Scorecard Ratios of UniCredit Bank AG UniCredit Bank AG · 8/20/2018 · UniCredit Bank AG (UCB) and downgraded these to Baa3 from Baa2 negative. At the same time, we reclassified

FINANCIAL INSTITUTIONS

CREDIT OPINION20 August 2018

Update

RATINGS

UniCredit Bank AGDomicile Germany

Long Term CRR A1

Type LT Counterparty RiskRating - Fgn Curr

Outlook Not Assigned

Long Term Debt A2

Type Senior Unsecured -Dom Curr

Outlook Stable

Long Term Deposit A2

Type LT Bank Deposits - FgnCurr

Outlook Stable

Please see the ratings section at the end of this reportfor more information. The ratings and outlook shownreflect information as of the publication date.

Contacts

Bernhard Held, CFA +49.69.70730.973VP-Sr Credit [email protected]

Mark C Jenkinson +44.20.7772.5432Associate [email protected]

Alexander Hendricks,CFA

+49.69.70730.779

Associate Managing [email protected]

Carola Schuler [email protected]

UniCredit Bank AGUpdate following legislative change in Germany

SummaryOn 3 August 2018, we reclassified to junior senior unsecured the senior debt instruments ofUniCredit Bank AG (UCB) and downgraded these to Baa3 from Baa2 negative. At the sametime, we reclassified complex structured debt instruments as senior unsecured and affirmedtheir ratings at A2 stable; as a result we upgraded the bank's issuer rating to A2 from Baa2.We affirmed the bank's A2(stable)/P-1 deposit ratings. We continue to assign a baa2 BaselineCredit Assessment (BCA) and Adjusted BCA and A1/P-1 Counterparty Risk Ratings (CRR).

UCB's ratings reflect (1) its baa2 BCA; (2) the results of our LGF analysis, which provides twonotches of rating uplift from the baa2 Adjusted BCA for senior unsecured debt and depositratings; and (3) a moderate probability of government support, yielding one notch of ratinguplift.

UCB's baa2 BCA reflects the bank's solid financial profile, in particular its strong capitalisationwhich remains solid even after a €3 billion special dividend transferred to its parent companyin 2017. The baa2 BCA is currently not capped by the weaker credit standing of UCB's Italianparent bank, UniCredit S.p.A. (Baa1/Baa1 positive, ba11), as we currently allow UCB's BCAto be a maximum of two notches above UniCredit S.p.A.'s BCA. The positive BCA gap issupported by UCB having implemented sufficient restrictions on intergroup exposures which,relative to its capital, appear manageable even in case of stress elsewhere in UniCredit Group.

Exhibit 1

Scorecard Ratios of UniCredit Bank AG

3.8%

21.7%

0.3%

42.5%

46.6%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

0%

5%

10%

15%

20%

25%

Asset Risk:Problem Loans/

Gross Loans

Capital:Tangible Common

Equity/Risk-WeightedAssets

Profitability:Net Income/

Tangible Assets

Funding Structure:Market Funds/

Tangible BankingAssets

Liquid Resources:Liquid Banking

Assets/TangibleBanking Assets

Solvency Factors (LHS) Liquidity Factors (RHS)

UniCredit Bank AG (BCA: baa2) Median baa2-rated banks

So

lve

ncy F

acto

rs

Liq

uid

ity F

acto

rs

Source: Moody's Investors Service

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https://www.moodys.com/credit-ratings/UniCredit-Bank-AG-credit-rating-96025

MOODY'S INVESTORS SERVICE FINANCIAL INSTITUTIONS

Credit strengths

» Sound fundamentals, in particular in the areas of capitalisation and liquidity

» Non-performing loans have been decreasing but market risks are substantial

Credit challenges

» Interconnectedness with UniCredit Group constrains UCB's ratings, although exposure limits imply a level of protection

» UCB's Capital Markets business creates volatility of profits

» UCB has only modest volumes of subordinated instruments and senior unsecured debt outstanding, which implies a high loss-given-failure for holders of non-structured senior unsecured debt

Outlook

» The outlook is Stable and reflects our view that UCB will show a stable performance of key solvency and funding metrics during2018-19.

