Banco BPM SpA

Investor Presentation • Nov 7, 2023

Group 9M 2023 Results Presentation

07 November 2023

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 question and answer 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.
• 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 30/09/2022, 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 30/09/2023 press release published on 7 November 2023. In light of this, it should be noted that the balance sheet as at 31/12/2022 and that the quarterly income statements 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 December 2022 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.
• 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 for the purposes of preparing 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.
• 2023 Group capital ratios included in this presentation are calculated including the interim profit, subject to ECB authorization, and deducting the amount of the dividend pay-out determined according to the current regulation (see the methodological note number 6 included in the 9M 2023 results press release published on 7 November 2023 for further details).

Agenda

5
10
23
25

1

Executive Summary

9M OF STRONG AND SUSTAINABLE PROFITABILITY

Notes: 1. Annualised. 2. 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).

EXCELLENT P&L PERFORMANCE & SOLID FUNDAMENTALS CONFIRMED INVESTMENT GRADE RATING ALSO BY S&P

CONFIRMING A GROWING PROFITABILITY TRAJECTORY

Notes: 1. Includes: NII, Net fees, Income from insurance business and income from associates. 2. Managerial estimate. 3. Authorization received, to come into effect with the capital position as at 31/12/2023. 4. Pro-forma data as at 30/09/2023, including the impact of the Danish Compromise. Stated CET 1 ratio at 14.3% and stated MDA buffer at 559bps.

Ongoing progress in Digital Banking

MAIN DIGITAL-ENABLED ACHIEVEMENTS

% Remote-based transaction

% Remote & Omnichannel Sales¹ % Commercial contacts in the Digital Branch²

Notes: 1. Remote Sales: Self or Remotely-assisted full digital Sales; Omnichannel Sales: significantly digital channels-contributed branch sales (e.g. on-line price quotation and product selection/request). 2. Outbound commercial calls / Total contacts (including inbound and outbound calls, e-mails, chats).

Sustainability: integration in all key areas

ENVIRONMENTAL & SOCIAL GOVERNANCE

BUSINESS

• NZBA joined in March 2023, with 5 priority sectors identified¹
• 59.3% Green new loans to Corporate & Enterprises in 9M 23²
• ~€100m of new loans to Non-Profit sector in 9M 23

PEOPLE & COMMUNITY

• Women in managerial positions: +31% since 2021

for employees in 9M 23

• €5.3m (+€1m Y/Y) donations & contributions for «E» & «S» projects in 9M 23 (o/w: €3.4m through our Foundations)

• €1.5bn green bonds issued in 9M 2023 • New Green Social & Sustainability Bonds Framework aligned with Taxonomy³

• 27% share of ESG corporate bonds in the

• 131.4K hours of ESG training • 7.4K hours of corporate community services
  • 3.8K hours of ESG awareness training for SMEs and of financial education in 9M 23

published on 7 Nov. 2023

proprietary ptf. as at 30/09/23

ORGANISATION & POLICIES

• Sustainability Committee at Board level established in April 2023, following the renewal of the Board
• Published Guidelines on respecting and safeguarding human rights

STRATEGY

New ESG Action Plan to be fully integrated in the upcoming Strategic Plan

• ESG internal workgroups rationalized in 4 interlinked areas (Risk Mgmt., Credit, Finance & WM and Disclosure), with strong focus on the new incoming Corporate Sustainability Reporting Directive

Note: 1. Oil & Gas, Power generation, Cement, Automotive and Coal. 2. New lending to Corporate and Enterprises belonging to green/low transition risk sectors and green lending products to Corporate and Enterprise segments (excluding small business & institutional segments). 3. Eligible categories Taxonomy aligned are: Energy, Construction and Real Estate activities and Manufacture of basic chemical.

