Prospectus - Notowania

(a) Securitization transactions originated by the UniCredit Group
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RISK FACTORS
The UniCredit Group cover the role of originator (transferor) of portfolios of
receivables/loans recorded in the balance sheet of special purpose companies
established in compliance with applicable law provisions.
In detail, the Group sets up both traditional securitization transactions, which
envisage the effective assignment of the receivable/loan portfolio to the special
purpose vehicle and synthetic securitization transactions which envisage, by
means of entering into credit default swaps, the purchase of protection on all or
part of the credit risk underlying the portfolio of securitized assets (for further
details on these transactions see the following Paragraph 4.2.3).
Recourse to these types of transactions is however limited. In this connection, it
is pointed out that, as at September 30, 2009, the sum total of loans securitized
came to around 17.10% of the UniCredit Group’s receivable/loan portfolio.
The sum total of the cash loans originating from own securitization transactions
amounted to €82,227 million in net cash loans as at September 30, 2009 and
€79,441 million as at December 31, 2008.
With reference to the synthetic securitization transactions executed by the Group
during the second quarter of 2008 with institutional counterparts for the purposes
of covering corporate and retail portfolios of HVB and BA and equal to € 30
billion, the effects of these transactions were approved by the German and
Austrian authorities and are already applicable in the calculation of the
consolidated RWA with a consequent expected benefit on the capital ratios of
the Group equivalent to 16.5 basis points as at December 2009. Nevertheless,
there a risk that the Bank of Italy can review the acceptance of the effects in
these transactions starting at the end of 2009 should it establish that the
transactions in question did not result in a substantial transfer of the risk relevant
to the such portfolios, with the resulting possible prejudice to the Group’s equity
ratios.
(b) Conduits
The UniCredit Group acts as an organizer (sponsor) of special purpose
companies which issue commercial paper (so-called Asset Backed Commercial
Paper Conduits) established both for the purpose of permitting customers to
access the securitization market (Multiseller Customer Conduits) and for
arbitrage purposes (Arbitrage Conduits).
With regard to the assets of the four Conduits sponsored by UniCredit Group
companies, as at September 30, 2009 the total amount came to €4,967 million.
Within the sphere of its role as sponsor, the Group carried out both activities for
the selection of the asset portfolios acquired by the Conduits, and administration
activities, and provides the guarantees – under the form of letters of credit and