’ capital requirements are identified, reflecting the Legal Entities’ risk
exposure and risk management effectiveness.
Operational Risk Management function is involved in the process of analyzing the insurance policies, supporting the analysis
concerning operational risk exposure, effectiveness of deductibles and limits. National discretions still hold, even if a set of policies
have been grouped at sub-holding level. Most common risks that are covered are damage to physical assets, frauds and liability.
As a general approach higher limits and deductibles are preferred instead of lower deductibles, even if local discretion by minor
subsidiaries is accepted.
127
Table 13 – Equity exposures: disclosures for
banking book positions
Description of accounting techniques and valuation methodologies
Available-for-sale Financial Assets (AfS)
On initial recognition, an AfS financial asset is measured at fair value plus transaction costs and income directly attributable to the
instrument, less fees and commissions.
In subsequent periods available-for-sale financial assets are measured at fair value, the amount of amortised cost being recognised
through profit or loss. Gains or losses arising out of changes in fair value are recognised in equity item 140 “Revaluation reserves” -
except losses due to impairment which are recognised in item 80 “Gains (losses) on financial assets and liabilities held for trading” -
until the financial asset is sold, at which time cumulative gains and losses are recognised in profit or loss in item 100(b) “Gains
(losses) on disposal or repurchase of AfS financial assets”.
Equity instruments (shares) not listed in an active market and whose fair value cannot be reliably determined are valued at cost.
If there is objective evidence of an impairment loss on an available-for-sale financial asset, the cumulative loss that had been
recognized directly in equity item 140 “Revaluation reserves”, is removed from equity and recognised in profit or loss under item
130(b) “Impairment losses (b) Available for sale financial assets”. The amount that is removed is the difference between carrying
amount (acquisition cost less any impairment loss already recognised in profit or loss) and current fair value.
Impairment losses recognised in profit or loss for an investment in an equity instrument classified as available for sale are not
reversed through profit or loss, but recognised at equity, even when the reasons for impairment no longer obtain.
Financial Instruments at Fair Value through Profit and Loss (FIaFV)
Equity instruments booked in FIaFV portfolio are accounted for in a similar manner to HfT financial assets, however gains and
losses, whether realised or not, are recognised in item 110 “Gains (losses) on financial assets and liabilities measured at fair
value”.
In FlaFV portfolio have not to be booked investments in equity instruments for which there is no price quoted in active markets and
whose fair value cannot be reliably determined;
128
(€ thousand)
Banking portfolio: exsposures in equity instruments and funds

Gains and losses on

Items Balance-sheet amounts Fair value Market value Unrealized capital gains/losses
disposals/repurchases Unrealized capital gains/losses
included in Tier 1/Tier 2
Listed Unlisted Listed Unlisted Listed Gains Losses Capital gains Capital losses Capital gains Capital losses
A. Equity instruments
A.1 Shares 695.064 2.002.374 677.613 1.824.212 677.613 25.623 -219 15.316 -586 1.582.481 -1.624.343
A.2 Innovative capital instruments 0 0 0 0 0 0 0 0 0 0 0
A.3 Other equity instruments 155 1.158.039 155 1.229.692 155 13.325 -103 483 -1.093 0 0
B. Investments funds
B.1 Under Italian law 27.310 228.371 27.310 228.371 27.310 0 0 3.230 -1.408 0 0
- harmonized open-ended 2.348 0 2.348 0 2.348 0 0 0 -158 0 0
- non harmonized open-ended 0 2.107 0 2.107 0 0 0 0 0 0 0
- closed-ended 24.962 201.770 24.962 201.770 24.962 0 0 2.723 -1.250 0 0
- reserved 0 6.415 0 6.415 0 0 0 0 0 0 0
- speculative 0 18.079 0 18.079 0 0 0 507 0 0 0
B.2 Other UE Countries 363.098 2.017.244 363.092 2.017.299 363.092 2.144 -1.366 3.385 -1.032 0 0
- harmonized 319.175 73.188 319.169 73.243 319.169 830 -1.366 2.972 -903 0 0
- non harmonized open-ended 43.923 1.887.542 43.923 1.887.542 43.923 1.314 0 413 -129 0 0
- non harmonized closed-ended 0 56.514 0 56.514 0 0 0 0 0 0 0
B.3 Non EU countries 61.424 224.524 61.424 222.409 61.424 86 -85 1.029 -2.455 0 0
- open-ended 61.078 224.524 61.078 222.409 61.078 86 -85 1.029 -2.455 0 0
- closed-ended 346 0 346 0 346 0 0 0 0 0 0
Total 1.147.051 5.630.552 1.129.594 5.521.983 1.129.594 41.178 -1.773 23.443 -6.574 1.582.481 -1.624.343
Balance-sheet
Categories amounts as at
06/30/2008
Private equity exposures in sufficiently diversified portfolios 3.035.850

