Banco BPM SpA

Investor Presentation • Aug 6, 2024

Group H1 2024 Results Presentation

06 August 2024

Disclaimer

This presentation has been prepared by Banco BPM ("Banco BPM"); for the purposes of this notice, "presentation" means this document, any oral presentation, any questions and answers session and any written or oral material discussed following the distribution of this document.

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The information contained in this presentation is for background purposes only and is subject to amendment, revision and updating without notice. Certain statements in this presentation are forward-looking statements about Banco BPM. Forward-looking statements are statements that are not historical facts and are based on information available to Banco BPM as of the date hereof, relying on scenarios, assumptions, expectations and projections regarding future events which are subject to uncertainties because dependent on factors most of which are beyond Banco BPM's control. These statements include financial projections and estimates and their underlying assumptions, statements regarding plans, objectives and expectations with respect to future operations, products and services, and statements regarding future performance. Forward-looking statements are generally identified by the words "expects", "anticipates", "believes", "intends", "estimates" and similar expressions. By their nature, forward-looking statements involve a number of risks, uncertainties and assumptions which could cause actual results or events to differ materially from those expressed or implied by the forward-looking statements. Banco BPM does not undertake any obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by applicable law. You should not place undue reliance on forward-looking statements, which speak only as of the date of this presentation. All subsequent written and oral forward-looking statements attributable to Banco BPM or persons acting on its behalf are expressly qualified in their entirety by this disclaimer.

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By participating to the presentation of the Group results and accepting a copy of this presentation, you agree to be bound by the foregoing limitations regarding the information disclosed in this presentation.

***

This presentation includes both accounting data (based on financial accounts) and internal managerial data (which are also based on estimates).

Mr. Gianpietro Val, as the manager responsible for preparing the Bank's accounts, hereby states pursuant to Article 154-bis, paragraph 2 of the Financial Consolidated Act that the accounting data contained in this presentation correspond to the documentary evidence, corporate books and accounting records.

Methodological Notes

• The balance sheet and income statement layouts contained in this news release have been reclassified along management criteria in order to provide an indication on the Group's overall performance based on more easily understandable aggregate operating and financial data. These layouts have been prepared based on the financial statement layouts indicated in the Bank of Italy's Circular no. 262/2005 and following updates.
• It is reminded that, as part of a wider reorganization on the Bancassurance business model started in 2022 (please refer to FY 2022 and FY 2023 Annual Reports for details), on 14 December 2023 the Group completed:
  • the acquisition of control of Vera Vita previously already held at 35% through the purchase of 65% of the capital from Generali Italia, in execution of the exercise of the call option by the Banco BPM Group on 29 May 2023. Consequently, as of 31/12/23, the balance sheet of Vera Vita is included, line-by-line, in the consolidated financial statements. The economic contribution, for the entire 2023 financial year, is shown in the reclassified income statement item "Income (loss) from investments in associates carried at equity", as the company was owned at 35% until the end of 2023, while, starting from Q1 2024, the economic contribution from Vera Vita is reported line-by-line.
  • the purchase transaction of 65% of the shares of Vera Assicurazioni (which in turn holds 100% of Vera Protezione) from Generali Italia and the simultaneous sale of a 65% stake to Crédit Agricole Assurances (CAA). Consequently, as of 31/12/23, the investment held in Vera Assicurazioni (and indirectly in Vera Protezione) for 35% is included in the reclassified balance sheet line item "Equity investment", in line with the classification at the beginning of the year. The related economic contribution, for the stake held (35%), is shown in the reclassified income statement item "Income (loss) from investments in associates carried at equity", as the investment is qualified as an "associates" for the entire 2023 financial year. Nothing changes for the financial year 2024.
  • the sale of its 65% controlling stake in Banco BPM Assicurazione to CAA. As a result of the following loss of control of the subsidiary, the stake held (35%) in Banco BPM Assicurazione is considered as "associate" and included in the reclassified balance sheet line item "Equity investment". The related economic contribution is represented, line-by-line, in the consolidated income statement for the entire 2023 financial year, as it was considered as subsidiary until the end of the 2023, while, starting from Q1 2024, it is included in the reclassified income statement item "Income (loss) from investments in associates carried at equity".

As a result of the above, for the 2023 financial year, in the reclassified income statement a new item "Impact of bancassurance reorganization" has been created, which includes the overall net effects related to bancassurance transactions, with the aim of simplifying their illustration and guarantee a homogeneous comparison (€ -22,2 million). In the first quarter of 2024, the definition of the prices of purchase and sale transactions led to a revision of the estimate of the effects recognized in 2023, by crediting the Q1 2024 income statement of € 2,4 million.

