Banco BPM SpA

Investor Presentation • May 7, 2024

Group Q1 2024 Results Presentation

07 May 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 forwardlooking 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 management 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
2	Key Highlights	11
3	Final Remarks	22
4	Q1 2024 Performance Details	25

1

Executive Summary

A POWERFUL START INTO THE YEAR: HIGH PROFITABILITY AND STRONG CAPITAL GENERATION

Notes: 1. Q1 2024, annualized. 2. Total direct funding from the banking business (see slide 28 for more details). 3. Excluding net positive impact from one-offs to be registered post Q1 2024.

Q1 2024: Strong performance in key P&L items

CONFIRMING A SOLID GROWTH IN OUR PROFITABILITY TRAJECTORY

Notes: 1. Core Revenues: NII + Net Commissions + Income from Associates and Income from Insurance business. Part of the contribution from payment activities, which was previously classified under "Other net operating income", has been included in "Net fees and commission income" starting from Q1 2024, due to the upcoming finalization of the JV in Payments system. 2023 data have been restated accordingly. See Methodological Notes for details.

Key Product Factories: further opportunities over the plan horizon

EVOLUTION PATH OF OUR NEW STRATEGIC GROWTH ENGINES

PROGRESSIVE INCREASE IN CONTRIBUTION OVER THE PLAN HORIZON

Notes: 1. BBPM Vita acquired in July 2022 and Vera Vita in December 2023. 2. Closing of the sale of 65% of BBPM Assicurazioni & Vera Assicurazioni to CA Assurances. 3. PayCo (BCC Pay S.p.A.), on 1 May, changed its name to Numia S.p.A.. 4. Term Sheet signed in July 2023, with long-form contracts signed In December 2023.

Asset Quality trajectory well on track

DECREASING COST OF RISK BACKED BY SAFE ASSET QUALITY

A PROMISING START: ALREADY CLOSE TO OUR STRATEGIC PLAN TARGETS

• GROSS NPEs DOWN BY €1.1BN Y/Y AND BY €0.2BN IN Q1 2024
• DEFAULT RATE STILL BELOW 1% (AT 0.83%)
• FURTHER SUPPORT FOR STRATEGIC PLAN ASSET QUALITY GOALS:
  • €700m NPE disposal target by 2026 (with Cost or Risk already frontloaded in 2023), o/w a total of ~€600m to be finalised by YE 2024 (~€100m already executed in Q1 2024 and with €150m expected in Q2 2024)

Strong capital base and well-balanced liquidity & funding position

Notes: 1. Direct Funding from the Banking Business, including capital protected certificates and other debt securities at FV, see slide 28 for more details. 2. Loan to Deposit ratio calculated as Net customer loans at Amortised Costs/Total direct funding from the Banking Business. 3. Managerial Data. 4. MREL as % of RWA, including Combined Buffer Requirement. Managerial data. 5. Outlook on: Issuer Credit Rating (for S&P); LT Issuer (for Moody's); Long-Term IDR (for Fitch Ratings). Trend on LT Issuer rating (for DBRS).

2

Key Highlights

P&L at a glance

P&L HIGHLIGHTS € m € m	Q1 23	Q4 23	Q1 24	Chg. Q/Q	Chg. Y/Y	Q1 TREND: TWO-YEAR EVOLUTION
Net interest income	743	868	864	-0.4%	16.3%	€ m
Net fees and commissions *	493	467	522	11.7%	5.8%			+36%
Income from associates	36	49	30		+0.7% Q/Q	«CORE»	1,048	1,282	1,421
Income from insurance	10	13	5		excl. day effect	REVENUES *
«Core» Revenues1	1,282	1,397	1,421	1.7%	10.9%
Net financial result	-34	-14	9				Q1 22	Q1 23	Q1 24
o/w Cost of certificates	-49	-75	-75
o/w Other NFR	14	61	84					+38%
Other net operating income *	2	14	4			PRE	554	610	765
Total revenues	1,250	1,397	1,434	2.6%	14.7%	PROVISION
Operating costs	-640	-661	-669	1.1%	4.5%	INCOME
Pre-Provision income	610	736	765	4.0%	25.4%		Q1 22	Q1 23	Q1 24
Loan loss provisions	-137	-175	-82	-52.9%	-40.0%
Other2	1	-113	-21				C/I 53%	51%	47%
Profit from continuing operations (pre-tax)	474	448	662	47.8%	39.5%
Taxes	-147	-105	-215					+117%
Net profit from continuing operations	327	343	446	30.1%	36.6%		171	265	370
Systemic charges	-57	1	-68			NET INCOME
PPA and other3	-4	-23	-8
Net income	265	321	370	15.3%	39.5%		Q1 22	Q1 23	Q1 24