improved to Positive

Key Highlights

9M 2023: Strong profitability drivers, with Net Income almost doubled Y/Y

	P&L HIGHLIGHTS
€ m	Q2 23	Q3 23	Chg. Q/Q	9M 22	9M 23	Chg. Y/Y
Net interest income	810	869	7.3%	1,590	2,422	52.3%
Net fees and commissions	470	460	-2.0%	1,440	1,408	-2.2%
Income from associates	24	34		98	95
Income from insurance (BBPM Vita & Assicurazioni)	15	8		9	33
«Core» Revenues	1,319	1,371	4.0%	3,137	3,957	26.2%
Net financial result	-8	-23		252	-65
o/w Cost of certificates	-64	-76		-38	-188
o/w Other NFR	55	53		290	123
Other net operating income	17	19		52	53
Total revenues	1,327	1,367	3.0%	3,441	3,945	14.6%
Operating costs	-635	-635		-1,884	-1,910
o/w Banking business costs	-629	-632	0.5%	-1,882	-1,898	0.8%
Pre-Provision income	692	732	5.8%	1,557	2,035	30.7%
Loan loss provisions	-121	-125	2.9%	-498	-384	-22.9%
Other1	-30	-30		-84	-58
Profit from continuing operations ( pre-tax)	541	578	6.7%	975	1,593	63.3%
Taxes	-170	-183		-321	-500
Net profit from continuing operations	372	395	6.1%	654	1,093	67.1%
Systemic charges and other2	-13	-76		-167	-150
Net income	359	319	-11.2%	487	943	93.6%

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. Other includes: PPA and other elements (after tax). 3. Includes: NII, Net fees, Income from insurance business and income from associates.

2. Key Highlights 11

See slides 26 and 27 for more details.

NII: another quarter of growth

NII sensitivity

• CURRENT INTEREST RATE SCENARIO:

• «Observed» deposit beta: ~33%
• 12M Sensitivity (+100bps): ~€300m
• POTENTIAL NEW SCENARIO:
  • In case of an inversion of the rate trend, wide room to limit NII sensitivity by expanding the size of the «replicating portfolio»

Solid franchise value: low risk loan portfolio, highly secured, well positioned

Gross performing customer loans data excluding GACS, Senior Notes, REPOs and Leasing; corresponding to a net exposure of €99.1bn as at 30/09/2023.

Managerial Analysis.

Notes: 1. Businesses with turnover up to €5m.

Solid franchise value: total customer funding up by €6.1bn YTD

Analysis of total customer funding¹

€ bn

Capital-protected Certificates

AUC

AUM

"Core" Direct (C/A & Deposits)

HIGH-VALUE & HEALTHY DEPOSIT BASE

• Huge retail base
• Guaranteed deposits >€57bn³ : 81% of Household deposits are guaranteed by the Guarantee Scheme (63% incl. SME & Corporates)
• Average retail (Households & SME retail) deposit size: ~€20K

Notes: 1. "Core" Direct + Indirect customer funding and Certificates.

2. Managerial data. 3. Deposits <100K covered by FITD. 4. Households, SME retail and SME corporate.

Net Fees at €1,408m in 9M 2023, supported by Commercial Banking

Commercial Banking fees:

• €750m in 9M 23, +0.5% Y/Y, notwithstanding higher costs on synthetic securitizations (-€25m Y/Y) and the cancellation of fees on excess liquidity on current accounts (~-€30m Y/Y), more than offset by the remaining components, with a strong contribution from cash management & payment services (+€41m Y/Y, +30% Y/Y)

Management, Intermediation and Advisory fees:

• €658m in 9M 23, -5.1% Y/Y mainly due to lower fees from Funds & Sicav (-€56m), partially compensated by higher fees from certificates (+€20m) and AUC products (+€13m)

1. Management data of the commercial network. Include Funds & Sicav, Bancassurance, Certificates and Managed Accounts & Funds of Funds.

Strict cost control: Cost/Income down at 48.4% in 9M 23 (54.7% in 9M 22)

Q1 23 Q2 23 Q3 23

Note: 1. "Banking business" excludes "Insurance business" costs consolidated starting from Q3 2022. 2. Total Costs including Insurance business costs since Q3 2022. Headcount: 19,953 employees at 30/09/2023, -204 vs. 31/12/2022. Retail network at 1,358 at 30/09/2023, -69 vs. 31/12/2022 .

