Consob Request dated March 5, 2008

Please find below our response to Consob request no. 8020409 of March 5, 2008 to disclose information on a) exposure to subprime mortgages, b) business transacted through Conduits or Structured Investment Vehicles and c) trading derivatives with customers (in accordance with further indications provided by Consob Communication no. 8021974 of March 11, 2008, this disclosure is provided partly in the Report on Operations included in the Consolidated Accounts and Parent Company Accounts as at December, 31 2007 and partly in this note).
For completeness sake, we attach to this note the chapter of the Consolidated Report on Operations providing part of the disclosure requested.


a) Exposure to subprime mortgages
An update of the information already requested by Consob on August 30, 2007 relating to risks associated to US subprime mortgage exposure is provided in a chapter of the Report on Operations included in the Consolidated Accounts and Parent Company Accounts as at December 31, 2007.

b) Business transacted through Conduits and Structured Investment Vehicles (SIVs)
Detailed information on proprietary conduits, conduits owned by other entities and SIVs is provided in a chapter of the Report on Operations included in the Consolidated Accounts and Parent Company Accounts as at December 31, 2007.

c) Trading derivatives with customers
The request was to disclose the following information:

I. Description of business in trading derivatives carried on with customers, also indicating the market and counterparty risk taken on.
Description of business in trading derivatives carried on with customers and associated counterparty risks is provided in a chapter of the Report on Operations included in the Consolidated Accounts and Parent Company Accounts as at December 31, 2007.

II. The notional value and breakdown of the amount shown for derivatives in balance-sheet asset Item 20. "Financial assets held for trading", distinguishing between plain vanilla and structured products, and reporting the total number of customers involved in the latter category and the amount attributable to those with the highest exposure.
To make the distinction between customers and banking counterparties, the definition contained in Banca d'Italia Circular No. 262 of December 22, 2005 (which was used for the preparation of the accounts) was used as a reference.
Structured products were defined as derivative contracts that incorporate in the same instrument forms of contracts that generate exposure to several types of risk (with the exception of cross currency swaps) and/or leverage effects.
The balance of item 20 "Financial assets held for trading" of the consolidated accounts with regard to derivative contracts totaled €63,693 million (with a notional value of €2,427,307 million) including €16,597 million with customers. The notional value of derivatives with customers amounted to €427,533 million including €386,243 million in plain vanilla (with a fair value of €15,473 million) and €41,290 million in structured derivatives (with a fair value of €1,124 million). The notional value of derivatives with banking counterparties totaled €1,999,773 million (fair value of €47,096 million) including €192,194 million related to structured derivatives (fair value of €4,085 million).
The balance of item 20 "Financial assets held for trading" of the Parent Company accounts with regard to derivative contracts totaled €6,670 million (with a notional value of €181,688 million) including €251 million with customers. The notional value of derivatives with customers amounted to €5,880 million including €5,824 million in plain vanilla (with a fair value of €237 million) and €56 million in structured derivatives (with a fair value of €14 million). The notional value of derivatives with banking counterparties totaled €175,808 million (fair value of €6,419 million) including €20,069 million relating to structured derivatives (fair value of €1,451 million).

Customers entered into a total of 10,051 structured derivative contracts with the Group that are reported in balance-sheet asset item 20 "Financial assets held for trading". Of these, the largest 20 customers in terms of exposure cover 9% of overall exposure (generating exposure of €103 million for the Group).
Customers of the Parent Company alone entered into a total of 19 structured derivative contracts.

III. Statement of new production and derivative deals closed in 2007 (notional value) distinguishing between plain vanilla and structured products and stating also the amount of any restructurings carried out and their income and cost.
In 2007 the Group entered into new derivative contracts with customers totaling €432,893 million in notional value (€6,323 million in relation to the Parent Company alone) including €26,438 million related to structured derivatives (€1,615 million in relation to the Parent Company alone).
Early termination (Deals terminated prior to the contractual expiration date) involved contracts with a notional value of €40,008 million (including €9,138 million related to structured derivatives) at the Group level. This aspect is not significant for the Parent Company.
During the year, several "contractual revision" transactions were carried out with customers (these involve the cancellation of one contract and its simultaneous replacement with another derivative with characteristics differing from the previous derivative for reasons other than difficulties of the counterparty) with a total notional amount of €5,951 million (including €1,240 million for structured derivatives). The Parent Company had no revised contracts.
Customers incurred net expenses totaling €254 million in relation to early cancellations and/or contractual revisions. The risk management associated with these contracts generated expenses totaling €245 million for the Group.