* N.B. Part of the contribution from payment activities, which was previously classified under "Other net operating income", has been included in "Net fees and commission income" starting from Q1 2024, due to the upcoming finalization of the JV in Payments system. 2023 data have been restated accordingly. See Methodological Notes for details.

Notes: 1. Includes: 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. PPA and Other include other elements (after tax).

See slides 26 for more details.

NII at €864m in Q1 2024

:

Note: 1. «Static» calculation, including sensitivity on cost of Certificates, classified at NFR level to +/- 100bps prallel shift to interest rates. 2. Referred to Deposits and C/A. 3. Potential positive impact (at NII + NFR level) on the funding spreads not factored in the Strategic Plan 2023-2026.

Solid franchise value

Strong growth in Total Customer Financial Assets and resilient Loan volumes

TOTAL CUSTOMER FINANCIAL ASSETS¹ : +€5.4BN IN Q1

STRONG PERFORMANCE IN INDIRECT FUNDING:

• +€2.5bn AUC stock in Q1 (+€6bn in the Strategic Plan horizon² )
• +€1.6bn AUM stock in Q1 (+€8bn in the Strategic Plan horizon² )

HIGH-VALUE DEPOSIT BASE:

• Deposits +€0.86bn in Q1 (+€1bn in the Strategic Plan horizon² )
• Retail & SME deposits³ >80%

STEADY CORE PERFORMING CUSTOMER LOANS

Q1 2024 NEW LENDING⁵ AT €4.9BN

Notes: 1. "Core" Direct + Indirect customer funding + Cap. Protected Certificates and other Debt Securities at FV; managerial data. 2. Delta between 2026E SP target and YE 2023A. 3. Households, SME retail and SME corporate, managerial data. 4. Businesses with turnover up to €5m. 5. Management data: M/L-term Mortgages (Secured and Unsec.), Pool & Structured Finance (including revolving) and ST Unsec. loans.

Total Net Fees & Commissions up at €522m: +11.7% Q/Q and +5.8% Y/Y

Notes: 1. Part of the contribution from payment activities, which was previously classified under "Other net operating income", has been included in "Net fees and commission income" starting from Q1 2024, due to the upcoming finalisation of the Payments JV. 2023 data have been restated accordingly. See Methodological Notes for details. 2. Management data of the commercial network, including Funds & Sicav, Bancassurance, Managed Accounts & Funds of Funds, Certificates and other Debt Securities at FV.

Cost/Income ratio down at 47%

€ m

From 65% in 2017

Headcount: 19,775 employees as at 31/03/2024, +14 vs. YE 2023 -382 vs. YE 2022. Retail network: 1,358 branches as at 31/03/2024, stable in Q1 and -69 vs. YE 2022.

Note: 1. Calculated by splitting equally the 2023 impact of €50m by the four quarters of the year

Cost of Risk: an excellent quarter

Optimization and diversification of Debt Securities portfolio

OVERALL TREND AND ACCOUNTING BREAKDOWN

Govies Corporate 32.7 COMPOSITION BY COUNTERPARTY 31/03/24 € bn 30.8 5.4 31/03/23 30.4 6.1 31/12/23 37.7% 36.1% 37.9% 62.3% 63.9% 62.1% Non-IT Govies IT Govies 7.7

• IT govies on total govies at 37.9% (stable Y/Y), well below SP Target for the 2024-26 period (<50%)

• Share of IT govies on FVOCI govies ptf. at 19.1%

Reserves of debt securities at FVOCI and Net Financial Result

Very low sensitivity of debt securities portfolio at FVOCI confirmed

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.