Asset quality turnaround: NPEs and Cost of Risk at record low

NPE EVOLUTION: -€26.1BN VS. PRE-MERGER LEVEL, THANKS TO TOTAL DERISKING OF €34.5BN

2016 data based on IAS 39 accounting standards.

Note: 1. As per the EU Transparency exercise.

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

Prudent provisioning policy with strong NPE coverage and improving migration rates

Optimization and diversification of Debt securities portfolio

• IT govies on total govies down to 38.8% from 99.1% at YE 2016

• Share of IT govies at FVOCI down to 20.8% from 64% at YE 2016

THIS SLIDE REFERS TO THE SECURITIES PORTFOLIO OF THE BANKING BUSINESS. Notes: 1. Pre-IFRS 9 accounting criteria, not fully comparable with current ones.

2. Key Highlights 19

Reserves of debt securities at FVOCI and Net Financial Result

Very low sensitivity of debt securities portfolio at FVOCI confirmed

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

Notes: 1. Portfolio sensitivity for a 1 bp rate variation, including hedging strategies. Managerial data.

Sound liquidity & funding position, with ratios well above minimum requirements and plan targets

Notes: 1. Include assets received as collateral and is net of accrued interests. Managerial data, net of haircut 2. Excludes the minimum reserve requirements. 3. Weighted amount. 4. Issued under the Green, Social and Sustainability Bonds Framework. 5. Short- and longterm Issuer Credit Ratings. 6. Managerial estimate.

Danish Compromise application authorized: CET 1 ratio PF at 14.9%

STRONG ORGANIC CAPITAL GENERATION: +150BPS IN 9M 2023¹

All data include also the profit of the period, subject to ECB authorization. Notes: 1. Excluding the impact from Danish Compromise. 2. Accrual based on a 50% dividend payout ratio. 3. MDA buffer equivalent to buffer vs. CET 1 Minimum Requirement. 4. Equal to 2.5x the potential tax amount (€152m), as provided for by the law.

Final Remarks

SOLID TRACK RECORD & GROWING SHAREHOLDER VALUE CREATION: READY FOR THE NEW STRATEGIC PLAN

RAISING OUR AMBITIONS FOR:

▪ PROFITABILITY ▪ SHAREHOLDER REMUNERATION

NEW STRATEGIC PLAN TO BE PRESENTED ON DECEMBER 12TH

Note: 1. Corresponding to a Net income of > €1,200m. 2. Corresponding to a Net income of ~€1,360m. 3. Pro-forma data as at 30/09/2023, including the impact of the Danish Compromise.

4

9M 2023 Performance Details

P&L: 9M 2023 comparison

Reclassified income statement (€m)	9M 22	9M 23	Chg. Y/Y %
Net interest income	1,590.5	2,421.6	52.3%
Income (loss) from invest. in associates carried at equity	97.6	94.7	-3.0%
Net interest, dividend and similar income	1,688.1	2,516.3	49.1%
Net fee and commission income	1,440.1	1,408.2	-2.2%
Other net operating income	52.1	52.6	0.9%
Net financial result	251.9	-65.3	n.m
Income from insurance business	8.6	32.7	n.m.
Other operating income	1,752.7	1,428.2	-18.5%
Total income	3,440.7	3,944.6	14.6%
Personnel expenses	-1,210.5	-1,210.4	0.0%
Other administrative expenses	-477.8	-501.9	5.0%
Amortization and depreciation	-195.2	-197.7	1.3%
Operating costs	-1,883.5	-1,910.0	1.4%
Profit (loss) from operations	1,557.2	2,034.5	30.7%
Net adjustments on loans to customers	-497.6	-383.6	-22.9%
Profit (loss) on FV measurement of tangible assets	-48.4	-44.1	-8.7%
Net adjustments on other financial assets	-8.6	0.1	n.m
Net provisions for risks and charges	-29.0	-13.8	-52.2%
Profit (loss) on the disposal of equity and other invest.	1.7	0.1	-95.7%
Income (loss) before tax from continuing operations	975.5	1,593.2	63.3%
Tax on income from continuing operations	-321.4	-500.1	55.6%
Income (loss) after tax from continuing operations	654.0	1,093.1	67.1%
Systemic charges after tax	-151.8	-127.3	-16.2%
Realignment of fiscal values to accounting values	0.0	0.0	n.m.
Goodwill impairment	-8.1	0.0	n.m.
Income (loss) attributable to minority interests	0.2	0.4	n.m.
Purchase Price Allocation after tax	-32.1	-21.5	-33.1%
Fair value on own liabilities after Taxes	25.3	-1.4	n.m
Net income (loss) for the period	487.4	943.4	93.6%

