El Servicio de Rentas Internas (SRI)

The Group’s origination consists of the sale of on-balance sheet receivables portfolios to vehicles set up as securitization companies under Law 130/99 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

• to reduce funding costs given the opportunity to issue higher-rated bonds with lower interest rates than ordinary senior bonds and

• to originate securities that can be used to secure repos with Banca d’Italia and the ECB (i.e. counterbalancing capacity).

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.

The Group makes limited use of this type of transactions. The amount of securitized loans1_{, net of the}

transactions in which the Group has acquired all the liabilities issued by the SPVs (the so-called self- securitizations), accounts for approximately 5.35% of the Group’s credit portfolio. Self-securitizations in turn account for 5.79% of the loan portfolio.

A Covered Bond (OBG – Obbligazioni Bancarie Garantite) Program was launched in 2008 under the provisions of Italian Law 130/99. The underlying residential mortgage loans were transferred to an SPE set up for this purpose and included in the Banking Group. Six tranches of OBG totaling €6.9bn were issued, of which 3.4bn retained in the Group.

As at 30 June 2010 similar covered bonds under German law (Pfandbriefe) amounted to €39,314,238 thousand, of which €30,791,607 thousand were backed by mortgage loans and €8,522,631 thousand by loans to the public sector.

Under traditional securitizations the Group retains 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 loans and no profits arising out of the transfer of the assets are recognized and the sold receivables are not derecognized.

Synthetic securitizations also entail retention of the receivables subject to credit default protection on the balance sheet. The swap is recognized in the accounts, as well as any other retained interest.

The following table shows the Group’s retained gross and net cash exposure under securitizations in which it was the originator, subdivided according to whether or not the receivables were derecognized in the accounts.

The amounts given are mainly interests retained by the originator, net of self-securitizations. ABSs arising out of securitizations and held in the Corporate & Investment Banking Division’s and UniCredit Bank Ireland’s portfolio are also shown.

Exposures deriving from the securitization of own assets (€ '000)

12.31.2009 Gross exposure (*) Net exposure (**) Net exposure (**)

- Assets sold totally derecognized 1,538,825 1,127,561 1,210,928

- Assets sold but not derecognized 3,235,179 3,824,548 2,299,478

- Synthetic transactions 13,041,115 11,027,163 41,214,575

Total _{17,815,118 15,979,272 44,724,981}

(**) The net exposure includes the sold loans’ amount of yield due but not received in excess of amounts paid on securities places at third counterparties.

Balance sheet exposure as at

(*) The gross exposure correspond to “risk retained”, which is measured as the difference between the assets sold and the corresponding liabilities as at the sale date.

06.30.2010

Retained tranches break down according to the level of subordination as follows:

(€ '000)

12.31.2009

Senior Mezzanine Junior Total Total

Balance sheet exposure 12,748,852 1,892,028 1,338,392 15,979,272 44,724,981

- Assets sold totally derecognized 116,087 752,978 258,496 1,127,561 1,210,928

- Assets sold but not derecognized 2,763,810 157,310 903,428 3,824,548 2,299,478

- Synthetic transactions 9,868,955 981,740 176,468 11,027,163 41,214,575

Guarantees given - 73,928 - 73,928 77,956

- Assets sold totally derecognized - 73,928 - 73,928 77,956

- Assets sold but not derecognized - - - - -

- Synthetic transactions - - - - -

Credit facilities - 711,335 30,220 741,555 657,032

- Assets sold totally derecognized - 711,335 - 711,335 626,812

- Assets sold but not derecognized - - 30,220 30,220 30,220

- Synthetic transactions - - - - -

06.30.2010

Exposures deriving from the securitization of own assets broken down by subordination degree

Amounts as at

The transactions included under “Assets sold and derecognized” are those in which the Group, while retaining most of the risk and return of the underlying receivables, nevertheless derecognized them

because the transaction was prior to January 1st_{, 2002. On first adoption of IFRS the option permitted by}

IFRS 1 that allows assets sold before January, 1st _{2004 not to be re-recognized, regardless of the amount}

of risk and return retained, was taken.

