Banco BPM SpA

Investor Presentation • Aug 2, 2023

Group H1 2023 Results Presentation

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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***

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. Therefore, the income statement for the first as second quarter of 2023 and the balance sheet as of 31/03/2023 and 30/06/2023 have been prepared by applying this new accounting standard (for more details, please refer to the methodological notes of the results as of 30/06/2023 press release published on 2 August 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 H1 2023 results press release published on 2 August 2023 for further details).

Agenda

1	Executive Summary	5
2	Key Highlights	11
3	Final Remarks	24
4	H1 2023 Performance Details	27

1

Executive Summary

Strong overdelivery & business model enhancement

Notes: 1. Including estimated impact of Danish Compromise. Stated CET 1 ratio at 14.2% and stated MDA buffer at 552bps. 2. Managerial data. 3. Not included in the capital ratios as at 30/06/2023.

Top-level quarterly results leading to a new guidance

RECORD QUARTERLY PROFITABILITY…

… SUPPORTING A FURTHER UPGRADE IN 2023 GUIDANCE

Transformational initiatives: 1/3

Strengthened «ownership» strategy for key high-value added businesses

Transformational initiatives: 2/3

Creation of the second largest player in the Payments business in Italy

Transformational initiatives: 3/3 Set up of the new Bancassurance organizational model

CALL ON 65% OF VERA VITA AND VERA ASSICURAZIONI EXERCISED IN MAY 2023

CLOSING OF TRANSACTION EXPECTED IN Q4:

• CAA to purchase 65% stake in BBPM Assicurazioni and in Vera Assicurazioni¹ , for a consideration of ~€260m (total valuation of the non-life business €400m)
• Signing of a 20-year distribution agreement

TRANSACTION DETAILS PLANNED ORGANIZATIONAL STRUCTURE

STRATEGIC RATIONALE

• 1. Single Insurance Group, with unified governance and oversight by BBPM Vita
• 2. Single commercial offer to customers across the entire BBPM network by unifying product catalogue
• 3. Unique in-house product factory capable of developing potential synergies
• 4. Favourable capital treatment (Danish Compromise)

Key Highlights

Outstanding P&L performance: H1 2023 Net Income at €624m (+77.9% Y/Y)

P&L HIGHLIGHTS		New profitability trajectory
€ m	Q1 23	Q2 23	Chg. Q/Q	H1 22 (restated)	H1 23	Chg. Y/Y		NII + Net Fees
Net interest income	743	810	9.0%	1,039	1,553	49.4%		1,969	2,006	2,501
Net fees and commissions	479	470	-1.9%	967	948	-1.9%	1,771
NII + Net fees and commissions	1,222	1,279	4.7%	2,006	2,501	24.7%
Net financial result	-34	-8		177	-42
o/w Cost of certificates	-49	-64		-22	-112		H1 20	H1 21	H1 22	H1 23
o/w Other NFR	14	55		199	70			Cost/Income
Income from insurance business	10	15			25
Other1	53	41		90	94		64%	55%	55%	49%
Total revenues	1,250	1,327	6.1%	2,273	2,577	13.4%
Operating costs	-640	-635	-0.8%	-1,257	-1,275	1.4%
Pre-Provision income	610	692	13.4%	1,016	1,302	28.2%	H1 20	H1 21	H1 22	H1 23
Loan loss provisions	-137	-121	-11.8%	-304	-259	-14.8%		Net Income
Other2	1	-30		-58	-28
Profit from continuing operations (Pre-tax income)	474	541	14.2%	655	1,016	55.2%				624
Taxes	-147	-170		-231	-317			361	351
Net profit from continuing operations	327	372	13.8%	424	699	64.9%	105
Systemic charges and other3	-61	-13		-73	-74
Net income	265	359	35.3%	351	624	77.9%	H1 20	H1 21	H1 22	H1 23

Notes: 1. Includes: Income from associates and other revenues. 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. Other includes: PPA and other elements (after tax).