P&L: Quarterly results

Reclassified income statement (€m)	Q1 22	Q2 22	Q3 22	Q4 22	Q1 23	Q2 23	Q3 23	Chg. Q/Q	Chg. Q/Q %
Net interest income	511.5	527.6	551.3	724.0	743.0	809.9	868.7	58.7	7.3%
Income (loss) from invest. in associates carried at equity	42.4	15.7	39.5	38.4	36.3	24.3	34.1	9.8	40.5%
Net interest, dividend and similar income	554.0	543.3	590.8	762.3	779.3	834.2	902.8	68.6	8.2%
Net fee and commission income	480.1	486.8	473.2	447.3	478.7	469.5	460.0	-9.5	-2.0%
Other net operating income	16.7	15.0	20.4	19.5	16.9	16.5	19.1	2.6	16.0%
Net financial result	127.9	48.9	75.1	-9.0	-34.1	-8.4	-22.8	-14.4	n.m.
Income from insurance business			8.6	13.1	9.6	15.0	8.2	-6.8	-45.5%
Other operating income	624.7	550.7	577.3	470.9	471.0	492.7	464.5	-28.1	-5.7%
Total income	1,178.7	1,094.0	1,168.1	1,233.2	1,250.3	1,326.9	1,367.3	40.5	3.0%
Personnel expenses	-407.9	-405.3	-397.3	-391.9	-405.4	-402.9	-402.2	0.7	-0.2%
Other administrative expenses	-155.6	-162.7	-159.6	-170.4	-170.2	-166.6	-165.1	1.6	-0.9%
Amortization and depreciation	-61.2	-64.1	-69.9	-84.6	-64.5	-65.2	-68.1	-2.9	4.4%
Operating costs	-624.7	-632.1	-626.8	-646.9	-640.1	-634.7	-635.3	-0.6	0.1%
Profit (loss) from operations	554.0	461.9	541.3	586.3	610.3	692.2	732.1	39.9	5.8%
Net adjustments on loans to customers	-151.1	-152.6	-193.9	-184.7	-137.5	-121.3	-124.8	-3.6	2.9%
Profit (loss) on FV measurement of tangible assets	-1.2	-39.6	-7.5	-60.0	-1.9	-30.5	-11.8	18.7	-61.4%
Net adjustments on other financial assets	-3.2	-2.3	-3.0	-0.5	0.7	0.5	-1.0	-1.5	n.m
Net provisions for risks and charges	-8.1	-4.6	-16.3	-28.2	2.5	0.9	-17.2	-18.0	n.m
Profit (loss) on the disposal of equity and other invest.	1.5	-0.1	0.3	0.5	0.2	-0.4	0.3	0.7	n.m
Income (loss) before tax from continuing operations	391.9	262.8	320.9	313.4	474.2	541.4	577.6	36.1	6.7%
Tax on income from continuing operations	-138.4	-92.6	-90.4	-85.6	-147.4	-169.7	-183.0	-13.3	7.8%
Income (loss) after tax from continuing operations	253.4	170.2	230.4	227.8	326.8	371.8	394.6	22.8	6.1%
Systemic charges after tax	-74.6	0.0	-77.3	0.0	-57.3	-0.4	-69.6	-69.3	n.m.
Goodwill impairment	0.0	-8.1	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	-0.3	-74.0%
Purchase Price Allocation after tax	-8.5	-7.2	-16.5	-10.2	-7.4	-6.8	-7.3	-0.4	6.3%
Fair value on own liabilities after Taxes	0.2	25.5	-0.3	-20.5	3.3	-5.8	1.2	7.0	n.m
Net income (loss) for the period	170.6	180.4	136.4	197.6	265.3	359.1	319.0	-40.1	-11.2%