• With reference to the binding agreement signed for the establishment of a strategic partnership aimed at developing a new Italian and independent reality in the digital payments sector, which provides for the contribution to the joint venture Numia S.p.A. of Banco BPM's payment activities and the equity investment in Tecmarket Servizi S.p.A., it should be noted that:
  • starting from the situation as of June 30, 2023, the related assets and liabilities, subject to contribution, are reclassified in the specific balance sheet items "Non-current assets and groups of assets held for sale" and "Liabilities associated with assets held for sale," in line with IFRS 5;
  • starting form Q1 2024, the profits generated by activities tied to the monetics sector carried out by the subsidiary Tecmarket Servizi S.p.A., as well as profits from the management of digital payment services, provided by the Parent company (after the partial demerger of the abovementioned subsidiary on 1 January 2023), which were previously posted under "Other net operating income", has been reclassified under the line-item "Net fees and commission income" of the reclassified income statement starting from Q1 2024, due to the incoming finalization of the JV in Payments system. 2023 data have been restated accordingly. Looking ahead, this representation will allow for a more homogeneous comparison with the commission income that will be received by the Group for the distribution of services related to payment/monetics business, following the completion of the deal here described.
• The Group capital ratios and data included in this presentation are calculated including the interim profit and deducting the amount of the dividend pay-out determined according to the current regulation.

1	Executive Summary	5

• Key Highlights 11
• Final Remarks 23
• H1 2024 Performance Details 26

1

Executive Summary

H1 2024: ANOTHER SET OF SOLID RESULTS LEADING TO GUIDANCE UPGRADE

ADJUSTED NET INCOME AT €776m	CET1 RATIO AT 15.2%
•	•
+19% Y/Y	Highest level since the merger
•	•
Above the Strategic Plan trajectory	Well ahead of Strategic Plan landing point
INCREASED EPS EXPECTED FOR 2024	2024 INTERIM DIVIDEND UPGRADE2
•	•
~€0.95 (from ~€0.90)1	~€600m (from ~€550m)
IMPROVED	IMPROVED
•	•
GUIDANCE	GUIDANCE
+14% vs. €0.83 EPS 2023	+9% vs. original plan forecast

EFFECTIVE MANAGERIAL ACTIONS SUPPORTING A POSITIVE PROFITABILITY OUTLOOK

• Reduction in interest rate sensitivity³ : -€50m in H1

• New Product Factories set up: progressive deployment → full steam by 2026

Notes: 1. Excluding one-offs. 2. Guidance calculated as 50% of total remuneration expected for FY 2024. 3. Impact of +/- 100bps parallel shift in interest rates, including cost of Certificates component (classified at NFR level); «static» calculation.

Strong progress in H1 2024 performance & fundamentals

Data as at 30/06/2024

Notes: 1. Core Revenues: NII + Net Commissions + Income from Associates and Income from Insurance business. 2. Bancassurance & Payments. 3. MDA at YE 23 at 542bps with 2023 requirement, which included a lower O-SII Buffer requirement (-25bps) and a lower P2R to be met at CET 1 level (-9bps). 4. Managerial data. 5. Of which €2.5bn in H1 and €400m in July.

Well on-track vs. Plan targets (1/3)

Profitability performance gaining momentum

1,048 1,016

1,302 1,456

~1,375

FY 26E Half-Y. Avg.

Well on-track vs. Plan targets (2/3) Accelerated enhancement in Asset Quality

GROSS NPEs ALREADY BELOW STRATEGIC PLAN TARGET FOR 2026

ACCELERATED DERISKING PATH

• €700m NPE disposal plan (with CoR frontloaded in 2023) anticipated: target to be achieved by YE 2024 (vs. 2026 originally expected), o/w:
  • ~€250m already realized in H1 24 (~€150m in Q2)
  • ~€450m now expected in H2 24

HEALTHY MIGRATION RATES CONFIRMED

• Default rate still below 1% vs. 1.3% embedded in the Plan for FY 2024

Well on-track vs. Plan targets (3/3)

Solid Funding Position confirmed, wide buffers from record-high capital ratios

Notes: 1. Previous issuance dates: Jun. 2023 for SNP, Jan. 2022 for T2 and Nov. 2023 for AT1. 2. Total Direct Funding from the Banking Business, including capital protected certificates and other debt securities at FV, see slide 34 for more details. 3. Managerial data. 4. MREL as % of RWA, including Combined Buffer Requirement. Managerial data. See slide 33 for more details. 5. Outlook on Long-Term IDR (for Fitch Ratings) and Trend on LT Issuer rating (for DBRS).

Key Highlights

H1 2024 Stated Net Income at €750m, +20.1% Y/Y

P&L HIGHLIGHTS € m	Q2 23	Q2 24	Chg. Y/Y	H1 23	H1 24	Chg. Y/Y	H1		TREND: TWO-YEAR EVOLUTION
Net interest income	810	858	6.0%	1,553	1,723	10.9%	€ m
Net fees and commissions	485	500	3.1%	978	1,021	4.5%			+37%
Income from associates	24	45		61	75					2,834
Income from insurance	15	10		25	15		«CORE»	2,064	2,616
«Core» Revenues1	1,334	1,413	5.9%	2,616	2,834	8.3%	REVENUES1
Net financial result	-8	-51		-42	-42
o/w Cost of certificates	-64	-76		-112	-151			H1 22	H1 23	H1 24
o/w Other NFR	55	25		70	109
Other net operating income	1	-1		4	2				+90%
Total revenues	1,327	1,361	2.5%	2,577	2,794	8.4%				1,242
Operating costs	-635	-670	5.6%	-1,275	-1,339	5.0%	PROFIT BEFORE	655	1,016
Pre-Provision income	692	691	-0.2%	1,302	1,456	11.8%	TAXES
Loan loss provisions	-121	-112	-8.0%	-259	-194	-25.0%		H1 22	H1 23	H1 24
Other2	-30	1		-28	-20
Profit from continuing operations (pre-tax)	541	580	7.1%	1,016	1,242	22.3%			+114%
Taxes	-170	-180		-317	-396
Net profit from continuing operations	372	400	7.5%	699	846	21.1%				750
Systemic charges	0	1		-58	-67		NET INCOME	351	624
PPA and other	-12	-21		-16	-29
Net income	359	380	5.8%	624	750	20.1%		H1 22	H1 23	H1 24
Net income Adj.3	382	400	4.7%	652	776	19.0%

Notes: 1. Include: NII, Net fees, Income from insurance business and income from associates.

