Banco BPM SpA

Investor Presentation • Feb 8, 2024

Group FY 2023 Results Presentation

08 February 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.

The distribution of this presentation in other jurisdictions may be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of, and observe, these restrictions. To the fullest extent permitted by applicable law, Banco BPM and its subsidiaries disclaim any responsibility or liability for the violation of such restrictions by any person.

This presentation does not constitute or form part of, and should not be construed as, any offer or invitation to subscribe for, underwrite or otherwise acquire, any securities of Banco BPM or any member of its group or any advice or recommendation with respect to such securities, nor should it or any part of it form the basis of, or be relied on in connection with, any contract to purchase or subscribe for any securities in Banco BPM or any member of its group, or investment decision or any commitment whatsoever. This presentation and the information contained herein does not constitute an offer of securities in the United States or to any U.S. person (as defined in Regulation S under the U.S. Securities Act of 1933 (the "Securities Act"), as amended), Canada, Australia, Japan or any other jurisdiction where such offer is unlawful.

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.

None of Banco BPM, its subsidiaries or any of their respective representatives, directors, officers or employees nor any other person accepts any liability whatsoever (in negligence or otherwise) for any loss howsoever arising from any use of this presentation or otherwise arising in connection therewith.

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.
• Starting from 1 July 2022 Banco BPM Vita & Banco BPM Assicurazioni, previously held at 19%, have been consolidated 100% line-by-line. As a consequence:
  • with regard to the balance sheet scheme, starting from 30/09/22, the items relating to the portfolios of financial assets and liabilities held by these insurance companies were introduced. The previous periods remained unchanged; with regard to the P&L scheme, starting in the third quarter of 2022, the new item 'Net income from insurance business' was introduced, which includes all income components (interest, dividends, realised gains/losses, valuation gains/losses) relating to the financial assets and liabilities portfolio of these insurance companies and the items attributable to the revenues and costs characteristic of the insurance business. It should also be noted that the placement commissions paid by these consolidated insurance companies to Banco BPM's distribution network are shown under the item "Net commissions" for commissions received by the distribution network and under the item "Result from insurance business" for those paid by the companies; the contribution of the above items, as well as that of the other income statement items relating to these wholly-owned companies, is included, line-by-line, in the consolidated income statement starting from the third quarter of 2022. On the other hand, the total net contribution of these companies in the preceding quarters of 2022, when the companies were 19% owned, is shown in the item "Income (loss) from investments in associates carried at equity", for the previous relative stake held;
  • finally, it should be noted that, as of January 1, 2023, IFRS 17 "Insurance Contracts," which introduces new valuation criteria and new accounting rules for insurance products, came into effect, replacing IFRS 4, as illustrated in the methodological notes of the results as of 31/12/2023 press release published on 8 February 2024. In light of this, it should be noted that the balance sheet as at 31/12/2022 and that the Income Statement for 2022 shown in this presentation have been restated by retrospective application of IFRS 17.
• Under the agreements between Banco BPM and Crédit Agricole Assurances S.A. entered in December 2022 covering, among others, the disposal of the 65% controlling stake in Banco BPM Assicurazione as of 31/12/22 the assets and liabilities of the above insurance company are not shown on a "line-by-line" basis, whereas they are aggregated in the reclassified balance sheet line items "Non-current assets held for sale and discontinued operations" and "Liabilities associated with assets held for sale", in accordance with IFRS 5. Conversely, in the income statement the associate's contribution is shown on a "line-by-line" basis, as the disposal of the company under examination does not fall within the "discontinued operations" criteria provided under IFRS 5. On 14 December 2023, after the sale of 65% to CAA, which resulted in the loss of control, the stake held (35%) 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 is considered as subsidiary until the end of the financial year.
• 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. As of 31/12/23, the balance sheet of Vera Vita is included, line by line, in the consolidated financial statements. The economic contribution is instead shown, for the entire 2023 financial year, in the reclassified income statement item " Income (loss) from investments in associates carried at equity", as the companies were owned at 35% until the end of the financial year.
  • the Group completed 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 CAA. 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 "Result from investments valued at equity", as the investment is qualified as an "associates" for the entire 2023 financial year.
  • 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, as illustrate above, with the aim of simplifying their illustration and guarantee a homogeneous comparison with the 2022 result.
• 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 BCC Pay S.p.A. of Banco BPM's e-money activities and the equity investment in Tecmarket, 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.