Factors that could lead to an upgrade

» An upgrade of UCB's ratings could be prompted by a higher BCA and/or a more favourable result of our LGF analysis.

» Upward pressure on UCB's baa2 BCA remains subject to an improvement of UniCredit S.p.A.'s ba1 BCA. Following a potentialupgrade of its parent's BCA, upward pressure on UCB's BCA could be exerted by (1) changes in the bank's earnings profile, that is,with larger earnings contributions from less volatile businesses; and (2) sustained improvements in asset-risk indicators, includingreductions of risk within its capital markets segment from current levels

» We may upgrade UCB's senior unsecured debt and deposit ratings in the case higher volumes of lower-ranking liabilities areincluded into UCB's liability structure, e.g. in case this is required by banking authorities to fulfill internal minimum requirements forown funds and eligible liabilities (MREL) under a possible single point of entry resolution approach to UniCredit group.

Factors that could lead to a downgrade

» A downgrade of UCB's ratings could be triggered by (1) a downgrade of the bank's BCA; (2) a reduction in rating uplift as a result ofour LGF analysis; and/or (3) a reduction in our government support assumptions.

» UCB's BCA could be downgraded (1) if the bank's financial fundamentals deteriorate materially, although there is some leeway atthe baa2 BCA level; (2) as a result of a downgrade of UniCredit S.p.A.'s ba1 BCA; or (3) if any new regulation seeks to weaken or evendisallow the ring-fencing of systemically relevant cross-border subsidiaries in the EU.

» UCB's deposits and senior unsecured bonds may be downgraded as a result of a reduction in rating uplift from our LGF analysis. Thiscould reflect sustainably reduced levels of subordinated or equal-ranking liabilities in case these are not offset by material volumesof internal MREL liabilities which regulators may require if a single point of entry resolution approach is adopted for UniCreditgroup. Such downgrade potential only applies to UCB's deposit and senior unsecured ratings, as the junior senior unsecured debtrating already includes the weakest possible LGF result.

This publication does not announce a credit rating action. For any credit ratings referenced in this publication, please see the ratings tab on the issuer/entity page onwww.moodys.com for the most updated credit rating action information and rating history.

2 20 August 2018 UniCredit Bank AG: Update following legislative change in Germany


Key indicators

Exhibit 2

UniCredit Bank AG (Consolidated Financials) [1]12-172 12-162 12-152 12-142 12-133 CAGR/Avg.4

Total Assets (EUR billion) 273 265 258 245 245 2.75

Total Assets (USD billion) 328 279 280 296 338 -0.75

Tangible Common Equity (EUR billion) 17 17 20 20 20 -4.25

Tangible Common Equity (USD billion) 20 18 22 24 28 -7.55

Problem Loans / Gross Loans (%) 2.9 3.8 4.6 5.6 5.7 4.56

Tangible Common Equity / Risk Weighted Assets (%) 21.7 20.5 25.8 23.3 23.7 22.87

Problem Loans / (Tangible Common Equity + Loan Loss Reserve) (%) 18.8 24.2 23.7 27.5 27.3 24.36

Net Interest Margin (%) 1.0 1.0 1.1 1.1 1.0 1.06

PPI / Average RWA (%) 2.3 1.9 1.4 1.4 2.2 1.77

Net Income / Tangible Assets (%) 0.5 0.1 0.3 0.4 0.4 0.36

Cost / Income Ratio (%) 65.3 70.8 76.9 75.5 63.6 70.46

Market Funds / Tangible Banking Assets (%) 42.5 42.2 44.3 43.7 39.8 42.56

Liquid Banking Assets / Tangible Banking Assets (%) 46.6 42.8 44.9 41.7 44.3 44.16