Cash exposures not derecognised increased to €3,825 million as at 30 June 2010 from €2,299 million as at 31 December 2009 due to purchases of bonds under the international offer to purchase made by UniCredit S.p.A. on 25 January 2010, which was subject to restrictions applying inter alia to Italian investors and closed on 5 February.

Moreover, the decrease in cash exposures concerning synthetic transactions from €41,215 million in December 2009 to €11,027 million in June 2010 was mainly due to the exercise of early termination of synthetic securitizations carried out in 2008 by using the “Supervisory Formula Approach” (SFA) provided by the Basel 2 agreement.

Beside the indicated exposures, the Group has also carried out traditional transactions concerning performing loans by purchasing the liabilities issued by the SPVs (so-called self-securitizations) for a total amount of €36,971,243 thousand.

However, assessment and monitoring of risk underlying securitizations are performed with regard not to exposure to the SPV but rather to the sold receivables, which are monitored continuously by means of Interim reports showing status of the receivables and repayment performance.

The following tables give a breakdown of the Group’s retained (i.e., non-derecognized) receivables by

region and asset quality, and by traditional and synthetic securitizations.

Securitized assets broken down by geographical area (€ '000)

Assets sold but not derecognized Italy Germany Austria Other EU Countries

Others European Countries (NON EU)

America Asia Rest of the world Total

- Residential mortgage loans 8,951,443 - - - 8,951,443

- Leasing 3,302,579 - - 76,685 142,940 - - - 3,522,204 - SME loans - - - - - Corporate loans - 3,751,277 - - - 3,751,277 - Others - - - - Total 12,254,022 3,751,277 - 76,685 142,940 - - - 16,224,924 Amounts as at 06.30.2010

Securitized assets broken down by geographical area (€ '000)

Synthetic transactions Italy Germany Austria Other EU Countries

Others European Countries (NON EU)

America Asia Rest of the world Total

- Residential mortgage loans - 6,486,975 - - - 6,486,975

- Commercial mortgage loans - 899,005 - - - 899,005

- SME loans _{1,849,031 3,784,251 1,649,769 57,986 - 6,767 - - 7,347,804}

- Corporate loans 384,639 354,728 1,502,180 434,366 - 74,170 - 19,058 2,769,141

- Others - 462,584 7,023 77 - 3,049 - - 472,733

Total 2,233,670 11,987,543 3,158,972 492,429 - 83,986 - 19,058 17,975,658

Amounts as at 06.30.2010

Securitized assets broken down by asset quality (€ '000)

Assets sold but not derecognized Other assets

(performing) Impaired assets Total

- Residential mortgage loans _{8,711,435 240,008 8,951,443}

- Leasing 3,181,280 340,924 3,522,204 - SME loans - - - - Corporate loans 3,748,282 2,995 3,751,277 - Others - - - Total 15,640,997 583,927 16,224,924 Amounts as at 06.30.2010

Securitized assets broken down by asset quality (€ '000)

Synthetic transactions Other assets

(performing) Impaired assets Total

- Residential mortgage loans _{6,379,497 107,478} 6,486,975

- Commercial mortgage loans _{889,792 9,213} 899,005

- SME loans _{7,065,597 282,207} 7,347,804

- Corporate loans _{2,728,010 41,131} 2,769,141

- Others 463,798 8,935 472,733

Total 17,526,694 448,964 17,975,658

Amounts as at 06.30.2010

Funded securitization structures originated by the Group have as underlyings residential mortgages originated in Italy corporate loans originated in Germany and leasing granted to Italian counterparties. Synthetic securitization structures have mainly residential mortgages and loans to Corporate and Small Medium Entities originated in UE countries as underlyings.

Performing assets account for 96.4% of traditional securitizations’ portfolio and 97.5% of synthetic transactions’ portfolio.

The Group is not an originator of securitizations having as underlying US residential mortgages, neither prime nor subprime nor Alt-A.

The fair value of assets sold and not derecognized exceeds the carrying amount by over €1,300 million.