1	Executive Summary	5
2	Key Highlights	11
3	Final Remarks	24
4	FY 2023 Performance Details	27

1

Executive Summary

FY 2023: a powerful kickstart of our Strategic Plan journey

OUTPERFORMANCE OF OUR P&L GUIDANCE ALLOWS A SUBSTANTIAL STEP-UP IN SHAREHOLDER REMUNERATION

Note: 1. Calculated as Net Profit from P&L (year x) / Tangible Shareholders' Equity (end-of-period, excluding FY Net Profit, AT1 instruments and Intangible assets, net of fiscal effect).

Significant growth in profitability: a major step forward to Strategic Plan targets

FY 2023 PERFORMANCE: KEY DRIVERS BETTER THAN GUIDANCE

Well-diversified business model ready to be deployed

Notes: 1. Managerial data. Contribution on net commissions, income from associates, income from consolidated Life insurance business and, for 2023, on other operating income. 2023 pro-forma data include fully consolidation of Vera Vita and completion of P&C and Payments deals. 8

Steady improvement in asset quality: NPEs and LLPs at record lows

2016 Gross NPEs include the restatement for managerial purposes of a portion of write-offs (in coherence with the restatement done in 2017).

Strong capital base and sound liquidity & funding position

	CET1 RATIO: EVOLUTION	MDA BUFFER @ 542 BPS
SIGNIFICANT CAPITAL GENERATION	~14% 14.2% 13.4% 12.8% YE 2021 YE 2022 YE 2023 YE 2023 Guidance	▪ Solid CET 1 ratio at YE 2023, above guidance, after including the significant increase in payout (67% vs. 50% in 2022) ▪ Strong contribution from FY 2023 organic performance: +328bps gross1 , +151bps net of dividend2
FURTHER	WHOLESALE BONDS ISSUED 3.8 €bn	NSFR3 @ 129% INVESTMENT GRADE RATINGS LCR @ 187%
IMPROVING OUR WHOLESALE FUNDING	1.5 Green & 2.0 Social 0.75 Issued in FY 2023 Issued in Jan. 2024	▪ Successful wholesale All Senior LT ratings are ▪ issuance activity with a Investment Grade since high share of Green & Nov. 2023 Social bonds (52%) since ▪ Additional cost of funding Jan. 2023 benefit to come on top of
CAPACITY	BBPM #2 Green bond issuer among Italian banks ▪ in 2023 Green Social & Sustainability Bonds Framework ▪ aligned with Taxonomy4	▪ Total liquidity at €41.9bn Plan projections, based at YE 2023 (+€3.2bn Y/Y) on bonds issued in Jan. 2024

Notes: 1. Impact from Net Income of the period, ordinary RWA evolution, Synthetic Securitisations and FVOCI reserves. 2. Net of accrued dividends and AT1 coupons. 3. Managerial Data. 4. Published in November 2023, with the following Taxonomy-aligned sectors: Energy, Construction and Real Estate activities and Manufacturing of basic chemicals.

2

Key Highlights

P&L at a glance: FY 2023 Net Income almost doubled Y/Y

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CERTIFIED

P&L HIGHLIGHTS FY 22 FY 23 Chg. Y/Y Q4 22 Q3 23 Q4 23 Chg. Q/Q 2,314 3,289 42.1% 724 869 868 -0.1% 1,887 1,860 -1.4% 447 460 452 -1.8% 136 144 38 34 49 22 46 13 8 13 4,359 5,339 22.5% 1,223 1,371 1,382 0.8% 243 -79 -9 -23 -14 o/w Cost of certificates -70 -263 -32 -76 -75 o/w Other NFR 313 184 23 53 61
€ m
Net interest income
Net fees and commissions
Income from associates Income from insurance «Core» Revenues Net financial result Other net operating income
	72	81		19	19	29
Total revenues	4,674	5,341	14.3%	1,233	1,367	1,397	2.2%
Operating costs	-2,530	-2,571		-647	-635	-661
o/w Banking business costs	-2,524	-2,558	1.3%	-642	-632	-660	4.5%
Pre-Provision income	2,144	2,770	29.2%	586	732	736	0.5%
Loan loss provisions	-682	-559	-18.1%	-185	-125	-175	40.2%
Other1	-172	-171		-88	-30	-113
Profit from continuing operations ( pre-tax)	1,289	2,041	58.4%	313	578	448	-22.5%
Taxes	-407	-605		-86	-183	-105
Net profit from continuing operations	882	1,436	62.9%	228	395	343	-13.0%
Systemic charges	-152	-127		0	-70	1
PPA and other2	-45	-45		-30	-6	-23
Net income	685	1,264	84.6%	198	319	321	0.7%