See slides 28 and 29 for more details

NII growth trend confirmed with further guidance improvement

Solid franchise value: customer loans

Share of "Green" new lending to Corporate and Enterprises at 55.8%

Resilient stock of customer loans, with an increased share of secured exposure

€ bn

H1 2023 NEW LENDING AT €10.2bn² :

• 96% concentrated in the best rating classes (Low-Mid categories)³
• 76% in Northern Italy
• New lending to Corporate and Enterprises: 55.8% "green"⁴

Total Customer Loans to Households and Non-Financial Companies at €90.1bn as at 30/06/2023

Notes: 1. See slide 37 for details. 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. 4. 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). 5. Small Businesses with turnover up to €5m.

Solid franchise value: customer funding

Customer funding¹up by €6.7bn YTD (+€4.3bn in Q2)

TOTAL CUSTOMER FUNDING driven by strong net flows and market performance:

• AUC +€7.3bn YTD, (+€3.7bn in Q2)
• AUM +1.1bn YTD (+€0.4bn in Q2)

HIGH-VALUE & RESILIENT DEPOSIT BASE

• Huge retail base
• Guaranteed deposits >€57bn¹
• Average retail (Households & SME retail) deposit size: ~€21K

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

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

Net Fees at €948m in H1 2023, mainly supported by Commercial Banking

• Strong performance from payment services (+€26m Y/Y and +€8m Q/Q) and fees on lending (+€5m Y/Y)

Management, Intermediation and Advisory fees:

• €450m in H1 23, -5.8% Y/Y mainly due to lower fees from Funds & Sicav (-€51m), partially compensated by higher fees from certificates (+€16m) and AUC products (+€12m)
• Resilient trend in Q2 (flat Q/Q)

Strict cost control: Cost/Income down at 47.8% in Q2 23 (57.8% in Q2 22)

Note: 1. "Banking business" excludes "Insurance business" costs consolidated starting from Q3 2022.

Continuous asset quality improvement supporting the reduction of the Cost of Risk

• Gross and net NPE ratios down at 3.8% and 1.9%, respectively: well below the original Strategic Plan targets for YE 2024 (4.8% gross and ~2.5% net)
• NPE disposals of €200m executed in Q2 2023, as part of the >€700m planned, with CoR already frontloaded
• Overlays at ~€200m as at 30/06/2023 (vs. ~€160m as at 31/03/2023)

2016 and 2017 data based on IAS 39 accounting standards.

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 low default rate

Optimization and increased diversification of Debt securities portfolio

• IT govies on total govies down to 37.6% from 99.1% at YE 2016

• Share of IT govies at FVOCI down to 20.7% 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.

Reserves of debt securities at FVOCI and Net Financial Result

€ m

Very low sensitivity of debt securities portfolio at FVOCI confirmed

Managerial data.

Breakdown of Net Financial Result

• Better results from option hedging on FVOCI portfolio and from financial assets at FV drive the improvement in Other NFR components in Q2 2023
• Cost of Certificates, classified at NFR, in accordance with Bank of Italy accounting schemes, impacted by ongoing increase in interest rates

THIS SLIDE REFERS TO THE SECURITIES PORTFOLIO OF THE BANKING BUSINESS. Notes: 1. Portfolio sensitivity for a 1 bps rate variation, including hedging strategies.

2. Key Highlights 21

Rock-solid liquidity & funding position: LCR at 179% and NSFR¹ at >130%

FUNDING

• €2.25bn wholesale bonds issued in H1 2023, mainly «green» (€1.5bn)
• Publication of our second Green Social & Sustainability Bonds Report in July

At the end of June 2023, Moody's improved the Outlook on Banco BPM's ratings from Stable to Positive

Notes: 1. Managerial data. 2. Include assets received as collateral and is net of accrued interests. 3. Excluding the minimum reserve requirements. 4. Weighted amount. 5. Issued under the Green, Social and Sustainability Bonds Framework. 6. Private placement.

Strong capital generation, with CET 1 ratio up at 14.8%¹

All data include also the profit of the period, subject to ECB authorization. Notes: 1. Includes the expected impact of the application of the Danish Compromise. 2. Accrual based on a 50% dividend payout ratio.