Exchange-traded equity exposures 423.058
Other equity exposures 3.318.688
Total Equity Exposures 6.777.603
Table 14 – Interest rate risk on positions in the
banking book
Interest Rate Risk – Banking Book
General Aspects, Interest Rate Risk Management Processes and Measurement Methods
Interest rate risk consists of changes in interest rates that are reflected in:
 Interest income sources, and thus, the bank’s earnings (cash flow risk);
 The net present value of assets and liabilities, due to their impact on the present value of future cash flows (fair value
risk).
The Group measures and monitors interest rate risk on a daily basis within the framework of its banking book interest rate risk
policy which defines methods and corresponding limits or thresholds of interest margin sensitivity and economic value for the
Group.
Interest rate risk affects all proprietary positions arising out of business operations and strategic investment decisions (banking
book).
The main sources of interest rate risk can be classified as follows:
 repricing risk - the risk resulting from timing mismatches in maturities and the repricing of the bank’s assets and liabilities;
the main features of this risk are:
- yield curve risk - risk resulting from exposure of the bank's positions to changes in the slope and shape of the
yield curve
- basis risk - risk resulting from the imperfect correlation in lending and borrowing interest rate changes for
different instruments that may also show similar repricing characteristics;
 optionality risk – risk resulting from implicit or explicit options in the Group’s banking book positions.
Some limits have been set out, in the above described organization, to reflect a risk propensity consistent with strategic guidelines
issued by the Board of Directors. These limits are defined in terms of VaR, Sensitivity or Gap Repricing for each Group bank or
company, depending on the level of sophistication of its operations. Each of the Group’s banks or companies assumes
responsibility for managing exposure to interest rate risk within its specified limits. Both micro- and macrohedging transactions are
carried out for this purpose.
At the consolidated level, Group HQ's Asset Liability Management Unit takes the following measures:
 It performs sensitivity analysis in order to measure any changes in the value of shareholders' equity based on parallel
shocks to rate levels for all time buckets along the curve.
 Using static gap analysis (i.e., assuming that positions remain constant during the period), it performs an impact
simulation on interest income for the current period by taking into account different elasticity assumptions for demand
items.
 It analyses interest income using dynamic simulations of shocks to market interest rates.
 It develops methods and models for better reporting of the interest rate risk of items with no contractual maturity date (i.e.
demand items) or with prepayment features.
In coordination with the ALM and Treasury Areas, the Market Risk Management Area sets interest rate risk limits using VaR
methodologies and verifies compliance with these limits on a daily basis.
Fair Value Hedging
Hedging strategies aimed at complying with interest rate risk limits for banking portfolio, are carried out with derivative contracts,
listed or not listed – the last ones, commonly interest rate swaps, are the most used kind of contracts.
The hedges used are generally of the generic type, i.e. connected to monetary amounts contained in asset or liability portfolios.
Sometimes the effects of specific accounting hedges are recognized in connection with securities in issue or individual financial
assets, especially if held as available for sale assets.
Cash Flow Hedging
Sometimes cash flow hedges are used as an alternative to fair value hedges to stabilize current and future income statement
results. Macro-hedging strategies are generally used and are in most cases designed for interest rate risk of the core portion of
financial assets “on demand”.
According to the Italian regulatory requirement (Circolare 263_2006, Titolo IV, Tavola 14 - b ), UCI Group reports the effect of an
unexpected, either negative or positive, interest rate shock with a break down into the main currencies, respecting the managerial
view and assumptions on the banking book portfolio as described above:
Group Wide Interest Rate Risk in the Banking