Gross Loans / Due to Customers (%) 99.2 105.8 107.8 111.6 104.6 105.86

[1] All figures and ratios are adjusted using Moody's standard adjustments [2] Basel III - fully-loaded or transitional phase-in; IFRS [3] Basel II; IFRS [4] May include rounding differences dueto scale of reported amounts [5] Compound Annual Growth Rate (%) based on time period presented for the latest accounting regime [6] Simple average of periods presented for the latestaccounting regime. [7] Simple average of Basel III periods presentedSource: Moody's Financial Metrics

ProfileWith a reported total balance sheet size of €294 billion, as of June 2018, UCB is Germany's fifth-largest banking group by assets. It hasbeen a member of the UniCredit Group since 2008 and pursues a universal banking model.

UCB's strategy is increasingly aligned with that of UniCredit SpA and it operates as the Corporate and Investment Banking (CIB) hub forthe group. In line with UniCredit SpA's group-wide restructuring plan “Transform 2019”, UCB is undergoing a strategic and operationalstreamlining that focuses on enhancing efficiency and overall returns, and reducing risks as well as the complexity of its CIB operations.

In July 2018, UCB's direct subsidiary, UniCredit Bank Luxembourg S.A., merged into UCB by way of a cross-border merger.

For more information, please refer to the bank's Issuer Profile and to our German Banking System Profile.

Weighted Macro Profile of Strong +Although UCB is focused on the German market, the bank's assigned Strong (+) Weighted Macro Profile is set one notch below theVery Strong (-) Macro Profile of Germany, reflecting the issuer's international activities in countries with a less benign operatingenvironment.

Recent developmentsOn 3 August 2018, we reclassified a range of senior debt instruments issued by German banks and took rating actions on them. Thechanges came in response to German legislation that took effect on 21 July, transposing an amendment to the European Union's (EU)Bank Recovery and Resolution Directive (BRRD) into domestic law.

We downgraded most of the banks’ senior unsecured bonds that were already outstanding on 20 July 2018, as the legislative changeled us to abandon our previous assumption that these instruments would benefit from government support if required. This is becausethe new law ranks these legacy instruments alongside new “junior senior” instruments introduced to help EU banks achieve theminimum holdings of loss absorbing debt stipulated under the BRRD's minimum requirements for own funds and eligible liabilities(MREL).

We also upgraded the banks' issuer ratings and senior unsecured program ratings. This is because the law allows German banks for thefirst time since implementation of Germany's first amendment to the national BRRD law to issue new preferred senior unsecured debt


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in “plain vanilla” format. These instruments, which rank as German lenders’ most senior plain vanilla unsecured bonds, have becomethe reference point for their issuer ratings.

Detailed credit considerationsInterconnectedness with UniCredit Group constrains UCB's ratingsUCB's BCA remains constrained by its strategic, financial and business-related operational interconnectedness with its parent bank. Itsposition as the group's centre for corporate and investment banking (CIB) activities implies correlation in the areas of reputation andinvestor confidence, which is a material constraining factor. That said, UCB tightly manages the collateral of its derivatives positionsand has reduced unsecured intra-group exposures to a level considerably below the exposure allowed by the German banking act,which permits up to 100% of capital. We understand that the bank's internal limits for secured and unsecured intra-group exposuresare also materially below this threshold. Balancing these factors, we currently allow UCB's BCA to be a maximum of two notches aboveUniCredit S.p.A.'s BCA.

UniCredit S.p.A. which completed a €13 billion capital increase in March 2017, is engaged in a group wide efficiency and modernisationprogram, to be completed by 2019. The program includes a cleanup with respect to Italian non-performing loans (NPLs) which willbenefit UCB in two ways: First, the targeted NPL reduction will reduce risks elsewhere in UniCredit Group. Second, if the targets whichalso stipulate ambitious key performance indicators for UCB are met, the program will enhance the German bank's performance.