Final Remarks

Outstanding results…

PROFITABILITY: OVERDELIVERING ON THE NEW TRAJECTORY

SOLID BALANCE SHEET: ADDITIONAL DERISKING AND STRONG LIQUIDITY & FUNDING

CAPITAL: MATERIAL GENERATION CAPACITY

… leading to a further upgrade in P&L guidance

Profitability Outlook

2024 EPS GUIDANCE AT ~€90 CENTS (+12.5% Y/Y)

ROOM FOR UPWARD REVISION IN THE NEXT STRATEGIC PLAN

ATTRACTIVE DIVIDEND YIELD

~9% in 2023 and ~10% in 2024² , at current payout level

CAPITAL DISTRIBUTION

Strong profitability & capital generation

to be reflected in additional shareholder remuneration in the upcoming Strategic Plan (Q4 2023)

Notes: 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). For 2023E and 2024E data the TSE as at 30/06/23 has been considered. 2. Calculated on BBPM's share price as of 01/08/2023.

4

H1 2023 Performance Details

Quarterly Stated P&L results

	Q1 22	Q2 22	Q3 22	Q4 22
Reclassified income statement (€m)	(restated)	(restated)	(restated)	(restated)	Q1 23	Q2 23	Chg. Q/Q	Chg. Q/Q %
Net interest income	511.5	527.6	551.3	724.0	743.0	809.9	67.0	9.0%
Income (loss) from invest. in associates carried at equity	42.4	15.7	39.5	38.4	36.3	24.3	-12.0	-33.1%
Net interest, dividend and similar income	554.0	543.3	590.8	762.3	779.3	834.2	54.9	7.0%
Net fee and commission income	480.1	486.8	479.7	453.7	478.7	469.5	-9.1	-1.9%
Other net operating income	16.7	15.0	20.4	19.5	16.9	16.5	-0.4	-2.4%
Net financial result	127.9	48.9	75.1	-9.0	-34.1	-8.4	25.8	-75.5%
Income from insurance business			2.1	6.6	9.6	15.0	5.4	55.7%
Other operating income	624.7	550.7	577.3	470.9	471.0	492.7	21.6	4.6%
Total income	1,178.7	1,094.0	1,168.1	1,233.2	1,250.3	1,326.9	76.6	6.1%
Personnel expenses	-407.9	-405.3	-397.3	-391.9	-405.4	-402.9	2.5	-0.6%
Other administrative expenses	-155.6	-162.7	-159.6	-170.4	-170.2	-166.6	3.6	-2.1%
Amortization and depreciation	-61.2	-64.1	-69.9	-84.6	-64.5	-65.2	-0.7	1.1%
Operating costs	-624.7	-632.1	-626.8	-646.9	-640.1	-634.7	5.4	-0.8%
Profit (loss) from operations	554.0	461.9	541.3	586.3	610.3	692.2	81.9	13.4%
Net adjustments on loans to customers	-151.1	-152.6	-193.9	-184.7	-137.5	-121.3	16.2	-11.8%
Profit (loss) on FV measurement of tangible assets	-1.2	-39.6	-7.5	-60.0	-1.9	-30.5	-28.6	n.m.
Net adjustments on other financial assets	-3.2	-2.3	-3.0	-0.5	0.7	0.5	-0.2	-28.3%
Net provisions for risks and charges	-8.1	-4.6	-16.3	-28.2	2.5	0.9	-1.6	-64.6%
Profit (loss) on the disposal of equity and other invest.	1.5	-0.1	0.3	0.5	0.2	-0.4	-0.5	n.m
Income (loss) before tax from continuing operations	391.9	262.8	320.9	313.4	474.2	541.4	67.2	14.2%
Tax on income from continuing operations	-138.4	-92.6	-90.4	-85.6	-147.4	-169.7	-22.2	15.1%
Income (loss) after tax from continuing operations	253.4	170.2	230.4	227.8	326.8	371.8	45.0	13.8%
Systemic charges after tax	-74.6	0.0	-77.3	0.0	-57.3	-0.4	56.9	-99.4%
Goodwill impairment	0.0	-8.1	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	0.4	n.m
Purchase Price Allocation after tax	-8.5	-7.2	-16.5	-10.2	-7.4	-6.8	0.6	-7.7%
Fair value on own liabilities after Taxes	0.2	25.5	-0.3	-20.5	3.3	-5.8	-9.1	n.m
Net income (loss) for the period	170.6	180.4	136.4	197.6	265.3	359.1	93.8	35.3%

2022 figures 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: H1 2023 stated and adjusted comparison