Book Stress Test
As at June 30, 2008
(€ million)
-150bps +200bps
Total 775 -1.042
AUD 2 -2
CHF -19 25
CZK -4 5
EUR 324 -440
GBP -13 17
HRK 24 -31
HUF 8 -11
JPY -1 1
PLN 238 -317
RON 5 -7
RUB 2 -3
SKK -3 3
TRY 26 -35
USD 180 -240
Others 5 -7
131
Glossary / Abbreviations
ABCP Asset-backed commercial paper
ABS Asset-backed securities
AMA Advanced measurement approach, applying this methodology the operational risk requirement is obtained with
calculation models based on operational loss data and other evaluation elements collected and processed by the bank.
Admittance threshold and specific suitability requirements have been provided for the use of the standardized and
advanced approaches. For the AMA approach the requirements concern, beside the management system, also the
measurement system
CCF Credit conversion factor
CIU Collective investment undertakings
CRD Capital requirements Directive, EU directives n. 2006/48 and 2006/49, acknowledged by the Bank of Italy with its circular
letter n. 263/2006 and following updates
CRM Credit risk mitigation
EAD Exposure at default
ECA Export credit agency
ECAI External credit assessment institution
EL Expected loss
IAA Internal assessment approach
ICAAP Internal Capital Adequacy Assessment process; the discipline of the so called “Pillar 2” requires the banks to implement
processes and systems to determinate the level of internal capital adequate to face any type of risk, also different from
those provided by the capital requirements (Pillar 1) rules; in the scope of an assessment of the exposure, actual and
future, that has to consider also the strategies and the evolution of the reference environment
IMA Internal Models Approach (market risk)
IRB Internal ratings-based approach
LGD Loss given default
M Effective maturity
MDB Multilateral development bank
OTC Over the Counter (derivative contracts)
PD Probability of default
RBA Ratings-based approach
RUF Revolving underwriting facility
SF Supervisory formula
SL Specialised lending
132
SME Small- and medium-sized entity
SREP Supervisory Review and Evaluation Process; this process is conducted through interaction with the banks and the use of
the supervisor’s system for analyzing and assessing the banks subject to its supervision. The dialogue with banks
enables supervisors to acquire a more extensive understanding of the ICAAP and the methodological hypotheses
underpinning it, while giving banks the opportunity to describe the rationale supporting their capital adequacy
assessments. Where necessary, the supervisory authorities can require the banks to adopt corrective measures, in the
form of organizational improvements or additional capital, indicating the measures most appropriate to the circumstances
from among the range of those available
UCITS Undertakings for collective investments in transferable securities
UL Unexpected loss
VaR Value at risk
133

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Basel 2

Table 2 – Scope of application .................................................................................................24

Table 3 – Supervisory capital structure ....................................................................................43

Table 5 – Credit risk: general disclosures for all banks............................................................48

Table 8 – Risk mitigation techniques......................................................................................102

Table 10 – Securitization transactions....................................................................................113

Table 12 – Operational risk ....................................................................................................127

Table 13 – Equity exposures: disclosures for banking book positions...................................128

This discipline is based on the so called three “Pillars”:

The ratio coming out from this calculation has to be ≥ 8%.

Approaches for reporting capital requirements

Credit Risk Market Risk Operational Risk

(1) Standardized Approach (1) Standardized Approach (1) Basic Indicator

(2) Foundation Internal (2) Internal Models (2) Traditional

(3) Advanced Internal (3) Advanced

 EAD Exposure At Default;

 CCF Credit Conversion Factor;

BASEL 2 THIRD PILLAR

 Supervisory Review and Evaluation Process (SREP).

The UniCredit Group has developed an approach involving:

 Risk identification and measurement;

 Capital planning, that includes setting risk appetite;

This report is structured as follows:

 Breakdown of regulatory capital and capital adequacy;

 Credit risk mitigation techniques;

 Off-balance-sheet transactions, derivative contracts included;

2. Data are referred to the prudential scope of consolidation;

BASEL 2 THIRD PILLAR

 credit products, by providing guidelines for issuance and monitoring, and

BASEL 2 THIRD PILLAR

There are three objectives when credit strategy is formulated:

 operating, financial and cash flow data;

BASEL 2 THIRD PILLAR

 Credit Process, as follows:

 that IRB systems comply with the regulations

BASEL 2 THIRD PILLAR

 the adequacy and completeness of the validation process of rating systems.

 corrective action aimed at rebalancing the Group’s risk positions.

In particular this entails:

BASEL 2 THIRD PILLAR

General aspects, management processes and operational risk measurement

Operational Risk definition

Group Operational Risk framework

Capital at risk measurement

Operational Risk Management

BASEL 2 THIRD PILLAR

 real estate risk;

 equity investment risk;

 strategic risk and;

Real Estate Risk

Equity Investment Risk

BASEL 2 THIRD PILLAR

Risk Measurement Methods

 estimated economic capital and

The Group’s approach to capital adequacy is in five stages:

 capital planning and allocation

both at individual level, and aggregated.

BASEL 2 THIRD PILLAR

BASEL 2 THIRD PILLAR