UNICREDIT CONDITIONAL PASS- THROUGH OBG OBBLIGAZIONI BANCARIE GARANTITE Investor presentation September 2018
Agenda • Executive Summary 1 • OBG Program 2 • Residential and Commercial Mortgage Market 3 • Appendix 4 • Pass-Through vs Soft Bullet • Legal framework and Programme's tests • Main Underwriting criteria and Collection Policies • Current Cover Pool as of 30 June 2018 • Contacts 2
Executive Summary A programme that ticks all the boxes Executive Summary 1 2 3 4 Global SIFI Champion Issuer Solid capital and liquidity position Italian Legislative Programme Aa2/stable rated by Moody's Solid Programme Structure De-linkage from the rating of the Issuer No hedging envisaged Prime seasoned granular portfolio UCITS compliant CRR compliant Solvency II compliant Preferable Regulatory Treatment LCR Level 1 compliant ECB CBPP3 eligible Exempt from Bail - in ECBC Label 3
Executive Summary The rational behind Executive Summary 1 2 3 4 • Highly rated covered bonds (Aa2/stable) • Rating stability thanks to the de-linkage from the rating of the Issuer • LCR Level 1 eligibility Conditional • The length of extension is mitigated by semi-annual pool auctions and by the limited weighted pass-through average life of the portfolio (7.8 years) • Extension is not an option of the Issuer and only occurs following an Issuer Event of Default • Alignment to other UniCredit's covered bond programmes (Germany, Austria) and to cover pools in other jurisdictions (Spain, Denmark and Germany) • One of the European covered bond programmes with the lowest component of commercial assets contractually capped to 30% of the total portfolio Mixed Portfolio • Very granular and seasoned portfolio with debtors resilient throughout the crisis • Maintain a focus on retail clients and families • Foster Italian real economy which strongly relies on SMEs • Approximately 93%* of the cover pool backed by residential assets • Unindexed weighted average current loan to value 45,1% *As of 30 th June 2018. Please refer to annex Current Cover Pool for details. An additional Eur 2,7 bn Residential Mortgage loans portfolio was assigned in july 2018. 4
Agenda • Executive Summary 1 • OBG Program 2 • Residential and Commercial Mortgage Market 3 • Appendix 4 • Pass-Through vs Soft Bullet • Legal framework and Programme's tests • Main Underwriting criteria and Collection Policies • Current Cover Pool as of 30 June 2018 • Contacts 5
OBG Programme Summary of the Programme OBG Programme 3 4 1 2 KEY BENEFITS MAIN FEATURES Issuer UniCredit S.p.A. ("UCI" or "UniCredit") • UniCredit's obligation to redeem the OBG at Maturity Date Seller UniCredit • Recourse on UniCredit OBG S.r.l. in case of UniCredit's default Double recourse Programme Size Euro 25 billions OBG Guarantor UniCredit OBG S.r.l. Euro 18,7 bn residential mortgages (including 1,0 bn of mortgages granted to • Bail-in exempt Protection UniCredit's employees currently equal to 5% capped at 15% of total portfolio) and Cover pool* Euro 1.3 bn secured loans to small-and-medium enterprises (" SMEs "), currently equal to 6,5% (capped at 30% of total portfolio). Current WAL of the cover pool: • Compliant to LCR, UCITS, CRR , Solvency II Regulatory about 8 years treatment Bullet, switching to conditional pass-though with 38-year extension period (in case Maturity of an Issuer Event of Default has occurred) Eligible to • ECB, ECB CBPP3, ECBC label Listing Luxembourg Rating Aa2/stable by Moody's • High de-linkage from Issuer rating (given the current Moody's Stable methodology, the OBG's rating can remain rated Aa2 as long Payment Date Quarterly (or monthly in case an Issuer Event of Default has occurred) rating as the rating of the Issuer's IDR remains Baa3 or higher) Quarterly test. Minimum contractual overcollateralisation of 7.5% against an Overcollateralisation* available overcollateralisation of 15% • No hedging Hedging No hedging envisaged • Strong and severe Programme Tests Paying Agent BNP Paribas, Milan branch • Cash reserve covering interest due on OBG over the next 3 Account Bank UniCredit S.p.A. months plus a buffer for senior expenses Strong structure Asset Monitor BDO • Cash trapping mechanism and cristallization of the cover pool in case an event of default of the Issuer has been occurred Governing law Italian • Portfolio concentration limits envisaged in the documentation Risk-weighting 10% (in accordance with CRR Article 129) Liquidity coverage ratio eligibility Level I ECB eligibility Yes Compliant to UCITS, CRR, Solvency II and ECBC label *As of 30 th June 2018 6 Source UniCredit