Reclassified income statement (€m)	1H 22 (restated)	1H 23	Chg. Y/Y %	1H 22 adjusted	1H 23 adjusted	Chg. Y/Y %
Net interest income	1,039.1	1,552.9	49.4%	1,039.1	1,552.9	49.4%
Income (loss) from invest. in associates carried at equity	58.2	60.6	4.2%	58.2	60.6	4.2%
Net interest, dividend and similar income	1,097.3	1,613.5	47.0%	1,097.3	1,613.5	47.0%
Net fee and commission income	966.9	948.2	-1.9%	966.9	948.2	-1.9%
Other net operating income	31.7	33.4	5.4%	31.7	33.4	5.4%
Net financial result	176.8	-42.5	n.m	181.5	-42.5	n.m
Income from insurance business		24.6			24.6
Other operating income	1,175.4	963.7	-18.0%	1,180.1	963.7	-18.3%
Total income	2,272.7	2,577.2	13.4%	2,277.4	2,577.2	13.2%
Personnel expenses	-813.2	-808.3	-0.6%	-813.2	-808.9	-0.5%
Other administrative expenses	-318.2	-336.8	5.9%	-318.2	-336.8	5.9%
Amortization and depreciation	-125.3	-129.7	3.5%	-125.3	-129.7	3.5%
Operating costs	-1,256.7	-1,274.7	1.4%	-1,256.7	-1,275.3	1.5%
Profit (loss) from operations	1,015.9	1,302.5	28.2%	1,020.7	1,301.9	27.6%
Net adjustments on loans to customers	-303.7	-258.7	-14.8%	-191.0	-258.7	35.5%
Profit (loss) on FV measurement of tangible assets	-40.8	-32.4	-20.7%	0.0	0.0
Net adjustments on other financial assets	-5.5	1.2	n.m	-5.5	1.2	n.m
Net provisions for risks and charges	-12.7	3.3	n.m	-12.7	12.1	n.m
Profit (loss) on the disposal of equity and other invest.	1.5	-0.2	n.m	0.0	0.0
Income (loss) before tax from continuing operations	654.6	1,015.6	55.2%	811.4	1,056.4	30.2%
Tax on income from continuing operations	-231.0	-317.1	37.3%	-282.9	-330.0	16.6%
Income (loss) after tax from continuing operations	423.6	698.5	64.9%	528.5	726.4	37.4%
Systemic charges after tax	-74.6	-57.6	-22.7%	-74.6	-57.6	-22.7%
Realignment of fiscal values to accounting values	0.0	0.0	n.m.	0.0	0.0	n.m.
Goodwill impairment	-8.1	0.0	n.m.	0.0	0.0	n.m.
Income (loss) attributable to minority interests	0.1	0.3	n.m.	0.1	0.3	n.m.
Purchase Price Allocation after tax	-15.7	-14.2	-9.1%	-15.7	-14.2	-9.1%
Fair value on own liabilities after Taxes	25.7	-2.6	n.m	25.7	-2.6	n.m
Net income (loss) for the period	351.0	624.4	77.9%	464.0	652.3	40.6%

2022 figures 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: H1 2023 comparison of stated and adjusted with one-off details

Reclassified income statement (€m)	1H 23	1H 23 Adjusted	One-off	Non-recurring items
Net interest income	1,552.9	1,552.9	0.0
Income (loss) from invest. in associates carried at equity	60.6	60.6	0.0
Net interest, dividend and similar income	1,613.5	1,613.5	0.0
Net fee and commission income	948.2	948.2	0.0
Other net operating income	33.4	33.4	0.0
Net financial result	-42.5	-42.5	0.0
Income from insurance business	24.6	24.6	0.0
Other operating income	963.7	963.7	0.0
Total income	2,577.2	2,577.2	0.0
Personnel expenses	-808.3	-808.9	0.6
Other administrative expenses	-336.8	-336.8	0.0
Amortization and depreciation	-129.7	-129.7	0.0
Operating costs	-1,274.7	-1,275.3	0.6
Profit (loss) from operations	1,302.5	1,301.9	0.6
Net adjustments on loans to customers	-258.7	-258.7	0.0
Profit (loss) on FV of tangible assets	-32.4	0.0	-32.4	Adjustments on tangible assets
Net adjustments on other financial assets	1.2	1.2	0.0
Net provisions for risks and charges	3.3	12.1	-8.7	Prudential provisions related to contractual duties
Profit (loss) on the disposal of equity and other invest.	-0.2	0.0	-0.2
Income (loss) before tax from continuing operations	1,015.6	1,056.4	-40.7
Tax on income from continuing operations	-317.1	-330.0	12.9
Income (loss) after tax from continuing operations	698.5	726.4	-27.9
Systemic charges after tax	-57.6	-57.6	0.0
Goodwill impairment	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.3	0.3	0.0
Purchase Price Allocation after tax	-14.2	-14.2	0.0
Fair value on own liabilities after Taxes	-2.6	-2.6	0.0
Net income (loss) for the period	624.4	652.3	-27.9