In this context, we note that UniCredit S.p.A. and UCB have agreed with their respective national regulators that UCB's CET1 ratio mustnot fall below 13%. If UCB raises its direct exposures (or exposure limits) to group members, or if UniCredit S.p.A. were to withdrawadditional capital resources from UCB, this could affect our assessment of the bank's standalone credit strength.

Very strong regulatory capitalisationWe assign a Capital score of aa2, one notch below the unadjusted score, which leaves room for rising RWA's in the context of UCB'sambitious growth plans in its core lending businesses. The adjustment also captures the typical full upstreaming of profits to theparent.

UCB is strongly capitalised. It reported a very solid Common Equity Tier 1 (CET1) ratio of 20.7% as of June 2018, down from 21.1% atyear-end largely reflecting higher credit risk risk-weighted assets from corporate lending. However UCB's capitalisation remains wellabove the peer group average and is a key factor supporting for the baa2 BCA.

UCB's transitional regulatory Tier 1 leverage ratio of 5.1% as of June 2018 remained unchanged vs. year-end 2017 and reflects to agreater degree the bank's significant off-balance sheet exposures related to the bank's investment banking business. As per UniCreditS.p.A.'s year-end 2017 disclosure report, UCB represented a large share of around 90% in UniCredit S.p.A.'s gross derivative exposureand 37% of the group-wide securities financing transactions. For the purpose of regulatory leverage measurement, UniCredit S.p.A.'srisk exposures as of Q1 2018 included €33 billion (2017: €33 billion) of derivative exposures and €61 billion (2017: €56 billion) ofsecurities financing transaction.

Asset quality has improved, investment banking focusWe assign an Asset Risk Score of baa3, three notches below the unadjusted score to reflect the market and operational risk inherentin UCB's CIB business. While we expect UCB's sound asset risk profile to improve incrementally during 2018, UCB maintains highconcentration risks in its loan book and securities investment portfolio, which exposes the bank to the risk of occasional large lossesrelated to individual names and transactions, or to changes in volatilities, correlations or liquidity.

UCB's non-performing loan ratio improved in the first half of 2018 to 2.3% from 2.9% at year-end (2016: 3.8%), whereby the bank'stotal problem loans stood at around €3.0 billion (2017: €3.5 billion, 2016: €4.7 billion). The continued decrease mostly reflects thebenign credit conditions in Germany, but also impaired asset sales and loan growth by 7.7%.

As of half-year 2018 UCB's problem loan coverage ratio stood at 62.3%, up from 59.7% as of 01 January 2018, due to the significantreduction in IFRS 9 Stage 3 impaired assets supported by a strong economic environment, particularly in Germany.

UCB's main sector concentrations include €27.1 billion real estate lending (12% of the total €224.1 billion exposure as of June 2018),€13.4 billion to the energy sector (6%) and €3.2 billion ship finance (1.5%). Other concentrations relate to international project



finance, as well as debt capital market underwriting for corporates. UCB started investing in asset-backed securities (third-party ABS)again in 2015, after phasing out residual positions that dated back to the banking crisis. Total holdings decreased to €6.2 billion inDecember 2017 (2016: €6.8 billion), after a 26% increase in 2015. The total included €262 million in mezzanine tranches, with theremainder being senior. In the first half of 2018, UCB increased its ABS securities again to €6.8 billion.

With 56% of its exposure in Germany, UCB remains strongly focused on its home market. in the first half of 2018, the bank reducedits exposure to Italy (Baa2 review for downgrade) to €8.9 billion from €9.4 billion. UCB's international exposures are reflected by itsweighted Macro Profile of Strong+, which is somewhat below the Very Strong- assessment for Germany.

Profitability is adequate but volatileUCB's assigned Profitability Score is b1 and two notches below the macro-adjusted score. The downward adjustments captures ourexpectation that challenging market conditions will only partly be offset by the bank's continued cost efficiency efforts and medium-term scope for improvement.