Robust liquidity & funding position, with ratios well above minimum requirements

Notes: 1. Including assets received as collateral and net of accrued interests. Managerial data, net of haircuts 2. Weighted amount. 3. Managerial data. 4. MREL as % of RWA, including Combined Buffer Requirement. Managerial data. See slide 29 for more details.

Strong internal capital generation driving increase in CET1 ratio to 14.74%

Further significant strengthening in ratios and buffers

Notes: 1. MDA buffer calculated with 2024 requirement and equivalent to the buffer vs. CET 1 Minimum Requirement. 2. MDA @ 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

3

Final Remarks

Highly confident in the delivery of our targets in 2024…

… and in 2026, thanks to the accelerated pace vs. the Plan 2023A Q1 2024A 2026E TOTAL REVENUES €1.34bn Quarterly Avg. €1.43bn ~€1.35bn Quarterly Avg. PRE-PROV. INCOME €0.69bn Quarterly Avg. €0.77bn ~€0.69bn Quarterly Avg. COST OF RISK 53 bps (FY) 31 bps (annualized) ~45 bps (FY) GROSS NPEs €3.8bn €3.6bn <€3.5bn CET 1 RATIO 14.16% 14.74% ~14% Strategic Plan forecast STRATEGIC PLAN WELL ON TRACK FOR: €6BN NET INCOME 2023-26 ~€2bn distribution already on 2023-24 Net Income

o/w: ~€1.4bn cash in 20241

€4BN DISTRIBUTION 2023-26

4

Q1 2024 Performance Details

P&L: Quarterly comparison

Reclassified income statement (€m)	Q1 23	Q2 23	Q3 23	Q4 23	Q1 24	Chg. Q/Q	Chg. Q/Q %
Net interest income	743.0	809.9	868.7	867.7	864.4	-3.3	-0.4%
Income (loss) from invest. in associates carried at equity	36.3	24.3	34.1	49.4	30.3	-19.0	-38.5%
Net interest, dividend and similar income	779.3	834.2	902.8	917.0	894.7	-22.3	-2.4%
Net fee and commission income	493.1	484.7	474.9	466.8	521.6	54.8	11.7%
Other net operating income	2.4	1.4	4.2	13.7	3.8	-9.9	-72.0%
Net financial result	-34.1	-8.4	-22.8	-13.8	8.8	22.6	n.m
Income from insurance business	9.6	15.0	8.2	13.1	4.8	-8.3	-63.3%
Other operating income	471.0	492.7	464.5	479.9	539.1	59.2	12.3%
Total income	1,250.3	1,326.9	1,367.3	1,396.9	1,433.8	36.9	2.6%
Personnel expenses	-405.4	-402.9	-402.2	-461.5	-431.6	29.9	-6.5%
Other administrative expenses	-170.2	-166.6	-165.1	-150.5	-172.9	-22.4	14.9%
Amortization and depreciation	-64.5	-65.2	-68.1	-49.1	-64.1	-15.1	30.7%
Operating costs	-640.1	-634.7	-635.3	-661.1	-668.7	-7.5	1.1%
Profit (loss) from operations		692.2	732.1	735.7	765.1	29.4	4.0%
Net adjustments on loans to customers	-137.5	-121.3	-124.8	-175.0	-82.5	92.6	-52.9%
Profit (loss) on FV measurement of tangible assets	-1.9	-30.5	-11.8	-102.7	-13.4	89.3	-87.0%
Net adjustments on other financial assets	0.7	0.5	-1.0	-2.1	-3.0	-0.8	40.1%
Net provisions for risks and charges	2.4	0.9	-17.2	-8.3	-5.0	3.4	-40.3%
Profit (loss) on the disposal of equity and other invest.	0.2	-0.4	0.3	0.3	0.4	0.1	41.6%
Income (loss) before tax from continuing operations	474.2	541.4	577.6	447.8	661.7	213.9	47.8%
Tax on income from continuing operations	-147.4	-169.7	-183.0	-104.7	-215.4	-110.8	n.m.
Income (loss) after tax from continuing operations	326.8	371.8	394.6	343.1	446.3	103.2	30.1%
Systemic charges after tax	-57.3	-0.4	-69.6	0.7	-68.1	-68.8	n.m
Impact of bancassurance reorganization	0.0	0.0	0.0	-22.2	2.5	24.7
Realignment of fiscal values to accounting values	0.0	0.0	0.0	8.8	0.0	-8.8
Goodwill impairment	0.0	0.0	0.0	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.0	0.4	0.1	-0.4	0.0	0.4
Purchase Price Allocation after tax	-7.4	-6.8	-7.3	-6.8	-8.7	-1.8	26.6%
Fair value on own liabilities after Taxes	3.3	-5.8	1.2	-2.1	-1.8	0.3	-14.0%
Net income (loss) for the period	265.3	359.1	319.0	321.1	370.2	49.2	15.3%