Reclassified Balance Sheet

Reclassified assets (€ m)	Restated			Chg. YTD		Chg. Q/Q
	31/12/22	31/03/23	30/06/23	Value	%	Value	%
Cash and cash equivalents	13,131	23,068	21,845	8,714	66.4%	-1,223	-5.3%
Loans and advances measured at AC	113,633	111,393	112,014	-1,619	-1.4%	620	0.6%
- Loans and advances to banks	4,178	3,643	3,856	-322	-7.7%	213	5.9%
1 - Loans and advances to customers ( )	109,455	107,751	108,158	-1,297	-1.2%	407	0.4%
Other financial assets	43,094	43,875	44,112	1,019	2.4%	237	0.5%
- Assets measured at FV through PL	8,207	7,848	8,084	-123	-1.5%	235	3.0%
- Assets measured at FV through OCI	9,381	10,048	10,135	754	8.0%	87	0.9%
- Assets measured at AC	25,506	25,978	25,894	388	1.5%	-84	-0.3%
Financial assets pertaining to insurance companies	5,893	6,016	6,002	109	1.8%	-14	-0.2%
Equity investments	1,652	1,610	1,628	-24	-1.5%	19	1.2%
Property and equipment	3,035	2,894	2,825	-209	-6.9%	-69	-2.4%
Intangible assets	1,255	1,253	1,242	-13	-1.1%	-11	-0.9%
Tax assets	4,585	4,463	4,324	-261	-5.7%	-139	-3.1%
Non-current assets held for sale and discont. operations	196	209	486	290	148.2%	277	132.7%
Other assets	3,335	3,931	4,012	677	20.3%	80	2.0%
Total	189,808	198,712	198,490	8,682	4.6%	-222	-0.1%
Reclassified liabilities (€ m)	Restated			Chg. YTD		Chg. Q/Q
	31/12/22	31/03/23	30/06/23	Value	%	Value	%
Banking Direct Funding	120,639	120,038	121,155	516	0.4%	1,117	0.9%
- Due from customers	107,679	105,122	104,801	-2,878	-2.7%	-321	-0.3%
- Debt securities and financial liabilities designed at FV	12,960	14,916	16,353	3,394	26.2%	1,438	9.6%
Insurance Direct Funding & Insurance liabilities	5,743	5,854	5,819	76	1.3%	-35	-0.6%
- Financial liabilities measured at FV pertaining to insurance	1,459	1,478	1,476	17	1.2%	-2	-0.1%
companies - Liabilities pertaining to insurance companies	4,284	4,376	4,343	59	1.4%	-33	-0.8%
Due to banks	32,636	31,300	22,870	-9,766	-29.9%	-8,430	-26.9%
Debts for Leasing	628	514	497	-131	-20.8%	-17	-3.3%
Other financial liabilities designated at FV	13,598	21,747	26,795	13,197	97.1%	5,048	23.2%
Other financial liabilities pertaining to insurance companies	0	3	2	2	4	-1	-39.8%
Liability provisions	989	962	866	-123	-12.4%	-96	-10.0%
Tax liabilities	268	312	319	51	19.1%	7	2.2%
Liabilities associated with assets held for sale	26	35	245	220	850.7%	211	610.2%
Other liabilities	2,266	4,587	6,534	4,268	188.4%	1,946	42.4%
Minority interests	1	1	0	0	-46.8%	0	-49.3%
Shareholders' equity	13,016	13,358	13,388	372	2.9%	30	0.2%
Total	189,808	198,712	198,490	8,682	4.6%	-222	-0.1%