IV. The notional value and the breakdown of the amount shown for derivatives in balance-sheet liability Item 40. "Financial liabilities held for trading", distinguishing between plain vanilla and structured products, and reporting the amount referred to banking counterparties and that relating to customers.
The balance of item 40 "Financial liabilities held for trading" of the consolidated accounts with regard to derivative contracts totaled €65,768 million (with a notional value of €2,365,138 million) including €17,175 million with customers. The notional value of derivatives with customers amounted to €425,527 million including €402,875 million in plain vanilla (with a fair value of €16,266 million) and €22,652 million in structured derivatives (with a fair value of €909 million). The notional value of derivatives with banking counterparties totaled €1,939,611 million (fair value of €48,593 million) including €182,086 million related to structured derivatives (fair value of €3,897 million).
The balance of item 40 "Financial liabilities held for trading" of the Parent Company accounts with regard to derivative contracts totaled €7,569 million (with a notional amount of €195,822 million) including €1,999 million with customers. The notional value of derivatives with customers amounted to €29,464 million including €25,657 million in plain vanilla (with a fair value of €1,448 million) and €3,807 million in structured derivatives (with a fair value of €551 million), both of which are mainly included in structured bond issues. The notional value of derivatives with banking counterparties totaled €166,358 million (fair value of €5,570 million) including €18,665 million related to structured derivatives (fair value of €727 million).
The criteria and definitions indicated in paragraph II above were used for classification purposes.

V. Description of the fair value calculation method for the above trading derivatives.
Description of the fair value calculation method is provided in a chapter of the Report on Operations included in the Consolidated Accounts and Parent Company Accounts as at December 31, 2007.

VI. Statement of margin calls made by banking counterparties, if any, against the fair value of structured derivatives sold to customers.
Information on margin calls is provided in a chapter of the Report on Operations included in the Consolidated Accounts and Parent Company Accounts as at December 31, 2007.

VII. Statement of any margin calls made on customers to secure the fair value of structured derivatives sold to them.
Information on margin calls is provided in a chapter of the Report on Operations included in the Consolidated Accounts and Parent Company Accounts as at December 31, 2007.

VIII. Statement of fee and commission income and expense on derivatives (Items 40 and 50 of the income statement) relating to financial year 2007, giving the breakdown between fees and commissions on plain vanilla derivatives and those on structured derivatives.
The operational model in use at Group level does not include contract-based fees and commissions on derivatives trading.
All cost/revenue components relating to cash settlements associated to derivatives trading are recognized on a cash basis in item 80 "Gains and losses on financial assets and liabilities held for trading".

IX. Statement of upfront fees received from third counterparties and those paid to customers, with a description of the manner in which they were recognized in the accounts.
The Investment Bank's operational model does not emphasize settlement of components which discount back future cash flows to the stipulation date, being whether higher or lower than market conditions. Additionally, the model does not distinguish between trading with institutional clients and trading with corporate/retail customers. These components become significant only in the matched trading model adopted by the Segment Banks to which the disclosed information refers.
For the purposes of this statement, flows received/paid at the contract stipulation date are considered as upfront fees. Upfront fees are recognized through profit or loss under "Gains and losses on financial assets and liabilities held for trading".
In 2007 the amount received from banking counterparties by entities adopting the matched trading business model was €20 million; amounts received from customers were €21 million, while those paid to them were €13 million.

X. The manner in which impairment losses for customer counterparty risk arising out of derivatives have been calculated and the amount of these losses and any write-backs of a similar nature, accounted for in item 130 of the income statement (net impairment losses/write-backs on loans).
Information on impairment losses/write-backs for counterparty risk arising out of derivatives is provided in a chapter of the Report on Operations included in the Consolidated Accounts and Parent Company Accounts as at December 31, 2007.

XI. The number and amount of exposure classified in 2007 as doubtful loans or non-performing loans relating to customers that bought OTC derivatives.
The exposure arising out of derivatives with customers classified as at December 31, 2007 as non-performing loans amounts to €36 million.
This category is not significant at Parent Company level.

XII. Information on any restructurings, whether initiated or to be initiated, of customer exposure arising out of derivatives, indicating the type of derivatives involved and the effect on the 2007 income statement.
During 2007 no restructurings of derivative contracts due to counterparties' difficulties have been completed or initiated.


Milan, 8 May 2008



Enquiries:

Media Relations:
+39 02 88628236; e-mail: MediaRelations@unicreditgroup.eu

Investor Relations:
+39 02 88628715; e-mail: InvestorRelations@unicreditgroup.eu