Balance Sheet

Reclassified assets (€ m)	Restated			Chg. YTD		Chg. Q/Q
	31/12/22	30/06/23	30/09/23	Value	%	Value	%
Cash and cash equivalents	13,131	21,845	17,617	4,486	34.2%	-4,228	-19.4%
Loans and advances measured at AC	113,633	112,014	111,926	-1,707	-1.5%	-88	-0.1%
- Loans and advances to banks	4,178	3,856	3,877	-301	-7.2%	21	0.6%
1 - Loans and advances to customers ( )	109,455	108,158	108,048	-1,407	-1.3%	-109	-0.1%
Other financial assets	43,094	44,112	44,853	1,759	4.1%	741	1.7%
- Assets measured at FV through PL	8,207	8,084	8,310	103	1.3%	226	2.8%
- Assets measured at FV through OCI	9,381	10,135	10,202	821	8.8%	67	0.7%
- Assets measured at AC	25,506	25,894	26,342	836	3.3%	448	1.7%
Financial assets pertaining to insurance companies	5,893	6,002	5,805	-88	-1.5%	-197	-3.3%
Equity investments	1,652	1,628	1,651	-1	0.0%	23	1.4%
Property and equipment	3,035	2,825	2,795	-240	-7.9%	-30	-1.1%
Intangible assets	1,255	1,242	1,235	-20	-1.6%	-6	-0.5%
Tax assets	4,585	4,324	4,196	-389	-8.5%	-128	-3.0%
Non-current assets held for sale and discont. operations	196	486	529	334	170.4%	43	8.9%
Other assets	3,335	4,012	3,856	521	15.6%	-156	-3.9%
Total	189,808	198,490	194,463	4,656	2.5%	-4,027	-2.0%
Reclassified liabilities (€ m)	Restated			Chg. YTD		Chg. Q/Q
	31/12/22	30/06/23	30/09/23	Value	%	Value	%
Banking Direct Funding	120,639	121,155	120,705	66	0.1%	-450	-0.4%
- Due from customers	107,679	104,801	103,585	-4,095	-3.8%	-1,217	-1.2%
- Debt securities and financial liabilities designed at FV	12,960	16,353	17,121	4,161	32.1%	767	4.7%
Insurance Direct Funding & Insurance liabilities	5,743	5,819	5,615	-128	-2.2%	-204	-3.5%
- Financial liabilities measured at FV pertaining to insurance companies	1,459	1,476	1,420	-39	-2.6%	-56	-3.8%
- Liabilities pertaining to insurance companies	4,284	4,343	4,194	-89	-2.1%	-149	-3.4%
Due to banks	32,636	22,870	22,623	-10,013	-30.7%	-247	-1.1%
Debts for Leasing	628	497	498	-129	-20.6%	1	0.3%
Other financial liabilities designated at FV	13,598	26,795	27,774	14,176	104.3%	979	3.7%
Other financial liabilities pertaining to insurance companies	0	2	2	2	4	0	2.1%
Liability provisions	989	866	874	-114	-11.6%	8	1.0%
Tax liabilities	268	319	294	26	9.6%	-26	-8.0%
Liabilities associated with assets held for sale	26	245	244	218	844.0%	-2	-0.7%
Other liabilities	2,266	6,534	2,218	-48	-2.1%	-4,316	-66.1%
Minority interests	1	0	0	0	-60.3%	0	-25.3%
Shareholders' equity	13,016	13,388	13,617	601	4.6%	229	1.7%
Total	189,808	198,490	194,463	4,656	2.5%	-4,027	-2.0%