UCB is one of the more profitable banks in Germany, although profits are modest on a wider European or global comparison. Its twosegments, Commercial Banking and CIB, both strongly contribute to group results, but CIB generates relatively volatile revenues andprofits.

We expect cost reduction effects of the group's Transform 2019 program to continue to provide a basis for further improvement inUCB's bottomline. At the same time, the low interest rate environment continues to weigh on profitability.

The reported operating profit for the first half of 2018 was €262 million, down -63.5% year-over-year. The reduction was driven bynon-tax deductable risk provisions of €339 million, largely to cover legal risks. On an adjusted basis pre-tax profit was down -3.9%at €913 million. Lower payroll costs and cost savings associated with the group's Transform 2019 program drove the 7.0% operatingcost decrease to €1,570 million, but were not able to create positive operating leverage: Lower market valuations following the Italianelection results in May 2018 resulted in significantly lower net trading income in the group's Fixed Income and Currencies unit. Netinterest income remained stable, excluding the reversal of provisions in the first half of 2017, as a result of significant loan book growthas margin pressures persisted.

Funding is adequate with long maturitiesWe assign the Market Funding Score at ba2, two notches above the macro-adjusted score. The upward adjustment captures UCB'ssubstantial deposit base and the long-term structure of its market funding.

UCB's funding profile is adequate although it relies on market funds for a large share of its funding needs. The ba2 assigned fundingscore is two notches above the macro-adjusted funding score. The upward adjustment takes into account that with the combination ofrelatively long maturities of its outstanding debt and sizeable deposit base, UCB needs to tap the market for relatively modest amountsof €5 billion to €8 billion annually. The future development of the bank's funding profile, particularly in terms of loss absorbing debtcomponents, will depend to an important degree of the resolution strategy and loss-absorption requirements that have not yet beendisclosed for UCB. However, as a material subsidiary of UniCredit S.p.A., which is subject to the minimum total loss-absorbing capacity(TLAC) requirement, we anticipate that UCB will receive internal loss-absorbing instruments from its parent to meet its stand-alonerequirements.

UCB's dependence on the market for a relatively large proportion of its balance sheet is mitigated by several factors: (1) A considerableportion of market funds raised through covered bonds (€20.8 billion as of December 2017, up from €18.9 billion at year-end 2016), aswell as additional potential for raising funds through covered bonds based on €31.9 billion of cover pool assets as of year-end 2017;(2) €11 billion of promotional funds from development banks, for which UCB does not require market access; and (3) ample liquidresources. The former two mitigating factors are included in our calculation of adjusted market funds and the resulting ba2 FundingStructure Score.

As part of the pan-European banking group UniCredit S.p.A., the resolution approach to the parent bank and its main subsidiaries,including UCB, will determine to a large extent the structure of lower-ranking liabilities such as subordinated and non-preferred seniordebt. If resolution authorities were to apply a single point of entry approach to UniCredit S.p.A. as the group assumes, UniCredit S.p.A.



could be required to invest in instruments that would absorb losses prior to externally placed market funding, which would strengthenthe structural protection of these liabilities.

High levels of liquid assetsWe assign the Liquid Resources Score at a3, three notches below the macro-adjusted score. The downward adjustment captures UCB'sencumbered assets.

The assigned a3 Liquid Resources Score reflects UCB's large liquid resources and its Liquidity Coverage Ratio (LCR) significantlyabove 100%, but also our adjustments to the Liquid Resources ratio for encumbered liquid assets. As of December 2017, Retail andcorporate deposits represented 41% of total liabilities, and UCB has good access to the German covered bond market. Liquidityreserves remained high in 2017, with unencumbered securities available as collateral for central bank borrowings at €15 billion (2016:€32 billion) and cash holdings of €36.4 billion (2016: €9.8 billion). UCB's year-end 2017 €123 billion customer loan book was fullycovered by customer deposits.