Notes: 1. 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). 2. PPA

and Other include other elements (after tax).

3. Includes: NII, Net fees, Income from insurance business and income from associates.

See slides 28 and 29 for more details.

NII at €3,289m: above FY 2023 Guidance

Note: 1. «Static» calculation, including sensitivity on cost of Certificates, classified at NFR level.

NII outlook: available mitigating actions allow to confirm key Strategic Plan targets even in a scenario of accelerated Interest Rate reduction

Solid franchise value: total customer funding +€11bn YTD

Analysis of total customer funding¹

AUM

"Core" Direct (C/A & Deposits)

POSITIVE TREND IN VOLUME EFFECT¹ , DRIVEN BY AUC

HIGH-VALUE & HEALTHY DEPOSIT BASE

• Strong retail base
• Guaranteed deposits ~€57bn² : 82% of Household deposits are guaranteed by the Guarantee Scheme (62% incl. SME & Corporates)
• Average retail (Households & SME retail) deposit size: ~€20K

Low-risk loan portfolio, highly secured, well positioned

ANALYSIS OF "CORE" PERFORMING CUSTOMER LOANS AS AT 31/12/2023¹

• Strong focus on performing portfolio quality in Q4 2023, with Mid-High/High risk categories declining €1 bn Q/Q
• Performing customer loans rise >€0.7bn in Jan. 2024

FY 2023 NEW LENDING AT €19.4bn³ :

• 95% concentrated in the best rating classes (Low-Mid categories)⁴
• 76% in Northern Italy

Notes: 1. Gross performing customer loans data excluding GACS Senior Notes, REPOs and Leasing; corresponding to a net exposure of €97.0bn as at 31/12/2023. 2. Businesses with turnover up to €5m. 3. Management data, M/L-term Mortgages (Secured and Unsec.), Personal Loans, Pool and Structured Finance (including revolving). 4. Share on rated positions of Households, Corporate, Enterprises and Small Businesses.

Resilient trend in fees

Commercial Banking fees: €996m in FY 23, stable Y/Y

• Resilient trend, after absorbing ~€45m impact from removal of fees on current account excess liquidity
• Positive impact from commissions on lending, payments, fees on fiscal credits and other services, with a combined increase of €56m Y/Y, more than offsetting higher costs on synthetic securitizations (-€37m Y/Y)

Management, Intermediation and Advisory fees: €864m in FY 23, -3.2% Y/Y

• Lower fees from Funds & Sicav (-€53m Y/Y), partially compensated by higher fees from certificates and AUC products (increasing by >€40m Y/Y)

Strict cost control: Cost/Income down at 48% in FY 23 (54% in FY 22)

Note: 1. "Banking business" excludes "Insurance business" costs consolidated starting from Q3 2022. 2. Total Costs including Insurance business costs since Q3 2022.

Headcount: 19,761 employees as at 31/12/2023, -396 vs. 31/12/2022. Retail network: 1,358 branches as at 31/12/2023, -69 vs. 31/12/2022.

Prudent provisioning policy with strong NPE coverage and improving migration rates

Steadily <1% since 9M 2021

Optimization and diversification of Debt securities portfolio

• IT govies on total govies down at 36.1% (99.1% at YE 2016)
• Share of IT govies at FVOCI down at 26.0% (64% at YE 2016)

Share of ESG corporate bonds in the proprietary portfolio as at 31/12/23 (vs. 24% at YE 2022) 29%

THIS SLIDE REFERS TO THE SECURITIES PORTFOLIO OF THE BANKING BUSINESS.