2. Includes: Net adj. on other financial assets, Net provisions for risks & charges, Profit (loss) on the disposal of equity, Profit (loss) on FV measurement of tangible assets and other elements (pre-tax). 3. See slide 29 for details.

NII at €1,723m in H1 2024 Resilient outlook with rate sensitivity reduced to ~€200m

INTEREST RATE SENSITIVITY¹ AT ~€200M down from ~€250m in Q1 24

15 16 20 31/12/23 31/03/24 30/06/24 MAIN ACTIONS SUPPORTING NII TARGET OVER THE PLAN HORIZON GROWING SIZE OF REPLICATING PORTFOLIO² INCREASED SHARE OF INDEXED C/A⁴ Further mitigation of expected rate reductions provided by additional optionbased hedging strategies (>€3bn notional) € bn Enabling cost of funding reduction in the forthcoming lower interest rate scenario LEVERAGING ON IMPROVED CREDIT RATINGS & IG STATUS REDUCING RECOURSE TO TIME DEPOSITS >9 1.1 € bn Spread reduction in new bonds & certificates (>€100m benefit in 2026)⁶ €25bn Plan Target (AT NII + NFR LEVEL) 24% 28% 32% 31/12/23 31/03/24 30/06/24 3

30/06/24 Original YE 26 SP Target

Notes: 1. «Static» calculation, including sensitivity on cost of Certificates, classified at NFR level to +/- 100bps prallel shift to interest rates. 2. Notional amount of IRS at hedge accounting referred to Deposits and C/A. 3. Including forward starting (€2bn). Avg. Yield 2.0%, duration 2.4 years. 4. Share on total C/A. 5. Managerial data of the commercial netowrk. 6. Potential positive impact (at NII + NFR level) on the funding spreads not factored in the Strategic Plan 2023-2026.

Total Customer Financial Assets +€7.7bn in H1 and New Lending +10.7% Q/Q

TOTAL CUSTOMER FINANCIAL ASSETS

• High-value deposit base, with >80% Retail & SME deposits¹
• Guaranteed deposits >€55bn²

INDIRECT CUSTOMER FUNDING, +4.7% IN H1

• +€2.9bn AUC (+€6bn in the Strategic Plan horizon³ )
• +€2.1bn AUM (+€8bn in the Strategic Plan horizon³ )

CORE CUSTOMER DEPOSITS

• +€2.3bn C/A and Deposits in H1 (+€1bn in the Strategic Plan horizon³ )
• Exit from most expensive institutional customer deposits (above Euribor) completed in July → enabled by positive flows in H1

CORE PERFORMING CUSTOMER LOANS

Q1 24 Q2 24

Notes: 1. Households, SME retail and SME corporate, managerial data. 2. Deposits <100K covered by FITD. 3. Delta between 2026E SP target and YE 2023A. 4. Businesses with turnover up to €5m. 5. Managerial data: M/L-term Mortgages (Secured and Unsec.), Pool & Structured Finance (including revolving) and ST Unsec. loans.

Total Net Fees & Commissions up at €1,021m: +4.5% Y/Y

synthetic securitizations (-€15m Y/Y)

INVESTMENT PRODUCT FEES

Notes: 1. 2023 data have been reclassified, see Methodological Notes for details. 2. Managerial data, including Funds & Sicav, Bancassurance, Managed Accounts & Funds of Funds, Certificates and other Debt Securities at FV.

Cost/Income ratio down at 48%, notwithstanding the impact of the new labour contract

Improving CoR while strengthening coverage ratios

Optimization and diversification of Debt Securities portfolio

• Increase in the size of the portfolio in Q2 aimed at taking advantage of the rate scenario, anticipating H2 maturities

• IT govies on total govies at 39.8%, well below Strategic Plan Target for the 2024-26 period (<50%)
• Share of IT govies on FVOCI govies ptf. at 20.8%

Reserves of debt securities at FVOCI and Net Financial Result

Notes: 1. Refer to securities portfolio of the banking business. 2. Portfolio sensitivity for a 1 bp rate variation, including hedging strategies. Managerial data. 3. Cost of Certificates, classified under NFR, in accordance with Bank of Italy accounting schemes, impacted by trend in interest rates.

Strong liquidity & funding position

Notes: 1. Including assets received as collateral and net of accrued interests. Managerial data, net of haircuts 2. Weighted amount. 3. Managerial data. 4. Total Direct Funding from the Banking Business, including capital protected certificates and other debt securities at FV, see slide 34 for more details. 5. Including €400m AT1 issued in July. 6. MREL as % of RWA, including Combined Buffer Requirement. Managerial data. See slide 33 for more details.