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

30/06/22 31/12/22 31/03/23 30/06/23

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

Direct funding from the Banking business

			Direct funding1
€ bn				-1.3%	+1.0%	+1.2%
Capital-protected Certificates Other Bonds C/A, Sight & Time deposits	126.4 107.4 (85.0%)		123.4 103.7 (84.0%)		123.2 101.3 (82.2%)	124.7 101.3 (81.3%)
(% Share on total)	30/06/2022		31/12/2022		31/03/2023	30/06/2023
C/A & Sight deposits Time deposits Bonds Other Capital-protected Certificates	30/06/22 106.7 0.7 13.2 2.2 3.5	31/12/22 103.4 0.3 12.9 2.5 4.3	31/03/23 101.0 0.3 14.9 2.2 4.8	30/06/23 100.9 0.4 16.3 2.0 5.0	% chg. Y/Y -5.4% -38.6% 23.8% -8.7% 42.1%	% chg. YTD -2.4% 50.0% 26.3% -19.5% 16.7%	% chg. Q/Q -0.1% 51.9% 9.7% -8.0% 4.3%
Direct Funding (excl. Repos)	126.4	123.4	123.2	124.7	-1.3%	1.0%	1.2%

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 (€1.4bn on 30/06/2023 vs €1.6bn on 31/03/2023, vs €1.5bn on 31/12/2022 and €1.1bn on 30/06/2022), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

Indirect customer funding up at €99.6bn: +9.1%YTD

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

Direct Funding (see slide 33).

• Total Indirect Customer Funding up at €99.6bn, from €95.6bn as at 31/03/2023, €91.3bn as at 31/12/2022 and €90.5bn as at 30/06/2022
• The increase is driven by Assets under Custody and is mainly due to the volume effect

Managerial data of the commercial network. AuM from bancassurance as at 30/06/2023 includes €5.7bn indicated under the balance sheet item "Insurance Direct Funding and Insurance liabilities" (€5.8bn as at YE 2022 and €5.7bn as at 31/03/2023). Note: 1. AuC data are net of capital-protected certificates, as they have been regrouped under

Successful issuance activity and well diversified liability profile

Wholesale bonds issued since 2022 at €5.0bn

• Wholesale bonds issued for a total of €2.25bn in H1 2023, mainly «green» (€1.5bn), with a well diversified seniority
• In rolling out its funding plan, Banco BPM will consider not only regulatory MREL requirements but also rating agency thresholds

Nominal amounts as at 30/06/2023

Note: 1. Managerial data. 2. Issued under the Green, Social and Sustainability Bonds Framework. 3. Private placement. 4. Include also Repos with underlying retained Covered Bonds.

Bond maturities: limited and manageable amounts

Following the reimbursement in H1 2023 of institutional bonds for a total of €1.4bn (of which: €0.9bn Covered Bonds and €0.5bn Senior Preferred), the Group faces rather limited and manageable amounts of bond maturities in the future

Net Customer Loans

Net Customer Loans

Performing Loans NPE

						Change
Net Performing Customer Loans	30/06/22	31/12/22	31/03/23	30/06/23	In % Y/Y	In % YTD	In % Q/Q
Core customer loans	102.8	102.8	102.3	100.9	-1.9%	-1.8%	-1.4%
- Medium/Long-Term loans	79.7	80.4	80.1	79.3	-0.4%	-1.4%	-1.0%
- Current Accounts	9.6	8.4	8.4	8.6	-9.9%	3.0%	2.1%
- Cards & Personal Loans	1.1	1.0	0.8	0.8	-29.1%	-17.6%	-6.8%
- Other loans	12.5	13.0	12.9	12.2	-2.8%	-6.6%	-6.0%
GACS Senior Notes	2.1	1.9	1.8	1.6	-25.3%	-17.1%	-8.4%
Repos	2.3	1.9	0.9	3.1	34.2%	66.6%	231.1%
Leasing	0.6	0.5	0.5	0.5	-25.3%	-12.7%	-6.1%
Total Net Performing Loans	107.9	107.1	105.5	106.1	-1.7%	-1.0%	0.6%

€ bn

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

Analysis of Customer loan portfolio

72.8% 20.1% 5.4% 1.7% North Center South & Islands RoW Non-Financial Companies 58.0% Households 26.6% Financials 10.0% Other (Public Sector, No-Profit, etc.) 3.9% GACS Senior Notes 1.5% €106.5bn Managerial data, GBV Performing customer loan breakdown as at 30/06/2023 1 Breakdown by customer segments Breakdown by geographic area (excluding GACS Senior Notes)

Total customer loans: increased share of secured exposure, mainly in the SME segment

Notes: 1. Financials include REPOs with CC&G. 2. Small Businesses with turnover up to €5m.