Reserves of debt securities at FVOCI and Net Financial Result

Very low sensitivity of debt securities portfolio at FVOCI confirmed

o/w close to zero for Italian Govies²

• Resilient results from NFR (excluding impact from Cost of Certificates): +€7.5m Q/Q
• Lower impact (€1.5m Q/Q) from Cost of Certificates³

Post-tax € m

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.

Solid 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.

Strong capital generation driving increase in CET1 ratio to 14.2%

Significantly strengthened ratios and buffers

+132bps capital generation, paving the way for the significant increase in the dividend payout: 67% in FY 2023 (50% in FY 2022)

Notes: 1. MDA buffer equivalent to buffer vs. CET 1 Minimum Requirement. 2. Conservative estimates.

Windfall tax: AGM to decide on Board proposal to set up a dedicated undistributable reserve, to be fully included in CET1 capital. Amount corresponding to €378m, equal to 2.5x the potential tax amount (€151m), as provided for by the law.

3

Final Remarks

A very strong 2023, allowing to improve shareholder remuneration and confirm our 2024 Net Income guidance

Note: 1. Calculated as Net Profit from P&L (year x) / Tangible Shareholders' Equity (end-of-period, excluding FY Net Profit, AT1 instruments and Intangible assets, net of fiscal effect). 2. Vs. Strategic Plan target of ~€1.3bn. 3. Calculated on market cap. as at 06/02/2024.

Banco BPM 2023-2026 – a solid success story

A very strong start of a truly promising journey

Notes: 1. Calculated as Net Profit from P&L (year x)/ Tangible Shareholder Equity 31.12.XX (excluding Net Profit of the period and AT1 instruments).

4

FY 2023 Performance Details

P&L: FY 2023 comparison

Reclassified income statement (€m)	FY 22	FY 23	Chg. Y/Y %
Net interest income	2,314.4	3,289.2	42.1%
Income (loss) from invest. in associates carried at equity	136.0	144.1	6.0%
Net interest, dividend and similar income	2,450.4	3,433.3	40.1%
Net fee and commission income	1,887.3	1,860.0	-1.4%
Other net operating income	71.6	81.3	13.6%
Net financial result	243.0	-79.0	n.m
Income from insurance business	21.7	45.9	n.m.
Other operating income	2,223.6	1,908.1	-14.2%
Total income	4,674.0	5,341.4	14.3%
Personnel expenses	-1,602.4	-1,672.0	4.3%
Other administrative expenses	-648.2	-652.4	0.6%
Amortization and depreciation	-279.7	-246.8	-11.8%
Operating costs	-2,530.4	-2,571.2	1.6%
Profit (loss) from operations	2,143.6	2,770.3	29.2%
Net adjustments on loans to customers	-682.3	-558.6	-18.1%
Profit (loss) on FV measurement of tangible assets	-108.3	-146.8	35.5%
Net adjustments on other financial assets	-9.1	-2.0	-78.2%
Net provisions for risks and charges	-57.2	-22.2	-61.2%
Profit (loss) on the disposal of equity and other invest.	2.3	0.3	-84.9%
Income (loss) before tax from continuing operations	1,288.9	2,041.0	58.4%
Tax on income from continuing operations	-407.0	-604.8	48.6%
Income (loss) after tax from continuing operations	881.8	1,436.3	62.9%
Systemic charges after tax	-151.9	-126.6	-16.7%
Impact of bancassurance reorganization	0.0	-22.2	n.m.
Realignment of fiscal values to accounting values	0.0	8.8	n.m.
Goodwill impairment	-8.1	0.0	n.m.
Income (loss) attributable to minority interests	0.8	0.0	-97.2%
Purchase Price Allocation after tax	-42.4	-28.3	-33.1%
Fair value on own liabilities after Taxes	4.8	-3.5	n.m
Net income (loss) for the period	685.0	1,264.5	84.6%

2022 data have been restated as a result of the retrospective application of IFRS 17 accounting standard by the Group-owned Insurance Subsidiaries, as well as IFRS 9 for the Group's insurance affiliates. See Methodological Notes.