ESG strategy: well in progress

Notes: 1. Emissions financed by Banco BPM include Scope 1 and 2 for all the sectors and, for Automotive and Oil & Gas sectors, also Scope 3 (as per NZBA requirement). Starting point as at 31/12/2022. Quantification based on Physical Weighted Average Carbon Intensity metrics. 2. New lending to households, corporate and enterprises with maturity > 18 months. Including green lending products (finalized loans) and ordinary loans granted to specific sectors that are classified "green" or with a low exposure to climate-related risk drivers.

Strong internal capital generation: outstanding CET 1 ratio at 15.17% Further significant enhancement of ratios and buffers

Notes: 1. MDA buffer calculated with 2024 requirement and equivalent to the buffer vs. CET 1 Minimum Requirement. 2. MDA at 542bps with 2023 requirement, which included a lower O-SII Buffer requirement (-25bps) and a lower P2R to be met at CET 1 level (-9bps). 2. Key Highlights

Final Remarks

2024 Net Income Guidance raised, well on track for 2026 targets…

Notes: 1. Excluding one-offs. 2. Calculated as Net Profit from P&L (excluding one-offs) / Tangible Shareholders' Equity as at 30 June 2024 (excluding H1 Net Profit, AT1 instruments and Intangible assets net of fiscal effect).

... with a promising outlook for shareholder remuneration

TOTAL SHAREHOLDER REMUNERATION 2023-26:

POTENTIAL TO EXCEED OUR €4BN STRATEGIC PLAN TARGET

Note: 1. Calculated over the share price as at 05 August 2024.

4

H1 2024 Performance Details

P&L: Quarterly comparison

Reclassified income statement (€m)	Q1 23	Q2 23	Q3 23	Q4 23	Q1 24	Q2 24	Chg. Q/Q	Chg. Q/Q %
Net interest income	743.0	809.9	868.7	867.7	864.4	858.4	-6.0	-0.7%
Income (loss) from invest. in associates carried at equity	36.3	24.3	34.1	49.4	30.3	44.6	14.2	46.9%
Net interest, dividend and similar income	779.3	834.2	902.8	917.0	894.7	903.0	8.2	0.9%
Net fee and commission income	493.1	484.7	474.9	466.8	521.6	499.8	-21.8	-4.2%
Other net operating income	2.4	1.4	4.2	13.7	3.8	-1.3	-5.2	-135.1%
Net financial result	-34.1	-8.4	-22.8	-13.8	8.8	-50.8	-59.6	-677.1%
Income from insurance business	9.6	15.0	8.2	13.1	4.8	10.0	5.2	107.1%
Other operating income	471.0	492.7	464.5	479.9	539.1	457.6	-81.5	-15.1%
Total income	1,250.3	1,326.9	1,367.3	1,396.9	1,433.8	1,360.6	-73.3	-5.1%
Personnel expenses	-405.4	-402.9	-402.2	-461.5	-431.6	-428.9	2.7	-0.6%
Other administrative expenses	-170.2	-166.6	-165.1	-150.5	-172.9	-176.1	-3.2	1.8%
Amortization and depreciation	-64.5	-65.2	-68.1	-49.1	-64.1	-64.9	-0.8	1.2%
Operating costs	-640.1	-634.7	-635.3	-661.1	-668.7	-669.9	-1.2	0.2%
Profit (loss) from operations	610.3	692.2	732.1	735.7	765.1	690.6	-74.5	-9.7%
Net adjustments on loans to customers	-137.5	-121.3	-124.8	-175.0	-82.5	-111.6	-29.1	35.3%
Profit (loss) on FV measurement of tangible assets	-1.9	-30.5	-11.8	-102.7	-13.4	-12.6	0.8	-5.8%
Net adjustments on other financial assets	0.7	0.5	-1.0	-2.1	-3.0	-0.3	2.7	-90.3%
Net provisions for risks and charges	2.4	0.9	-17.2	-8.3	-5.0	13.2	18.2	-365.6%
Profit (loss) on the disposal of equity and other invest.	0.2	-0.4	0.3	0.3	0.4	0.6	0.3	70.6%
Income (loss) before tax from continuing operations	474.2	541.4	577.6	447.8	661.7	580.0	-81.7	-12.3%
Tax on income from continuing operations	-147.4	-169.7	-183.0	-104.7	-215.4	-180.4	35.0	-16.3%
Income (loss) after tax from continuing operations	326.8	371.8	394.6	343.1	446.3	399.6	-46.7	-10.5%
Systemic charges after tax	-57.3	-0.4	-69.6	0.7	-68.1	1.5	69.6	-102.2%
Impact of bancassurance reorganization	0.0	0.0	0.0	-22.2	2.5	0.0	-2.5	n.m.
Realignment of fiscal values to accounting values	0.0	0.0	0.0	8.8	0.0	0.0	0.0	n.m.
Restructuring costs	0.0	0.0	0.0	0.0	0.0	-11.7	-11.7	n.m.
Income (loss) attributable to minority interests	0.0	0.4	0.1	-0.4	0.0	0.0	0.0	n.m.
Purchase Price Allocation after tax	-7.4	-6.8	-7.3	-6.8	-8.7	-10.0	-1.3	14.8%
Fair value on own liabilities after Taxes	3.3	-5.8	1.2	-2.1	-1.8	0.5	2.3	-126.8%
Net income (loss) for the period	265.3	359.1	319.0	321.1	370.2	379.9	9.7	2.6%