NPE migration dynamics

Asset Quality details

Loans to Customers at AC¹

Gross exposures	30/06/2022	31/12/2022	31/03/2023	30/06/2023		Chg. Y/Y		Chg. YTD		Chg. Q/Q
€/m and %					Value	%	Value	%	Value	%
Bad Loans	1,996	2,047	2,094	1,868	-127	-6.4%	-179	-8.7%	-226	-10.8%
UTP	3,405	2,639	2,522	2,280	-1,125	-33.0%	-360	-13.6%	-242	-9.6%
Past Due	84	82	64	77	-7	-8.0%	-5	-6.0%	13	20.1%
NPE	5,485	4,769	4,680	4,225	-1,259	-23.0%	-543	-11.4%	-455	-9.7%
Performing Loans	108,392	107,520	105,894	106,484	-1,908	-1.8%	-1,036	-1.0%	590	0.6%
TOTAL CUSTOMER LOANS	113,876	112,289	110,574	110,709	-3,167	-2.8%	-1,580	-1.4%	135	0.1%

Net exposures	30/06/2022	31/12/2022	31/03/2023	30/06/2023		Chg. Y/Y	Chg. YTD		Chg. Q/Q
€/m and %					Value	%	Value	%	Value	%
Bad Loans	769	721	734	711	-58	-7.5%	-9	-1.3%	-23	-3.2%
UTP	2,034	1,575	1,493	1,321	-713	-35.1%	-254	-16.1%	-172	-11.5%
Past Due	59	60	48	56	-3	-5.1%	-4	-6.9%	8	16.2%
NPE	2,862	2,356	2,275	2,088	-774	-27.0%	-268	-11.4%	-188	-8.2%
Performing Loans	107,947	107,099	105,475	106,070	-1,877	-1.7%	-1,029	-1.0%	595	0.6%
TOTAL CUSTOMER LOANS	110,808	109,455	107,751	108,158	-2,651	-2.4%	-1,297	-1.2%	407	0.4%

Coverage ratios %	30/06/2022	31/12/2022	31/03/2023	30/06/2023
Bad Loans	61.5%	64.8%	64.9%	61.9%
UTP	40.3%	40.3%	40.8%	42.1%
Past Due	29.8%	26.9%	25.1%	27.6%
NPE	47.8%	50.6%	51.4%	50.6%
Performing Loans	0.41%	0.39%	0.40%	0.39%
TOTAL CUSTOMER LOANS	2.7%	2.5%	2.6%	2.3%

Notes: 1. Loans and advances to customers at Amortized Cost, including also the GACS senior notes. 4. H1 2023 Performance Details

Details on Insurance business

1

Banco BPM Vita & Banco BPM Assicurazioni portfolio fully consolidated starting from 1 July 2022¹

	H1 23
Income from insurance business	24.6
Total income	24.6
Personnel expenses	-1.3
Other administrative expenses	-7.1
Amortization and depreciation	-0.2
Operating costs	-8.6
Profit (loss) from operations	15.9
Tax on income from continuing operations	-5.5
Net income (insurance 100%)	10.4