P&L: Quarterly results

Reclassified income statement (€m)	Q1 22	Q2 22	Q3 22	Q4 22	Q1 23	Q2 23	Q3 23	Q4 23	Chg. Q/Q	Chg. Q/Q %
Net interest income	511.5	527.6	551.3	724.0	743.0	809.9	868.7	867.7	-1.0	-0.1%
Income (loss) from invest. in associates carried at equity	42.4	15.7	39.5	38.4	36.3	24.3	34.1	49.4	15.2	44.6%
Net interest, dividend and similar income	554.0	543.3	590.8	762.3	779.3	834.2	902.8	917.0	14.2	1.6%
Net fee and commission income	480.1	486.8	473.2	447.3	478.7	469.5	460.0	451.8	-8.2	-1.8%
Other net operating income	16.7	15.0	20.4	19.5	16.9	16.5	19.1	28.7	9.6	50.0%
Net financial result	127.9	48.9	75.1	-9.0	-34.1	-8.4	-22.8	-13.8	9.0	-39.6%
Income from insurance business			8.6	13.1	9.6	15.0	8.2	13.1	5.0	60.7%
Other operating income	624.7	550.7	577.3	470.9	471.0	492.7	464.5	479.9	15.3	3.3%
Total income	1,178.7	1,094.0	1,168.1	1,233.2	1,250.3	1,326.9	1,367.3	1,396.9	29.5	2.2%
Personnel expenses	-407.9	-405.3	-397.3	-391.9	-405.4	-402.9	-402.2	-461.5	-59.4	14.8%
Other administrative expenses	-155.6	-162.7	-159.6	-170.4	-170.2	-166.6	-165.1	-150.5	14.5	-8.8%
Amortization and depreciation	-61.2	-64.1	-69.9	-84.6	-64.5	-65.2	-68.1	-49.1	19.0	-27.9%
Operating costs	-624.7	-632.1	-626.8	-646.9	-640.1	-634.7	-635.3	-661.1	-25.9	4.1%
Profit (loss) from operations	554.0	461.9	541.3	586.3	610.3	692.2	732.1	735.7	3.7	0.5%
Net adjustments on loans to customers	-151.1	-152.6	-193.9	-184.7	-137.5	-121.3	-124.8	-175.0	-50.2	40.2%
Profit (loss) on FV measurement of tangible assets	-1.2	-39.6	-7.5	-60.0	-1.9	-30.5	-11.8	-102.7	-90.9	n.m.
Net adjustments on other financial assets	-3.2	-2.3	-3.0	-0.5	0.7	0.5	-1.0	-2.1	-1.1	n.m.
Net provisions for risks and charges	-8.1	-4.6	-16.3	-28.2	2.5	0.9	-17.2	-8.3	8.8	-51.4%
Profit (loss) on the disposal of equity and other invest.	1.5	-0.1	0.3	0.5	0.2	-0.4	0.3	0.3	0.0	-13.6%
Income (loss) before tax from continuing operations		262.8	320.9	313.4	474.2	541.4	577.6	447.8	-129.8	-22.5%
Tax on income from continuing operations	-138.4	-92.6	-90.4	-85.6	-147.4	-169.7	-183.0	-104.7	78.3	-42.8%
Income (loss) after tax from continuing operations		170.2	230.4	227.8	326.8	371.8	394.6	343.1	-51.5	-13.0%
Systemic charges after tax	-74.6	0.0	-77.3	0.0	-57.3	-0.4	-69.6	0.7	70.3	n.m
Impact of bancassurance reorganization	0.0	0.0	0.0	0.0	0.0	0.0	0.0	-22.2	-22.2
Realignment of fiscal values to accounting values	0.0	0.0	0.0	0.0	0.0	0.0	0.0	8.8	8.8
Goodwill impairment	0.0	-8.1	0.0	0.0	0.0	0.0	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.0	0.1	0.0	0.6	0.0	0.4	0.1	-0.4	-0.5
Purchase Price Allocation after tax	-8.5	-7.2	-16.5	-10.2	-7.4	-6.8	-7.3	-6.8	0.4	-5.7%
Fair value on own liabilities after Taxes	0.2	25.5	-0.3	-20.5	3.3	-5.8	1.2	-2.1	-3.2	n.m

2022 data have been restated as a result of the retrospective application of IFRS 17 accounting standard by the Group-owned Insurance Subsidiaries, as well as IFRS 9 for the Group's insurance affiliates. See

Methodological Notes.