N.B. Part of the contribution from payment activities, which was previously classified under "Other net operating income", has been included in "Net fees and commission income" starting from Q1 2024, due to the upcoming finalization of the JV in Payments system. 2023 data have been restated accordingly. See Methodological Notes for details.

Balance Sheet

Reclassified assets (€ m)				Chg. Y/Y		Chg. YTD
	31/03/23	31/12/23	31/03/24	Value	%	Value	%
Cash and cash equivalents	23,068	18,297	9,877	-13,191	-57.2%	-8,421	-46.0%
Loans and advances measured at AC	111,393	109,568	108,140	-3,253	-2.9%	-1,428	-1.3%
- Loans and advances to banks	3,643	4,142	3,228	-415	-11.4%	-914	-22.1%
1 - Loans and advances to customers ( )	107,751	105,427	104,913	-2,838	-2.6%	-514	-0.5%
Other financial assets	43,875	43,706	47,850	3,975	9.1%	4,144	9.5%
- Assets measured at FV through PL	7,848	7,392	7,667	-181	-2.3%	275	3.7%
- Assets measured at FV through OCI	10,048	10,693	10,883	834	8.3%	190	1.8%
- Assets measured at AC	25,978	25,622	29,300	3,322	12.8%	3,679	14.4%
Financial assets pertaining to insurance companies	6,016	15,345	15,645	9,629	160.1%	300	2.0%
Equity investments	1,610	1,454	1,419	-190	-11.8%	-35	-2.4%
Property and equipment	2,894	2,858	2,829	-65	-2.3%	-29	-1.0%
Intangible assets	1,253	1,257	1,261	8	0.7%	3	0.3%
Tax assets	4,463	4,201	4,062	-401	-9.0%	-139	-3.3%
Non-current assets held for sale and discont. operations	209	469	449	240	114.8%	-20	-4.3%
Other assets	3,931	4,975	5,150	1,219	31.0%	175	3.5%
Total	198,712	202,132	196,683	-2,029	-1.0%	-5,449	-2.7%
Reclassified liabilities (€ m)				Chg. Y/Y		Chg. YTD
	31/03/23	31/12/23	31/03/24	Value	%	Value	%
Banking Direct Funding	120,038	120,770	123,379	3,341	2.8%	2,609	2.2%
- Due from customers	105,122	101,862	102,563	-2,559	-2.4%	701	0.7%
- Debt securities and other financial liabilities	14,916	18,908	20,816	5,900	39.6%	1,907	10.1%
Insurance Direct Funding & Insurance liabilities	5,854	15,040	15,417	9,563	163.4%	378	2.5%
- Financial liabilities measured at FV pertaining to insurance companies	1,478	2,800	2,941	1,463	99.0%	141	5.0%
- Liabilities pertaining to insurance companies	4,376	12,240	12,476	8,100	185.1%	236	1.9%
Due to banks	31,300	21,691	11,134	-20,166	-64.4%	-10,556	-48.7%
Debts for Leasing	514	671	662	148	28.8%	-9	-1.3%
Other financial liabilities designated at FV	21,747	25,698	27,046	5,299	24.4%	1,349	5.2%
Other financial liabilities pertaining to insurance companies	3	73	76	72	n.m.	3	4.2%
Liability provisions	962	895	884	-78	-8.2%	-11	-1.2%
Tax liabilities	312	454	545	232	74.4%	91	20.0%
Liabilities associated with assets held for sale	35	212	209	174	504.1%	-3	-1.5%
Other liabilities	4,587	2,592	2,966	-1,622	-35.4%	374	14.4%
Minority interests	1	0	0	-1	-91.3%	0	-2.9%
Shareholders' equity	13,358	14,038	14,365	1,007	7.5%	327	2.3%
Total	198,712	202,132	196,683	-2,029	-1.0%	-5,449	-2.7%