P&L: H1 comparison

Reclassified income statement (€m)	H1 23	H1 24	Chg. Y/Y	Chg. Y/Y %
Net interest income	1,552.9	1,722.8	169.9	10.9%
Income (loss) from invest. in associates carried at equity	60.6	74.9	14.3	23.6%
Net interest, dividend and similar income	1,613.5	1,797.7	184.2	11.4%
Net fee and commission income	977.8	1,021.4	43.6	4.5%
Other net operating income	3.8	2.5	-1.3	-34.2%
Net financial result	-42.5	-42.0	0.5	-1.1%
Income from insurance business	24.6	14.8	-9.8	-39.8%
Other operating income	963.7	996.7	33.0	3.4%
Total income	2,577.2	2,794.4	217.2	8.4%
Personnel expenses	-808.3	-860.6	-52.3	6.5%
Other administrative expenses	-336.8	-349.0	-12.1	3.6%
Amortization and depreciation	-129.7	-129.1	0.6	-0.4%
Operating costs	-1,274.7	-1,338.6	-63.9	5.0%
Profit (loss) from operations	1,302.5	1,455.8	153.3	11.8%
Net adjustments on loans to customers	-258.7	-194.1	64.7	-25.0%
Profit (loss) on FV measurement of tangible assets	-32.4	-26.0	6.4	-19.7%
Net adjustments on other financial assets	1.2	-3.2	-4.4	-377.8%
Net provisions for risks and charges	3.3	8.2	4.9	148.4%
Profit (loss) on the disposal of equity and other invest.	-0.2	1.0	1.3	-537.2%
Income (loss) before tax from continuing operations	1,015.6	1,241.8	226.1	22.3%
Tax on income from continuing operations	-317.1	-395.9	-78.7	24.8%
Income (loss) after tax from continuing operations	698.5	845.9	147.4	21.1%
Systemic charges after tax	-57.6	-66.6	-9.0	15.6%
Impact of bancassurance reorganization	0.0	2.5	2.5	n.m.
Realignment of fiscal values to accounting values	0.0	0.0	0.0	n.m.
Restructuring costs	0.0	-11.7	-11.7	n.m.
Income (loss) attributable to minority interests	0.3	0.0	-0.3	-98.2%
Purchase Price Allocation after tax	-14.2	-18.6	-4.4	30.9%
Fair value on own liabilities after Taxes	-2.6	-1.3	1.3	-49.4%
Net income (loss) for the period	624.4	750.1	125.7	20.1%

P&L: H1 2024 comparison of stated and adjusted with one-off details

Reclassified income statement (€m)	H1 24	H1 24 Adjusted	One-off	Non-recurring items
Net interest income	1,722.8	1,722.8	0.0
Income (loss) from invest. in associates carried at equity	74.9	74.9	0.0
Net interest, dividend and similar income	1,797.7	1,797.7	0.0
Net fee and commission income	1,021.4	1,021.4	0.0
Other net operating income	2.5	2.5	0.0
Net financial result	-42.0	-42.0	0.0
Income from insurance business	14.8	14.8	0.0
Other operating income	996.7	996.7	0.0
Total income	2,794.4	2,794.4	0.0
Personnel expenses	-860.6	-860.6	0.0
Other administrative expenses	-349.0	-349.0	0.0
Amortization and depreciation	-129.1	-129.1	0.0
Operating costs	-1,338.6	-1,338.6	0.0
Profit (loss) from operations	1,455.8	1,455.8	0.0
Net adjustments on loans to customers	-194.1	-194.1	0.0
Profit (loss) on FV measurement of tangible assets	-26.0	0.0	-26.0	Adjustments on tangible assets
Net adjustments on other financial assets	-3.2	-3.2	0.0
Net provisions for risks and charges	8.2	8.2	0.0
Profit (loss) on the disposal of equity and other invest.	1.0	0.0	1.0
Income (loss) before tax from continuing operations	1,241.8	1,266.7	-25.0
Tax on income from continuing operations	-395.9	-404.1	8.2
Income (loss) after tax from continuing operations	845.9	862.7	-16.8
Systemic charges after tax	-66.6	-66.6	0.0
Impact of bancassurance reorganization	2.5	0.0	2.5
Realignment of fiscal values to accounting values	0.0	0.0	0.0
Restructuring costs	-11.7	0.0	-11.7	Costs related to the incentivised pension scheme
Income (loss) attributable to minority interests	0.0	0.0	0.0
Purchase Price Allocation after tax	-18.6	-18.6	0.0
Fair value on own liabilities after Taxes	-1.3	-1.3	0.0
Net income (loss) for the period	750.1	776.1	-26.0