Balance Sheet

EN
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Reclassified assets (€ m)	Restated			Chg. Y/Y		Chg. Q/Q
	31/12/22	30/09/23	31/12/23	Value	%	Value	%
Cash and cash equivalents	13,131	17,617	18,297	5,167	39.3%	681	3.9%
Loans and advances measured at AC	113,633	111,926	109,568	-4,064	-3.6%	-2,357	-2.1%
- Loans and advances to banks	4,178	3,877	4,142	-36	-0.9%	264	6.8%
1 - Loans and advances to customers ( )	109,455	108,048	105,427	-4,028	-3.7%	-2,622	-2.4%
Other financial assets	43,094	44,853	43,706	613	1.4%	-1,147	-2.6%
- Assets measured at FV through PL	8,207	8,310	7,392	-815	-9.9%	-918	-11.0%
- Assets measured at FV through OCI	9,381	10,202	10,693	1,312	14.0%	491	4.8%
- Assets measured at AC	25,506	26,342	25,622	116	0.5%	-720	-2.7%
Financial assets pertaining to insurance companies	5,893	5,805	15,345	9,452	160.4%	9,540	164.3%
Equity investments	1,652	1,651	1,454	-198	-12.0%	-197	-11.9%
Property and equipment	3,035	2,795	2,858	-177	-5.8%	63	2.3%
Intangible assets	1,255	1,235	1,257	2	0.2%	22	1.8%
Tax assets	4,585	4,196	4,201	-384	-8.4%	5	0.1%
Non-current assets held for sale and discont. operations	196	529	469	273	139.4%	-61	-11.5%
Other assets	3,335	3,856	4,975	1,641	49.2%	1,120	29.0%
Total	189,808	194,463	202,132	12,324	6.5%	7,669	3.9%
Reclassified liabilities (€ m)	Restated			Chg. Y/Y		Chg. Q/Q
	31/12/22	30/09/23	31/12/23	Value	%	Value	%
Banking Direct Funding	120,639	120,705	120,770	131	0.1%	65	0.1%
- Due from customers	107,679	103,585	101,862	-5,817	-5.4%	-1,723	-1.7%
- Debt securities and financial liabilities designed at FV	12,960	17,121	18,908	5,948	45.9%	1,787	10.4%
Insurance Direct Funding & Insurance liabilities	5,743	5,615	15,040	9,297	161.9%	9,425	167.9%
- Financial liabilities measured at FV pertaining to insurance companies	1,459	1,420	2,800	1,341	91.9%	1,380	97.1%
- Liabilities pertaining to insurance companies	4,284	4,194	12,240	7,956	185.7%	8,045	191.8%
Due to banks	32,636	22,623	21,691	-10,945	-33.5%	-932	-4.1%
Debts for Leasing	628	498	671	43	6.8%	172	34.6%
Other financial liabilities designated at FV	13,598	27,774	25,698	12,100	89.0%	-2,076	-7.5%
Other financial liabilities pertaining to insurance companies	0	2	73	72	n.m.	70	n.m.
Liability provisions	989	874	895	-94	-9.5%	20	2.3%
Tax liabilities	268	294	454	186	69.5%	160	54.7%
Liabilities associated with assets held for sale	26	244	212	186	721.1%	-32	-13.0%
Other liabilities	2,266	2,218	2,592	326	14.4%	374	16.9%
Minority interests	1	0	0	-1	-90.6%	0	-76.2%
Shareholders' equity	13,016	13,617	14,038	1,023	7.9%	421	3.1%
Total	189,808	194,463	202,132	12,324	6.5%	7,669	3.9%

Data as at 31/12/2022 have been restated as a result of the retrospective application of IFRS 17 accounting standard by the Group-owned Insurance Subsidiaries, as well as IFRS 9 for the Group's insurance affiliates. See Methodological Notes.

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

Focus on Govies portfolio

THIS SLIDE REFERS TO THE SECURITIES PORTFOLIO OF THE BANKING BUSINESS.