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

30/09/22 31/12/22 30/06/23 30/09/23

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

Direct funding from the Banking business

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 (€1.1bn on 30/09/2023 vs €1.4bn on 30/06/2023, vs €1.5bn on 31/12/2022 and €0.6bn on 30/09/2022), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

Successful issuance activity and well diversified liability profile

Wholesale bonds issued since 2022 at €5.75bn, with a well diversified seniority

• Wholesale bonds issued for a total of €3.0bn in 9M 2023 (o/w: 50% «green»)
• In rolling out its funding plan, Banco BPM will consider not only regulatory MREL requirements but also rating agency thresholds

Bonds & Certificates outstanding

Nominal amounts as at 30/09/2023

Managerial data.

Note: 1. Issued under the Green, Social and Sustainability Bonds Framework. 2. Private placement. 3. Include also Repos with underlying retained Covered Bonds.

Bond maturities: limited and manageable amounts

Following the reimbursement in 9M 2023 of institutional bonds for a total of €1.9bn (of which: €1.4bn Covered Bonds and €0.5bn Senior Preferred), the Group faces rather limited and manageable amounts of bond maturities in the future

Indirect customer funding up at €100bn: +13.8%Y/Y

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

Direct Funding (see slide 30).

• Total Indirect Customer Funding up at €100.0bn, from €99.6bn as at 30/06/2023, €91.3bn as at 31/12/2022 and €87.8bn as at 30/09/2022
• The increase in Q3 2023 is driven by Assets under Custody, thanks to positive volume effect

Managerial data of the commercial network. AuM from bancassurance as at 30/09/2023 includes €5.6bn indicated under the balance sheet item "Insurance Direct Funding and Insurance liabilities" (€5.7bn as at YE 2022 and €5.8bn as at 30/06/2023). Note: 1. AuC data are net of capital-protected certificates, as they have been regrouped under

33 4. 9M 2023 Performance Details

Net Customer Loans

Net Customer Loans

Performing Loans NPE

						Change
Net Performing Customer Loans	30/09/22	31/12/22	30/06/23	30/09/23	In % Y/Y	In % YTD	In % Q/Q
Core customer loans	102.9	102.8	100.9	99.1	-3.7%	-3.6%	-1.8%
- Medium/Long-Term loans	80.6	80.4	79.3	78.6	-2.4%	-2.2%	-0.8%
- Current Accounts	8.9	8.4	8.6	7.6	-15.0%	-9.4%	-12.1%
- Cards & Personal Loans	1.0	1.0	0.8	0.7	-31.0%	-26.8%	-11.2%
- Other loans	12.3	13.0	12.2	12.1	-1.5%	-6.6%	0.0%
GACS Senior Notes	2.0	1.9	1.6	1.5	-26.4%	-22.9%	-7.1%
Repos	1.2	1.9	3.1	5.1	317.5%	169.6%	61.8%
Leasing	0.6	0.5	0.5	0.4	-24.7%	-18.2%	-6.3%
Total Net Performing Loans	106.7	107.1	106.1	106.1	-0.6%	-1.0%	0.0%

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

Analysis of Customer loan portfolio

Performing customer loan stock breakdown as at 30/09/2023

Managerial data,

Breakdown by customer segments Breakdown by geographic area (excluding GACS Senior Notes)

9M 2023 NEW LENDING AT €14.6bn² :

• 95% concentrated in the best rating classes (Low-Mid categories)³
• 75% in Northern Italy

Notes: 1. Financials include REPOs with CC&G. . 2. Management data, M/L-term Mortgages (Secured and Unsec.), Personal Loans, Pool and Structured Finance (including revolving). 3. Share on rated positions of Households, Corporate, Enterprises and Small Businesses.