Balance Sheet

Reclassified assets (€ m)					Chg. Y/Y		Chg. YTD		Chg. Q/Q
	30/06/23	31/12/23	31/03/24	30/06/24	Value	%	Value	%	Value	%
Cash and cash equivalents	21,845	18,297	9,877	10,994	-10,851	-49.7%	-7,303	-39.9%	1,117	11.3%
Loans and advances measured at AC	112,014	109,568	108,140	105,594	-6,420	-5.7%	-3,975	-3.6%	-2,547	-2.4%
- Loans and advances to banks	3,856	4,142	3,228	3,621	-235	-6.1%	-521	-12.6%	393	12.2%
1 - Loans and advances to customers ( )	108,158	105,427	104,913	101,973	-6,185	-5.7%	-3,454	-3.3%	-2,940	-2.8%
Other financial assets	44,112	43,706	47,850	50,159	6,046	13.7%	6,452	14.8%	2,308	4.8%
- Assets measured at FV through PL	8,084	7,392	7,667	8,698	614	7.6%	1,306	17.7%	1,030	13.4%
- Assets measured at FV through OCI	10,135	10,693	10,883	12,111	1,976	19.5%	1,419	13.3%	1,229	11.3%
- Assets measured at AC	25,894	25,622	29,300	29,349	3,456	13.3%	3,728	14.5%	49	0.2%
Financial assets pertaining to insurance companies	6,002	15,345	15,645	15,695	9,694	161.5%	350	2.3%	51	0.3%
Equity investments	1,628	1,454	1,419	1,429	-199	-12.2%	-25	-1.7%	10	0.7%
Property and equipment	2,825	2,858	2,829	2,775	-50	-1.8%	-83	-2.9%	-54	-1.9%
Intangible assets	1,242	1,257	1,261	1,248	6	0.5%	- 9	-0.7%	-13	-1.0%
Tax assets	4,324	4,201	4,062	3,926	-398	-9.2%	-275	-6.5%	-136	-3.3%
Non-current assets held for sale and discont. operations	486	469	449	445	-41	-8.4%	-23	-5.0%	- 3	-0.7%
Other assets	4,012	4,975	5,150	5,516	1,504	37.5%	540	10.9%	366	7.1%
Total	198,490	202,132	196,683	197,782	-708	-0.4%	-4,350	-2.2%	1,099	0.6%
Reclassified liabilities (€ m)					Chg. Y/Y		Chg. YTD		Chg. Q/Q
	30/06/23	31/12/23	31/03/24	30/06/24	Value	%	Value	%	Value	%
Banking Direct Funding	121,155	120,770	123,379	124,149	2,994	2.5%	3,379	2.8%	771	0.6%
- Due from customers	104,801	101,862	102,563	103,683	-1,119	-1.1%	1,821	1.8%	1,120	1.1%
- Debt securities and other financial liabilities	16,353	18,908	20,816	20,466	4,113	25.2%	1,558	8.2%	-349	-1.7%
Insurance Direct Funding & Insurance liabilities	5,819	15,040	15,417	15,388	9,570	164.5%	349	2.3%	-29	-0.2%
- Financial liabilities measured at FV pertaining to insurance companies	1,476	2,800	2,941	3,076	1,600	108.4%	276	9.9%	135	4.6%
- Liabilities pertaining to insurance companies	4,343	12,240	12,476	12,312	7,969	183.5%	73	0.6%	-164	-1.3%
Due to banks	22,870	21,691	11,134	12,396	-10,474	-45.8%	-9,295	-42.9%	1,261	11.3%
Debts for Leasing	497	671	662	646	149	29.9%	-25	-3.7%	-16	-2.4%
Other financial liabilities designated at FV	26,795	25,698	27,046	26,746	-48	-0.2%	1,049	4.1%	-300	-1.1%
Other financial liabilities pertaining to insurance companies	2	73	76	71	69	n.m.	- 2	-2.1%	- 5	-6.1%
Liability provisions	866	895	884	778	-88	-10.1%	-116	-13.0%	-105	-11.9%
Tax liabilities	319	454	545	481	162	50.7%	27	6.0%	-64	-11.7%
Liabilities associated with assets held for sale	245	212	209	215	-30	-12.2%	3	1.6%	7	3.2%
Other liabilities	6,534	2,592	2,966	3,177	-3,357	-51.4%	586	22.6%	212	7.1%
Minority interests	0	0	0	0	0	-80.7%	0	8.8%	0	12.1%
Shareholders' equity	13,388	14,038	14,365	13,733	345	2.6%	-305	-2.2%	-632	-4.4%
Total	198,490	202,132	196,683	197,782	-708	-0.4%	-4,350	-2.2%	1,099	0.6%

Note: 1. The item "Customer Loans" includes the Senior notes of GACS transactions

Indirect customer funding up at €111.2bn: +12% Y/Y; +5% YTD and +1% Q/Q

¹ Assets under Custody (AuC) 2

Funds & Sicav

Bancassurance

Managed Accounts and Funds of Funds

Managerial data of the commercial network

Notes: 1. AuM from Bancassurance as at 30/06/2024 contains €15.5 bn pertaining to Banco BPM Vita, Vera Vita and BBPM Life included also in the balance sheet item "Insurance Direct Funding and Insurance liabilities", as fully consolidated (€15.4bn as at 31/03/2024; €15.3bn as at 31/12/23 and €5.7bn as at 30/06/23, this latter considering only Banco BPM Vita, as Vera Vita and BBPM Life have been consolidated starting from 31/12/2023. 2. AuC data are net of capital-protected certificates, as they have been regrouped under Direct Funding (see slide 34 for more details).