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

Total Direct Funding from the Banking business

Total Direct Funding1

Capital-protected Certificates & other Debt Securities at FV	124.8	126.0	129.1
REPOs & Other
Bonds	101.3	98.8	99.7
C/A, Sight & Time deposits (% Share on total)	(81.2%)	(78.4%)	(77.2%)
	31/03/2023	31/12/2023	31/03/2024

	31/03/23	31/12/23	31/03/24	% chg. Y/Y	% chg. YTD
C/A & Sight deposits	101.0	98.6	99.0	-2.0%	0.4%
Time deposits	0.3	0.2	0.7	155.4%	196.2%
Bonds	14.9	18.9	20.8	39.6%	10.1%
REPOs & Other	3.8	3.0	2.9	-24.5%	-5.2%
Capital-protected Certificates & other Debt Securities at FV	4.8	5.3	5.7	18.9%	7.7%
Direct Funding	124.8	126.0	129.1	3.4%	2.4%

€ bn

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.

Solid 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.

Bond maturities: limited and manageable amounts

• The Group faces rather limited amounts of aggregate wholesale bond maturities in the period April 2024-December 2026:

• €3.40bn in the Senior space

• €2.75bn in the Covered Bond space

• Manageable amounts also of callable subordinated bonds² : €0.43bn in Apr.-Dec 2024; €0.90bn in 2025 and €1.05bn in 2026

Managerial data based on nominal amounts.

Note: 1. Excluding Repos with 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 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.

Indirect customer funding up at €110.3bn: +15.4% Y/Y and +3.9% YTD

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 31/03/24 contains €15.4bn pertaining to Banco BPM Vita, Vera Vita and Vera Financial included also in the balance sheet item "Insurance Direct Funding and Insurance liabilities", as fully consolidated (€15.2bn as at 31/12/23 and €5.7bn as at 31/03/23, this latter considering only Banco BPM Vita, as Vera Vita and Vera Financial 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 28 for more details).

Net Customer Loans at Amortized Cost¹

Net Customer Loans

Performing Loans NPE

					Change
Net Performing Customer Loans	31/03/23	31/12/23	31/03/24	In % Y/Y	In % YTD
Core customer loans	102.3	96.9	96.5	-5.6%	-0.4%
- Medium/Long-Term loans	80.1	77.1	76.9	-3.9%	-0.2%
- Current Accounts	8.4	7.5	7.2	-14.5%	-3.1%
- Cards & Personal Loans	0.8	0.7	0.6	-31.5%	-12.0%
- Other loans	12.9	11.7	11.8	-8.7%	0.6%
GACS Senior Notes	1.8	1.4	1.3	-26.8%	-9.4%
Repos	0.9	4.8	5.0	426.6%	3.3%
Leasing	0.5	0.4	0.4	-26.1%	-8.3%
Total Net Performing Loans	105.5	103.6	103.1	-2.2%	-0.4%

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	-€500m vs		7.5	7%
	31/03/23				31/03/23

SAFE RISK PROFILE:

• 89% Secured (€6.7bn)
• 73% in Low-Mid Risk rating classes
• 73% of the collateralized portfolio² is located in the North (50% in Lombardy, o/w 35% Milan) Vs. 8% as at

Secured exposure: composition by guarantees & collateral

Managerial data of CRE sectors included in Non-Financial Corporates portfolio as at 31/03/24.