Direct funding from the Banking business

Direct funding1
Capital-protected Certificates	123.4			124.5		124.8
Other Bonds	103.7			100.5		98.8
C/A, Sight & Time deposits (% Share on total)	(84.0%)			(80.7%)		(79.2%)
	31/12/2022			30/09/2023		31/12/2023
	31/12/22	30/09/23	31/12/23	% chg. Y/Y	% chg. Q/Q
C/A & Sight deposits	103.4	100.1	98.6	-4.7%	-1.6%
Time deposits	0.3	0.3	0.2	-14.8%	-27.7%
Bonds	12.9	17.1	18.9	46.0%	10.5%
Other	2.5	2.0	1.8	-30.9%	-13.4%
Capital-protected Certificates	4.3	4.9	5.3	23.5%	7.9%

Note: 1. Direct funding from the banking business restated according to a managerial logic: includes capital-protected certificates, recognized essentially under 'Held-for-trading liabilities', while it does not include short-term Repos (€1.3bn on 31/12/2023 vs 1.1bn on 30/09/2023 and vs. €1.5bn on 31/12/2022), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

Direct Funding (excl. Repos) 123.4 124.5 124.8 1.1% 0.2%

Successful issuance activity and well diversified liability profile

Managerial data.

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

Bond maturities: limited and manageable amounts

• The Group faces rather limited amounts of bond maturities in the senior space, with the bulk of maturities in the period 2024-2026 in relation to Covered Bonds
• No subordinated bond maturities in the period 2024-2026

Note:

1. Excluding Repos with retained CB and ABS as underlying (€0.57bn maturities in 2025; €4.15bn maturities in 2026).

Indirect customer funding up at €106.2bn: +16.2%Y/Y

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

• Total Indirect Customer Funding up at €106.2bn, from €100.0bn as at 30/09/2023 and €91.3bn as at 31/12/2022
• FY 2023 results confirm a steady upward progression of AUM and record an excellent acceleration in the AUC segment

(see slide 32).

Managerial data of the commercial network. AuM from bancassurance as at 31/12/203 includes €15.0bn indicated under the balance sheet item "Insurance Direct Funding and Insurance liabilities" (€5.6bn as at 30/09/2023 and €5.7bn as at YE 2022, both before the consolidation of Vera Vita and Vera Financial). Note: 1. AuC data are net of capital-protected certificates, as they have been regrouped under Direct Funding

Net Customer Loans

Net Customer Loans

					Change
Net Performing Customer Loans	31/12/22	30/09/23	31/12/23	In % Y/Y	In % Q/Q
Core customer loans	102,8	99,1	96,9	-5,7%	-2,2%
- Medium/Long-Term loans	80,4	78,6	77,1	-4,1%	-2,0%
- Current Accounts	8,4	7,6	7,5	-11,0%	-1,7%
- Cards & Personal Loans	1,0	0,7	0,7	-31,2%	-6,0%
- Other loans	13,0	12,1	11,7	-9,9%	-3,5%
GACS Senior Notes	1,9	1,5	1,4	-26,9%	-5,1%
Repos	1,9	5,1	4,8	156,6%	-4,8%
Leasing	0,5	0,4	0,4	-25,0%	-8,3%
Total Net Performing Loans	107,1	106,1	103,6	-3,3%	-2,4%

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

Construction of buildings and RE activities

Highly secured exposure, concentrated in low-mid risk rating classes and in the northern part of Italy

Managerial data as at 31/12/2023.

Notes: 1. Excluding €2.3bn of Civil engineering and specialised constructions, as they do not refer to "commercial" buildings.

Asset Quality details

Loans to Customers at AC¹

Gross exposures	31/12/2022	30/09/2023	31/12/2023	Chg. Y/Y		Chg. Q/Q
€/m and %				Value	%	Value	%
Bad Loans	2.047	1.630	1.601	-446	-21,8%	-29	-1,8%
UTP	2.639	2.169	2.056	-584	-22,1%	-114	-5,2%
Past Due	82	91	93	11	13,7%	2	2,6%
NPE	4.769	3.891	3.751	-1.018	-21,3%	-140	-3,6%
Performing Loans	107.520	106.499	103.991	-3.529	-3,3%	-2.507	-2,4%
TOTAL CUSTOMER LOANS	112.289	110.390	107.742	-4.547	-4,0%	-2.648	-2,4%