OBG Programme CPT Mechanism: Main Features OBG Programme 3 4 1 2 Structure diagramme CONDITIONAL PASS-THROUGH MECHANISM: MAIN FEATURES Conditional pass-through structure addresses refinancing risk (maturity of the covered bonds versus RATIONALE UniCredit amortising assets) (Issuer, Seller, Servicer, Sub OBGs Loan Provider) The pass-through repayment of an OBG Series is conditioned to the occurrence of all the following conditions : WHEN IS IT - the Issuer has defaulted and is no longer available to redeem the OBG; First Demand TRIGGERED? Cover Pool Guarantee - an OBG reaches its Maturity Date; - the OBG Guarantor does not have sufficient funds to redeem the maturing OBG - Once an OBG becomes pass-through the Maturity Date is extended of 38 years UniCredit OBG Srl Asset (OBG Guarantor) - The OBG Guarantor attempts to sell (a randomly selected part of) the pool every 6 months and sells it Monitor only if the proceeds from the sale are sufficient to redeem the relevant pass – through OBG without a loss Asset evaluation and to make provisions towards accumulation for the Earliest Maturing OBG, without deteriorating the monitoring Amortisation Test for the benefit of the remaining outstanding OBG * Expected Increase OC in Pass-Through Scenario HOW DOES IT WORK ? - In the meantime, the OBG Guarantor distributes principal proceeds and excess interest pari passu to 60% the pass-through OBG and makes any interest and principal payments due on the non pass-through OBG 50% at the due date Overcollateralisation - During the extension period, coupon payments will be indexed to floating rate and be paid on a 40% monthly basis, as in the soft bullet structure 30% There are different features envisaged in the Programme to protect the long-dated OBGs bondholders: 20% - the OBG Guarantor may only sell assets randomly selected; - there is a Selected Assets Required Amount clause ("SARA") which limits the amount of assets 10% which may be sold; TIME SUBORDINATION 0% - the Amortisation Test is set at 75% of the OC applicable before the occurrence of an Issuer Event of 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 Default; Quarters - a breach of the Amortisation Test will result in an acceleration of all the OBG (i.e. irrespective of 1y 2y 3y 4y their maturity date) * By assuming a 2% CPR, 0% default rate, no asset disposal, the OC would build up to reach approximately 50% after 4 years, given 7 the benefit of the cash flow trapping
OBG Programme Current cover pool* OBG Programme 3 4 1 2 Cover Pool Overview Main general eligibility criteria ** Common criteria Common criteria Residential portfolio specific criteria Debtor: Italian Residency Annuity / Linear amortisation LTV <=80% Property located in Italy No Subsidised loans 1 st economic lien Mortgage governed by Italian Law No arrears as at the valuation date Secured Commercial portfolio specific criteria Euro denominated mortgage LTV <=60% No Public sector Debtors 1 st economic lien At least one instalment paid 8 *As of 30 th June 2018 Source UniCredit ** Please refer to the prospectus for more information about the eligibility criteria
Agenda • Executive Summary 1 • OBG Program 2 • Residential and Commercial Mortgage Market 3 • 4 Appendix • Pass-Through vs Soft Bullet • Legal framework and Programme's tests • Main Underwriting criteria and Collection Policies • Current Cover Pool as of 30 june 2017 • Contacts 9
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