Support and structural considerationsAffiliate supportWe believe that UniCredit S.p.A. would likely support its German subsidiary in case of need. However, parental support does not resultin any rating uplift because UCB's BCA is higher than that of its parent bank. UCB's adjusted BCA is therefore baa2, in line with its BCA.

Loss Given Failure analysisUCB is subject to the EU Bank Recovery and Resolution Directive (BRRD), which we consider to be an operational resolution regime.We therefore apply our Advanced LGF analysis, where we consider the risks faced by the different debt and deposit classes across theliability structure should the bank enter resolution.

Our Advanced LGF analysis follows the recently revised insolvency legislation in Germany that became effective on 21 July 2018.Following the change in law, the legal hierarchy of bank claims in Germany is now consistent with most other European Union (EU)countries, where statutes do not provide full preference to deposits over senior unsecured debt. However, in our Advanced LGF analysiswe now consider not only the results of both the formal legal position (pari passu, or 'de jure' scenario), to which we assign a 75%probability, but also an alternative liability ranking, reflecting resolution authority discretion to prefer deposits over senior unsecureddebt (full depositor preference, or 'de facto' scenario), to which we assign a 25% probability.

We further assume residual tangible common equity of 3% and losses post-failure of 8% of tangible banking assets, a 25% run-off in"junior" wholesale deposits, and a 5% run-off in preferred deposits. These ratios are in line with our standard assumptions.

» For deposits and senior unsecured debt of UCB, rated A2, our LGF analysis indicates a very low loss-given-failure, leading to a two-notch uplift from the bank's baa2 Adjusted BCA.

» For junior senior unsecured debt as well as subordinated debt issued by UCB, rated Baa3, our LGF analysis indicates a high loss-given-failure, leading us to position the rating one notch below the Adjusted BCA.

» The dated silent partnership certificates issued by HVB Funding Trust and HVB Funding Trust II and III are rated Ba1(hyb). Thenotching reflects their deeply subordinated claim in liquidation and the non-cumulative coupon-skip mechanism tied to the breachof a regulatory minimum requirement trigger.

Government support considerationsAlthough German banks operate in an environment of materially weakened prospects for financial assistance from the government,we maintain one notch of rating uplift in our senior unsecured debt and deposit ratings, reflecting our expectation of a moderateprobability of government support for senior debt and deposits. This support takes into account UCB's substantial size and strongnational market shares in retail and corporate lending.

For junior senior unsecured debt, subordinated debt and hybrid instruments, we believe that the potential for government support islow and these ratings, therefore, do not benefit from any government support uplift.



In particular for junior senior unsecured debt, the legal change to the German banks’ insolvency rank order has lowered the likelihoodof government support being available for these instruments, because legally they rank pari passu with the majority of outstanding(statutorily subordinated) senior unsecured instruments issued up until 20 July 2018. This pari passu ranking of new junior seniorunsecured debt with legacy (statutorily subordinated) senior unsecured instruments makes it less likely that German authoritieswould selectively support the legacy instruments (which we reclassified into junior senior unsecured debt), following clarification thatthe German authorities expect these liabilities to bear losses in a resolution. As a result, we have reduced our government supportassumption for these instruments to Low from Moderate.

Counterparty Risk Ratings (CRRs)CRRs are opinions of the ability of entities to honour the uncollateralised portion of non-debt counterparty financial liabilities (CRRliabilities) and also reflect the expected financial losses in the event such liabilities are not honoured. CRRs are distinct from ratingsassigned to senior unsecured debt instruments and from issuer ratings because they reflect that, in a resolution, CRR liabilities mightbenefit from preferential treatment compared with senior unsecured debt. Examples of CRR liabilities include the uncollateralisedportion of payables arising from derivatives transactions and the uncollateralised portion of liabilities under sale and repurchaseagreements.

UCB's Counterparty Risk Ratings are positioned at A1/P-1.