P&L contribution of Banco BPM Vita & Assicurazioni

IFRS 17 impacts on FY 2022 P&L

Reclassified income statement (€m)	IFRS 17 impacts on FY 2022	Q4 2022	Q3 2022	Q2 2022	Q1 2022
Income (loss) from invest. in associates carried at equity	-21.5	3.6	7.9	-25.7	-7.2
Net interest, dividend and similar income	-21.5	3.6	7.9	-25.7	-7.2
Net fee and commission income	12.9	6.5	6.5	0.0	0.0
Other net operating income	0.0	0.0	0.0	0.0	0.0
Income from insurance business	-23.0	-11.5	-11.5	0.0	0.0
Other operating income	-10.1	-5.0	-5.0	0.0	0.0
Total income	-31.6	-1.5	2.9	-25.7	-7.2
Personnel expenses	6.5	3.2	3.2	0.0	0.0
Other administrative expenses	2.1	1.1	1.1	0.0	0.0
Amortization and depreciation	0.4	0.2	0.2	0.0	0.0
Operating costs	9.0	4.5	4.5	0.0	0.0
Profit (loss) from operations	-22.6	3.0	7.4	-25.7	-7.2
Income (loss) before tax from continuing operations	-22.6	3.0	7.4	-25.7	-7.2
Tax on income from continuing operations	1.9	0.9	0.9	0.0	0.0
Income (loss) after tax from continuing operations	-20.7	4.0	8.3	-25.7	-7.2
Purchase Price Allocation after tax	3.1	1.6	1.6	0.0	0.0
Net income (loss) for the period	-17.5	5.5	9.9	-25.7	-7.2

Capital position in detail¹

FULLY LOADED CAPITAL POSITION (€/m and %)	30/06/2022	31/12/2022 Restated	30/06/2023
CET 1 Capital	8,053	7,686	8,386
T1 Capital	9,443	9,076	9,776
Total Capital	11,717	10,800	11,484
RWA	63,123	59,859	58,859
CET 1 Ratio	12.76%	12.84%	14.25%
AT1	2.20%	2.32%	2.36%
T1 Ratio	14.96%	15.16%	16.61%
Tier 2	3.60%	2.88%	2.90%
Total Capital Ratio	18.56%	18.04%	19.51%
Leverage ratio Fully Loaded as at 30/06/2023: 4.85%

FULLY LOADED RWA COMPOSITION (€/bn)	30/06/2022	31/12/2022 Restated	30/06/2023
CREDIT & COUNTERPARTY RISK	54.0	50.8	49.8
of which: Standard	29.1	26.1	26.6
MARKET RISK	1.8	1.4	1.4
OPERATIONAL RISK	7.1	7.4	7.4
CVA	0.2	0.3	0.2
TOTAL	63.1	59.9	58.9

Notes: 1. Data are indicated without application of the Danish Compromise.

• All data include also the profit of the period, subject to ECB authorization, net of the amount of dividend determined by the Board of Directors (based on a dividend payout ratio of 50%).

Further progress in new digital-driven distribution model

Main digital-enabled achievements

ESG integration update: Key results & selected KPIs

		2022	H1 2023
	% of Green new lending to corporate and enterprise segments1	55.6%	55.8%
BUSINESS	Green residential mortgages (new lending)	€620m	€178m
	Green & Social Bonds issued	€2.05bn2	€1.5bn
	Share of ESG corporate bonds in the proprietary portfolio	24.2%	27.0%
	ESG bond issues assisted by Banca Akros	€8.1bn	€6.8bn
	Net Scope 1&2 emissions market based (% chg. y/y)3	-54.3%	-13.9%
ENVIRONMENT	Total consumptions (% chg. y/y)	-12.0%	-15.9%
PEOPLE	Share of women in managerial positions	26.1%	27.4%
	Hours of ESG training courses	174,200	90,975
	Share of new hirings between 20-30 years (cumulated, since Jan.21)	89.5%	88.1%
COMMUNITY	Donations and sponsorship for social & environmental projects	€4.6m	€4.0m
	Hours of corporate community services, ESG awareness and financial education	14,600	5,270
	New lending to third sector	€180m	€64m

In March 2023 Banco BPM joined the NZBA OTHER KEY ACHIEVEMENTS

ESG governance further strenghtened: Sustainability Committee established at Board level in April 2023

Publication of the 2023 Green Social & Sustainability Bonds Report in July

Standard Ethics confirms the rating at EE and improves the outlook to Positive

Note: 1. 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). 2. Includes 3 bonds for a total of €1,750m under our Green, Social and Sustainability Bonds Framework and one Private Placement for €300m. 3. 2022 FY data include compensation of ~8,000 t. of CO2 eq. in 2022 and ~800 t. of CO2 eq. in FY 2021.

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)