NPE migration dynamics

Asset Quality details

Gross exposures	30/09/2022	31/12/2022	30/06/2023	30/09/2023		Chg. Y/Y	Chg. YTD		Chg. Q/Q
€/m and %					Value	%	Value	%	Value	%
Bad Loans	1,997	2,047	1,868	1,630	-367	-18.4%	-417	-20.4%	-238	-12.7%
UTP	3,218	2,639	2,280	2,169	-1,048	-32.6%	-470	-17.8%	-110	-4.8%
Past Due	78	82	77	91	13	16.6%	9	10.8%	14	17.9%
NPE	5,293	4,769	4,225	3,891	-1,402	-26.5%	-878	-18.4%	-335	-7.9%
Performing Loans	107,139	107,520	106,484	106,499	-640	-0.6%	-1,021	-1.0%	15	0.0%
TOTAL CUSTOMER LOANS	112,432	112,289	110,709	110,390	-2,042	-1.8%	-1,899	-1.7%	-319	-0.3%

Net exposures	30/09/2022	31/12/2022	30/06/2023	30/09/2023		Chg. Y/Y	Chg. YTD		Chg. Q/Q
€/m and %					Value	%	Value	%	Value	%
Bad Loans	744	721	711	673	-71	-9.6%	-48	-6.6%	-38	-5.4%
UTP	1,876	1,575	1,321	1,235	-641	-34.2%	-340	-21.6%	-85	-6.5%
Past Due	56	60	56	64	8	14.1%	4	6.7%	8	14.6%
NPE	2,676	2,356	2,088	1,972	-704	-26.3%	-383	-16.3%	-116	-5.5%
Performing Loans	106,701	107,099	106,070	106,076	-625	-0.6%	-1,023	-1.0%	6	0.0%
TOTAL CUSTOMER LOANS	109,377	109,455	108,158	108,048	-1,329	-1.2%	-1,407	-1.3%	-109	-0.1%

Coverage ratios %	30/09/2022	31/12/2022	30/06/2023	30/09/2023
Bad Loans	62.7%	64.8%	61.9%	58.7%
UTP	41.7%	40.3%	42.1%	43.1%
Past Due	28.1%	26.9%	27.6%	29.6%
NPE	49.4%	50.6%	50.6%	49.3%
Performing Loans	0.41%	0.39%	0.39%	0.40%
TOTAL CUSTOMER LOANS	2.7%	2.5%	2.3%	2.1%

Notes: 1. Loans and advances to customers at Amortized Cost, including also the GACS senior notes. 4. 9M 2023 Performance Details

Capital position in detail¹

FULLY LOADED CAPITAL		31/12/2022
POSITION (€/m and %)	30/09/2022	Restated	31/03/2023	30/06/2023	30/09/2023
CET 1 Capital	7,397	7,686	8,076	8,386	8,381
T1 Capital	8,786	9,076	9,466	9,776	9,771
Total Capital	10,576	10,800	11,192	11,484	11,510
RWA	61,399	59,859	59,514	58,859	58,501
CET 1 Ratio	12.05%	12.84%	13.57%	14.25%	14.33%
AT1	2.26%	2.32%	2.34%	2.36%	2.38%
T1 Ratio	14.31%	15.16%	15.91%	16.61%	16.70%
Tier 2	2.92%	2.88%	2.90%	2.90%	2.97%
Total Capital Ratio	17.23%	18.04%	18.81%	19.51%	19.68%

Leverage ratio Fully Loaded as at 30/09/2023: 4.97%

FULLY LOADED RWA COMPOSITION (€/bn)	30/09/2022	31/12/2022 Restated	31/03/2023	30/06/2023	30/09/2023
CREDIT & COUNTERPARTY RISK	52.9	50.8	50.6	49.8	49.6
of which: Standard	27.7	26.1	26.5	26.6	26.3
MARKET RISK	1.4	1.4	1.3	1.4	1.3
OPERATIONAL RISK	6.9	7.4	7.4	7.4	7.4
CVA	0.2	0.3	0.2	0.2	0.2
TOTAL	61.4	59.9	59.5	58.9	58.5

Notes: 1. Indicated data are stated, without application of the Danish Compromise. Capital data include also the profit of the period, subject to ECB authorization, net of the amount of accrued dividends, based on a payout ratio of 50%. 2. 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 half-year 2023 results, published on 2 August 2023.

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)