The CRRs are positioned four notches above the Adjusted BCA of baa2, reflecting 1) the extremely low loss-given-failure from the highvolume of instruments that are subordinated to CRR liabilities, reflected in three notches of uplift and 2) one notch of rating upliftbased on government support, in line with our support assumptions on deposits and senior unsecured debt.

Counterparty Risk AssessmentThe Counterparty Risk Assessment (CR Assessment) is an opinion of how counterparty obligations are likely to be treated if a bank failsand is distinct from debt and deposit ratings in that it (1) considers only the risk of default rather than both the likelihood of default andthe expected financial loss suffered in the event of default; and (2) applies to counterparty obligations and contractual commitmentsrather than debt or deposit instruments. The CR Assessment is an opinion of the counterparty risk related to a bank's covered bonds,contractual performance obligations (servicing), derivatives (e.g., swaps), letters of credit, guarantees and liquidity facilities.

UCB's Counterparty Risk Assessments are positioned at A1(cr)/P-1(cr).

The bank's CR Assessment is positioned four notches above its baa2 Adjusted BCA, based on 1) the buffer against default provided tothe senior obligations represented by the CR Assessment by more subordinated instruments, primarily senior unsecured debt; and 2)government support uplift assuming a Moderate level of support. To determine the CR Assessment, we focus purely on subordination,taking no account of the volume of the instrument class.



Methodology and scorecardMethodologyThe principal methodology we used in rating UCB was Banks, published in August 2018.

About Moody's Bank ScorecardOur Bank Scorecard is designed to capture, express and explain in summary form our Rating Committee's judgment. When readin conjunction with our research, a fulsome presentation of our judgment is expressed. As a result, the output of our scorecardmay materially differ from that suggested by raw data alone (though it has been calibrated to avoid the frequent need for strongdivergence). The scorecard output and the individual scores are discussed in rating committees and may be adjusted up or down toreflect conditions specific to each rated entity.

Rating methodology and scorecard factors

Exhibit 3

UniCredit Bank AGMacro FactorsWeighted Macro Profile Strong + 100%

Factor HistoricRatio

MacroAdjusted

Score

CreditTrend

Assigned Score Key driver #1 Key driver #2

SolvencyAsset RiskProblem Loans / Gross Loans 3.8% a3 ← → baa3 Market risk Operational risk

CapitalTCE / RWA 21.7% aa1 ← → aa2 Stress capital

resilienceExpected trend

ProfitabilityNet Income / Tangible Assets 0.3% ba2 ↓ b1 Earnings quality Loan loss

charge coverageCombined Solvency Score a2 baa1LiquidityFunding StructureMarket Funds / Tangible Banking Assets 42.5% b1 ← → ba2 Market

funding qualityTerm structure

Liquid ResourcesLiquid Banking Assets / Tangible Banking Assets 46.6% aa3 ← → a3 Encumbrance

Combined Liquidity Score baa3 baa3Financial Profile baa2

Business Diversification 0Opacity and Complexity 0Corporate Behavior 0

Total Qualitative Adjustments 0Sovereign or Affiliate constraint: Baa2Scorecard Calculated BCA range baa1-baa3Assigned BCA baa2Affiliate Support notching 0Adjusted BCA baa2

Balance Sheet is not applicable.


https://www.moodys.com/research/Banks--PBC_1128883


De Jure waterfall De Facto waterfall NotchingDebt classInstrumentvolume +

subordination

Sub-ordination

Instrumentvolume +

subordination

Sub-ordination

De Jure De FactoLGF

NotchingGuidance

vs.Adjusted

BCA

AssignedLGF

notching

Additionalnotching

PreliminaryRating

Assessment

Counterparty Risk Rating -- -- -- -- -- -- -- 3 0 a2Counterparty Risk Assessment -- -- -- -- -- -- -- 3 0 a2 (cr)Deposits -- -- -- -- -- -- -- 2 0 a3Senior unsecured bank debt -- -- -- -- -- -- -- 2 0 a3Junior senior unsecured bank debt -- -- -- -- -- -- -- -1 0 baa3Dated subordinated bank debt -- -- -- -- -- -- -- -1 0 baa3