Wholesale bond maturities¹ and calls

Seniority profile of wholesale bond maturities¹ & calls² until YE 2026

€ bn

Managerial data based on nominal amounts.

Notes: 1. Excluding Repos with CCT and retained CB and ABS as underlying (€0.57bn maturities in 2025; €4.15bn maturities in 2026). 2. Redemption profile based on the first call date for callable subordinated bonds. For some instruments, the exercise of the call is subject to prior approval by the competent authority. The information provided in this chart should not be considered as a confirmation of their actual exercise.

Strong and well diversified liability profile, driven by successful issuance activity

Managerial data of the banking business.

Note: 1. Include also Repos with underlying retained Covered Bonds & ABS. 2. Managerial data. 3. Excluding issues of retained CB and ABS underlying REPOs (€2.6bn in 2022 and €3.8bn in 2023). 4. Issued under the Green, Social and Sustainability Bonds Framework. 5. Private placement.

Total Direct Funding from the Banking business

Evolution of Total Direct Funding¹

€ bn

Bonds

101.3 98.8 99.7 101.1 30/06/2023 31/12/2023 31/03/2024 30/06/2024 Capital-protected Certificates & other Debt Securities at FV REPOs & Other C/A, Sight & Time deposits (80.3%) (% Share on total) 126.0 129.1 126.1 (78.4%) (77.2%) 129.8 (77.9%) - (Core Funding)

	30/06/23	31/12/23	31/03/24	30/06/24	% chg. Y/Y	% chg. YTD	% chg. Q/Q
C/A & Sight deposits	100.9	98.6	99.0	100.1	-0.8%	1.5%	1.1%
Time deposits	0.4	0.2	0.7	1.1	147.3%	335.5%	47.0%
Bonds	16.3	18.9	20.8	20.4	25.2%	8.3%	-1.7%
REPOs & Other	3.5	3.0	2.9	2.6	-26.5%	-16.0%	-11.3%
Capital-protected Certificates & other Debt Securities at FV	5.0	5.3	5.7	5.7	13.6%	7.4%	-0.3%
Direct Funding	126.1	126.0	129.1	129.8	2.9%	3.0%	0.6%

Note: 1. Total Direct Funding from the banking business restated according to a managerial logic, including Capital-protected Certificates and other Debt Securities at FV. Starting from Q1 2024, the short-term Repos have also been considered within the managerial view of Total Direct Funding from the banking business; historic data have been restated accordingly.

Net Customer Loans at Amortized Cost¹

Net Customer Loans

Performing Loans NPE

						Change
Net Performing Customer Loans	30/06/23	31/12/23	31/03/24	30/06/24	In % Y/Y	In % YTD	In % Q/Q
Core customer loans	100.9	96.9	96.5	95.3	-5.5%	-1.6%	-1.2%
- Medium/Long-Term loans	79.3	77.1	76.9	76.2	-3.9%	-1.1%	-0.9%
- Current Accounts	8.6	7.5	7.2	7.0	-18.8%	-6.1%	-3.1%
- Cards & Personal Loans	0.8	0.7	0.6	0.5	-31.8%	-18.3%	-7.2%
- Other loans	12.2	11.7	11.8	11.6	-4.7%	-1.3%	-1.9%
GACS Senior Notes	1.6	1.4	1.3	1.2	-25.9%	-16.0%	-7.3%
Repos	3.1	4.8	5.0	3.4	9.9%	-28.7%	-30.9%
Leasing	0.5	0.4	0.4	0.3	-25.6%	-13.3%	-5.4%
Total Net Performing Loans	106.1	103.6	103.1	100.3	-5.4%	-3.1%	-2.7%

Note: 1. Loans and advances to customers at Amortized Cost, including also the GACS senior notes.

Analysis of Commercial Real Estate exposure

Highly secured, concentrated in low-mid risk rating classes and in the North of Italy

GBV, in € bn		Performing Exposure	In % on total Perf. loans
Construction of buildings1		3.0	3%
RE Activities		4.5	4%
TOTAL	-€0.5bn 30/06/23	7.5 vs	7%

SAFE RISK PROFILE:

• 90% Secured (€6.7bn)
• 75% in Low-Mid Risk rating classes
• 73% of the collateralized portfolio² is located in the North (50% in Lombardy, o/w 35% Milan)

Secured exposure: composition by guarantees & collateral

Managerial data of CRE sectors included in Non-Financial Corporates portfolio as at 30/06/24.

Notes: 1. Excluding €2.2bn of Civil engineering and specialised constructions, as they do not refer to "commercial" buildings. 2. Operating Assets + Assets Under Development, Structured Finance and Land.