Notes: 1. Excluding €2.3bn 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	31/03/2023	31/12/2023	31/03/2024	Chg. Y/Y		Chg. YTD
€/m and %				Value	%	Value	%
Bad Loans	2,094	1,601	1,547	-547	-26.1%	-55	-3.4%
UTP	2,522	2,056	1,931	-592	-23.5%	-125	-6.1%
Past Due	64	93	90	26	40.6%	-3	-3.2%
NPE	4,680	3,751	3,568	-1,113	-23.8%	-183	-4.9%
Performing Loans	105,894	103,991	103,570	-2,324	-2.2%	-421	-0.4%
TOTAL CUSTOMER LOANS	110,574	107,742	107,138	-3,436	-3.1%	-604	-0.6%

Net exposures	31/03/2023	31/12/2023	31/03/2024	Chg. Y/Y		Chg. YTD
€/m and %				Value	%	Value	%
Bad Loans	734	626	607	-127	-17.3%	-19	-3.0%
UTP	1,493	1,168	1,094	-399	-26.7%	-75	-6.4%
Past Due	48	67	67	19	38.7%	-0	-0.5%
NPE	2,275	1,862	1,768	-508	-22.3%	-94	-5.0%
Performing Loans	105,475	103,565	103,145	-2,330	-2.2%	-420	-0.4%
TOTAL CUSTOMER LOANS	107,751	105,427	104,913	-2,838	-2.6%	-514	-0.5%

Coverage ratios	31/03/2023	31/12/2023	31/03/2024
%
Bad Loans	64.9%	60.9%	60.7%
UTP	40.8%	43.2%	43.4%
Past Due	25.1%	28.2%	26.1%
NPE	51.4%	50.4%	50.5%
Performing Loans	0.40%	0.41%	0.41%
TOTAL CUSTOMER LOANS	2.6%	2.1%	2.1%

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

NPE migration dynamics

Focus on Govies portfolio of the Banking Business

Capital position in detail

FULLY LOADED CAPITAL POSITION (€ m and %)	31/03/2023	31/12/2023	31/03/2024
CET 1 Capital T1 Capital Total Capital	8,076 9,466 11,192	9,036 10,425 12,125	9,238 10,627 12,825
RWA	59,514	63,823	62,660
CET 1 Ratio	13.57%	14.16%	14.74%
AT1	2.34%	2.18%	2.22%
T1 Ratio	15.91%	16.34%	16.96%
Tier 2	2.90%	2.66%	3.51%
Total Capital Ratio	18.81%	19.00%	20.47%

FULLY LOADED RWA COMPOSITION (€ bn)	31/03/2023	31/12/2023	31/03/2024
CREDIT & COUNTERPARTY RISK of which: AIRB	50.6 23.2	54.2 20.8	53.4 25.9
MARKET RISK	1.3	1.5	1.2
OPERATIONAL RISK	7.4	7.9	7.9
CVA	0.2	0.2	0.2
TOTAL	59.5	63.8	62.7

As communicated to the market on 12 December 2023, Banco BPM has been authorized by ECB to apply new AIRB model parameters from the reference date of 31/12/2023. The first implementation in IT systems of these new parameters started in Q1 2024, whilst for Q4 2023 the Group proceeded with an increase in voluntary buffer/capital deduction ex art. 3 CRR. As at 31/03/2024 such increase in buffer/capital deduction has been removed, whilst the adoption of new AIRB parameters led to an increase in RWA density both in the Retail segment (from 16.3% at YE 2023 to 20.3% as at 31/03/24) and the Corporate segment (from 35.1% to 46.7%)

Total Exposure	200,940	199,614	197,892
Class 1 Capital	9,466	10,425	10,627

Capital data include also the profit of the period, net of the amount of accrued dividends, based on a payout of 67% in Q1 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)