Net exposures	31/12/2022	30/09/2023	31/12/2023	Chg. Y/Y		Chg. Q/Q
€/m and %				Value	%	Value	%
Bad Loans	721	673	626	-94	-13,1%	-47	-6,9%
UTP	1.575	1.235	1.168	-407	-25,8%	-67	-5,4%
Past Due	60	64	67	7	11,8%	3	4,7%
NPE	2.356	1.972	1.862	-494	-21,0%	-111	-5,6%
Performing Loans	107.099	106.076	103.565	-3.534	-3,3%	-2.511	-2,4%
TOTAL CUSTOMER LOANS	109.455	108.048	105.427	-4.028	-3,7%	-2.622	-2,4%

Coverage ratios	31/12/2022	30/09/2023	31/12/2023
%
Bad Loans	64,8%	58,7%	60,9%
UTP	40,3%	43,1%	43,2%
Past Due	26,9%	29,6%	28,2%
NPE	50,6%	49,3%	50,4%
Performing Loans	0,39%	0,40%	0,41%
TOTAL CUSTOMER LOANS	2,5%	2,1%	2,1%

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

NPE migration dynamics

Capital position in detail

FULLY LOADED CAPITAL POSITION (€/m and %)	31/12/2022 Restated1	31/03/2023	30/06/2023	30/09/2023	31/12/2023
CET 1 Capital T1 Capital Total Capital	7,686 9,076 10,800	8,076 9,466 11,192	8,386 9,776 11,484	8,381 9,771 11,510	9,036 10,425 12,125
RWA	59,859	59,514	58,859	58,501	63,823
CET 1 Ratio	12.84%	13.57%	14.25%	14.33%	14.16%
AT1	2.32%	2.34%	2.36%	2.38%	2.18%
T1 Ratio	15.16%	15.91%	16.61%	16.70%	16.34%
Tier 2	2.88%	2.90%	2.90%	2.97%	2.66%
Total Capital Ratio	18.04%	18.81%	19.51%	19.68%	19.00%

Leverage ratio Fully Loaded as at 31/12/2023: 5.22%

FULLY LOADED RWA COMPOSITION (€/bn)	31/12/2022 Restated	31/03/2023	30/06/2023	30/09/2023	31/12/2023
CREDIT & COUNTERPARTY RISK	50,8	50,6	49,8	49,6	54,2
of which: Standard	26,1	26,5	26,6	26,3	32,2
MARKET RISK	1,4	1,3	1,4	1,3	1,5
OPERATIONAL RISK	7,4	7,4	7,4	7,4	7,9
CVA	0,3	0,2	0,2	0,2	0,2
TOTAL	59,9	59,5	58,9	58,5	63,8

2023 Capital data include the profit of the period, net of the amount of accrued dividends (50% payout in the first three quarters of 2023 and 67% in Q4 2023, with an alignment also of the previous three quarters). Note: 1. Data as at 31/12/2022 are restated in relation to IFRS17 "Insurance Contracts", which came into effect on 01/01/2023, entailing minor retroactive effects on capital adequacy ratios. For further details, please refer to the Methodological Notes of the press release of our H1 2023 results, published on 02/08/23.

Sustainability achievements: 2023 state-of-the-art

Notes: 1. Including offsetting through carbon credits. 2. Oil & Gas, Power generation, Cement, Automotive and Coal. 3. Include one Private Placement for €300m, issued not under the GS&S bonds framework. 4. Published in November 2023, with the following Taxonomy-aligned sectors: Energy, Construction and Real Estate activities and Manufacture of basic chemicals.

Successfully continuing our digitalization path

DIGITAL BANKING KPI

FY 2023 INITIATIVES IN DIGITAL

• Increase of products and services available for remote selling/signature (e.g. POS; main SME lending products)
• Digital Identity adoption: >#1.3 m clients
• Digital branch empowerment on commercial activities (accounting for > 50% of total remote sales in Q4 2023)
• Evolution of virtual assistance, impacting further inbound optimization and enabling new commercial proposition
• Launch of innovative in-App Videocollaboration
• Deployment of new omnichannel Marketing Automation platform

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

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)