Instrument class Loss GivenFailure notching

AdditionalNotching

Preliminary RatingAssessment

GovernmentSupport notching

Local CurrencyRating

ForeignCurrency

RatingCounterparty Risk Rating 3 0 a2 1 A1 A1Counterparty Risk Assessment 3 0 a2 (cr) 1 A1 (cr) --Deposits 2 0 a3 1 A2 A2Senior unsecured bank debt 2 0 a3 1 A2 (P)A2Junior senior unsecured bank debt -1 0 baa3 0 Baa3 Baa3Dated subordinated bank debt -1 0 baa3 0 Baa3 (P)Baa3[1] Where dashes are shown for a particular factor (or sub-factor), the score is based on non-public information.Source: Moody's Financial Metrics

Ratings

Exhibit 4Category Moody's RatingUNICREDIT BANK AG

Outlook StableCounterparty Risk Rating A1/P-1Bank Deposits A2/P-1Baseline Credit Assessment baa2Adjusted Baseline Credit Assessment baa2Counterparty Risk Assessment A1(cr)/P-1(cr)Issuer Rating A2Senior Unsecured -Dom Curr A2Junior Senior Unsecured Baa3Subordinate -Dom Curr Baa3Other Short Term (P)P-1

PARENT: UNICREDIT S.P.A.

Outlook PositiveCounterparty Risk Rating Baa1/P-2Bank Deposits Baa1/P-2Baseline Credit Assessment ba1Adjusted Baseline Credit Assessment ba1Counterparty Risk Assessment Baa1(cr)/P-2(cr)1

Senior Unsecured Baa1Junior Senior Unsecured -Dom Curr Baa3Subordinate Ba1Pref. Stock Non-cumulative -Dom Curr B1 (hyb)Other Short Term -Dom Curr (P)P-2

UNICREDIT BANK AG, LONDON BRANCH

Outlook StableCounterparty Risk Rating A1/P-1Bank Deposits A2/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Issuer Rating -Dom Curr A2

UNICREDIT BANK AG, NEW YORK BRANCH



Outlook StableCounterparty Risk Rating A1/P-1Bank Deposits A2/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Issuer Rating A2

UNICREDIT BANK AG, PARIS BRANCH

Outlook StableCounterparty Risk Rating A1/P-1Bank Deposits -Dom Curr A2/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)

UNICREDIT U.S. FINANCE INC.

Bkd Commercial Paper P-1UNICREDIT BANK AG, HONG KONG BRANCH

Outlook StableCounterparty Risk Rating A1/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured MTN (P)A2Subordinate MTN (P)Baa3Other Short Term (P)P-1

UNICREDIT BANK AG, TOKYO BRANCH

Outlook StableCounterparty Risk Rating A1/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured MTN (P)A2Subordinate MTN (P)Baa3Commercial Paper -Dom Curr P-1Other Short Term (P)P-1

UNICREDIT BANK AG, SINGAPORE BRANCH

Outlook StableCounterparty Risk Rating A1/P-1Counterparty Risk Assessment A1(cr)/P-1(cr)Senior Unsecured MTN (P)A2Subordinate MTN (P)Baa3Other Short Term (P)P-1

HVB FUNDING TRUST

Pref. Stock Non-cumulative Ba1 (hyb)HVB FUNDING TRUST III

Pref. Stock Non-cumulative Ba1 (hyb)HVB FUNDING TRUST II

Pref. Stock Non-cumulative Ba1 (hyb)[1] Rating(s) within this class was/were placed on review on May 30 2018Source: Moody's Investors Service

Endnotes1 The ratings shown are the bank's deposit rating, the senior unsecured debt rating and outlook, and the Baseline Credit Assessment.



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Contacts

Bernhard Held, CFAVP-Sr Credit Officer

Mark C JenkinsonAssociate Analyst


Documents

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