Asset Quality details

Loans to Customers at AC¹

Gross exposures	30/06/2023	31/12/2023	31/03/2024	30/06/2024	Chg. Y/Y		Chg. YTD		Chg. Q/Q
€ m and %					Value	%	Value	%	Value	%
Bad Loans	1,868	1,601	1,547	1,545	-324	-17.3%	-57	-3.5%	-2	-0.1%
UTP	2,280	2,056	1,931	1,697	-583	-25.6%	-358	-17.4%	-233	-12.1%
Past Due	77	93	90	146	69	88.8%	52	56.1%	55	61.3%
NPE	4,225	3,751	3,568	3,388	-837	-19.8%	-363	-9.7%	-180	-5.0%
Performing Loans	106,484	103,991	103,570	100,758	-5,726	-5.4%	-3,234	-3.1%	-2,813	-2.7%
TOTAL CUSTOMER LOANS	110,709	107,742	107,138	104,146	-6,563	-5.9%	-3,596	-3.3%	-2,992	-2.8%

Net exposures	30/06/2023	31/12/2023	31/03/2024	30/06/2024	Chg. Y/Y		Chg. YTD		Chg. Q/Q
€ m and %					Value	%	Value	%	Value	%
Bad Loans	711	626	607	601	-110	-15.5%	-25	-4.0%	-6	-1.0%
UTP	1,321	1,168	1,094	950	-370	-28.0%	-218	-18.7%	-143	-13.1%
Past Due	56	67	67	103	47	84.0%	36	53.3%	36	54.1%
NPE	2,088	1,862	1,768	1,654	-433	-20.8%	-207	-11.1%	-113	-6.4%
Performing Loans	106,070	103,565	103,145	100,318	-5,752	-5.4%	-3,247	-3.1%	-2,827	-2.7%
TOTAL CUSTOMER LOANS	108,158	105,427	104,913	101,973	-6,185	-5.7%	-3,454	-3.3%	-2,940	-2.8%

Coverage ratios %	30/06/2023	31/12/2023	31/03/2024	30/06/2024
Bad Loans	61.9%	60.9%	60.7%	61.1%
UTP	42.1%	43.2%	43.4%	44.0%
Past Due	27.6%	28.2%	26.1%	29.4%
NPE	50.6%	50.4%	50.5%	51.2%
Performing Loans	0.39%	0.41%	0.41%	0.44%
TOTAL CUSTOMER LOANS	2.3%	2.1%	2.1%	2.1%

Overlays at ~€130m as at 30/06/24: progressive enlargement in the perimeter of risks directly captured by statistical models, with no write-backs in the CoR

Note: 1. Loans and advances to customers at Amortized Cost, including also the GACS senior notes.

NPE migration dynamics

Loans to Customers at AC

Focus on Govies portfolio of the Banking Business

ESG integration update: Key results in H1 2024

Notes: 1. Oil & Gas, Power generation, Cement, Automotive and Coal. 2. Including offsetting through carbon credits. 3. Share on total managerial positions.

Successfully continuing our digitalization path

DIGITAL BANKING KPIs

H1 2024 INITIATIVES IN DIGITAL

• New products and services available for digital sales (e.g. time deposits and personal loans on mobile)
• New features for Web Banking and APP mobile (YouAPP, Webank APP, YouBusiness APP)
• Increase in Digital Identity (> #1.5m individual customers) and APP Mobile for SMEs (>40% of Small Business customers) adoption
• Further improvement in Digital Branch commercial contacts (58% of total interactions), with growing focus on business clients (38% of Digital Branch commercial effort)

Notes: 1. Omnichannel Sales: significantly digital channels-contributed branch sales (e.g., on-line price quotation and product selection/request) and Remote Sales (Self or Remotely-assisted full digital Sales); Fully Remote sales = Self, Webank, Remote and Digital Branch; 2. Essentially referring to debit cards sales

Capital position in detail

EMARKET SDIR
CERTIFIED

FULLY LOADED CAPITAL POSITION (€ m and %)	30/06/2023	31/12/2023	31/03/2024	30/06/2024
CET 1 Capital T1 Capital Total Capital	8,386 9,776 11,484	9,036 10,425 12,125	9,238 10,627 12,825	9,439 10,829 13,020
RWA	58,859	63,823	62,660	62,227
CET 1 Ratio	14.25%	14.16%	14.74%	15.17%
AT1	2.36%	2.18%	2.22%	2.23%
T1 Ratio	16.61%	16.34%	16.96%	17.40%
Tier 2	2.90%	2.66%	3.51%	3.52%
Total Capital Ratio	19.51%	19.00%	20.47%	20.92%

FULLY LOADED RWA COMPOSITION (€ bn)	30/06/2023	31/12/2023	31/03/2024	30/06/2024
CREDIT & COUNTERPARTY RISK	49.9	54.2	53.4	53.0
of which: AIRB	22.1	20.8	25.9	29.0
MARKET RISK	1.4	1.5	1.2	1.2
OPERATIONAL RISK	7.4	7.9	7.9	7.9
CVA	0.2	0.2	0.2	0.2
TOTAL	58.9	63.8	62.7	62.2

LEVERAGE (€/m and %)	30/06/2023	31/12/2023	31/03/2024	30/06/2024
Total Exposure	201,645	199,614	197,952	199,834
Class 1 Capital	9,776	10,425	10,627	10,829
Leverage Ratio	4.85%	5.22%	5.37%	5.42%

Capital data include also the profit of the period, net of the amount of accrued dividends, based on a payout of 67% in H1 2024. For the year 2023, the payout was 50% in the first three quarters and 67% in Q4 2023, here including also an alignment of the previous three quarters to the new payout ratio considered for the year.

Contacts for Investors and Financial Analysts

Banco BPM

Registered Offices: Piazza Meda 4, I-20121 Milano, Italy Corporate Offices: Piazza Nogara 2, I-37121 Verona, Italy

investor.relations@bancobpm.it www.gruppo.bancobpm.it (IR section)