Banco BPM SpA

Investor Presentation • May 8, 2023

Group Q1 2023 Results Presentation

08 May 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.

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 30/09/2022, 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 quarter of 2023 and the balance sheet as of 31/03/2023 have been prepared by applying this new accounting standard. In light of this, the liability item in the reclassified balance sheet entitled "Direct insurance premiums and technical reserves" has been renamed to "Direct insurance premiums and insurance liabilities" and includes, as was the case last year, all liabilities of the Group's insurance companies related to policies underwritten by customers. These are, in particular, the liability items "30. Financial liabilities designated at fair value," for unit-linked policies, and "110. Insurance liabilities," for the remaining insurance products measured in accordance with IFRS 17. With regard to the reclassified income statement, the item "Income from insurance business," in addition to including the income components (interest, dividends, realized gains/losses, valuation gains/losses) related to the portfolios of financial assets and liabilities held by the Group's insurance companies, includes the items specifically attributable to the insurance business, determined in accordance with the requirements of IFRS 17, represented by item "160. Income from insurance services" and item "170. Balance of income and expenses of a financial nature related to insurance operations."

In this regard, it should be noted that the quarterly income statements for 2022 contained in this presentation are historical and are therefore not perfectly comparable with those as of March 31, 2023 with regard to the components pertaining to the insurance business, as they were prepared on the basis of different accounting standards. Slide 28, on the other hand, shows the balance sheet as of 31/12/2022 restated by retrospective application of IFRS 17, and slide 40 shows the impact of IFRS17 on the income statement for 2022. For more details, please refer to the methodological notes of the results as of 31/03/2023 press release published on May 8, 2023.

• 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.
• Q1 2023 and 2022 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 Q1 2023 results press release published on 8 May 2023 for further details).

Agenda

1	Executive Summary	5
2	Key Highlights	12
3	Final Remarks	23
4	Q1 2023 Performance Details	25

1

Executive Summary

Excellent quarterly results leading to a higher level of ambition

OUTSTANDING PERFORMANCE BASED ON SOLID FUNDAMENTALS…

Net income at €265M +49.2% Y/Y

Robust starting point for an increased profitability ambition

CET1 Ratio Adj. 14.15%¹

Ample and increasing capital buffer, with MDA at 544bps¹

Bancassurance & Payments: transformational initiatives under way

Further enhancing our capital generation & remuneration capacity

Note: 1. Adjusted data, including Danish Compromise. CET1 excluding Danish Compromise at 13.57%, with MDA buffer at 486bps. 2. Strategic Plan presented in November 2021 and Previous Guidance in February 2023.

Q1 2023: top level performance across three main drivers

Note: 1. Adj. including Danish Compromise. CET 1 ratio stated from 12.83% YE 2022 to 13.57% end-March 2023 and MDA buffer stated from 413bps YE 2022 to 486bps end of March 2023. Capital ratios as at 31/03/23 factor in the accrual of dividends based on a 50% payout ratio. 2. Cash + Unencumbered liquid assets, see slide 22 for details. 3. Managerial data.

Further improvement in NII guidance driven by low deposit beta in the evolving interest rate scenario

Note: 1. Average quarterly rates; Managerial data.

Solid outperformance: already above 2024 Strategic Plan targets

New Strategic Plan to be approved in H2 2023

* Redetermined normalizing the systemic charge impact.

Notes: 1. NII + Net Commissions + Net Results from Associates and Income from Insurance Business. 2. Annualized.

9

Strong capital position, with CET 1 ratio up at 14.15%

All data include also the profit of the period, subject to ECB authorization. Adjusted data include

the expected impact of the application of the Danish Compromise.

Notes: 1. Accrual based on a 50% dividend payout ratio.

Transformational initiatives to further enhance profitability & capital generation

NEW PROJECT TO STRENGTHEN PAYMENT BUSINESS

OVERALL VALUE POTENTIAL: €2BN OF NPV

• Long-term exclusive distribution agreement
• Preservation of running fee levels
• Cash-in of an upfront component, creating additional room for shareholder remuneration
• Mechanisms enabling to extract further value from future expected growth

NEXT STEP: Termsheet expected to be signed by end-June 2023

NEW BANCASSURANCE SET-UP AT A GLANCE

Note: 1. ATM transaction volumes (€21bn) are the sum of our ATM volumes (Acquiring) and ATM withdrawals with our cards (Issuing). 2. Managerial data.

Key Highlights

Q1 2023 Net Income at €265M, +49.2% Y/Y

Chg. Q/Q Chg. Y/Y
45.2%
-0.3%
23.2%
5.4%
2.5%
8.7%
-9.0%
18.8%
25.4%
49.2%
36.5% 26.4%

Notes: 1. Includes: Net adj. on other financial assets, Net provisions for risks & charges, Profit (loss) on the disposal of equity, other elements (pre-tax). 2. Other includes: PPA and other elements (after tax).

Q1 2023 NII at €743M: best quarterly performance ever

Volumes supported by strong customer base and top-quality franchise

Safe profile of new lending to feed positively into asset quality

€5.2bn of new lending² in Q1 2023:

• €1.3bn assisted by State guarantees
• 96% concentrated in the best rating classes (Low-Mid category)³
• 71% in the North of the country

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

Notes: 1. See slide 34 for details. 2. M/L-term Mortgages (Secured and Unsec.), Personal Loans, Pool and Structured Finance (including revolving). 3. Management data, Households, Corporate, Enterprises and Small Businesses: rated positions. 4. Non-financial Small Businesses with turnover up to €5m.

Net Fees and Commissions at €479M,+7.0% Q/Q

Management, Intermediation and Advisory fees, +€25m Q/Q, mainly thanks to:

• Funds & Sicav (+€15m)
• Contribution from insurance products (+€6m)

Commercial Banking fees at €254m, +€6m Q/Q, despite an increase in synthetic securitization charges (impact: -€6m), more than compensated by payment services (+€9m) and other components

1. Management data of the commercial network. Include Funds & Sicav, Bancassurance, Certificates and Managed Accounts & Funds of Funds. 2. Key Highlights ¹⁶

Cost/Income ratio down at 51%

• Q1 2023 banking business costs at €637m vs €642m in Q4 22 (-0.7%)
  • Staff costs substantially stable Q/Q on a like-for-like basis (excluding €12m net positive one-off in Q4 2022)
  • D&A -11.0% Q/Q on a like-for-like basis (excluding €12m negative non-replicable elements in Q4 2022)
• Insurance business costs at €2.7m in Q1 2023, o/w: €0.1m Staff costs, €2.4m Other Administrative Expenses and €0.2m D&A

Note: 1. "Banking business" excludes "Insurance business" costs consolidated in H2 2022.

Continuous Cost of Risk reduction backed by significant Asset Quality improvement

• Gross and net NPE ratios at 4.2% and 2.1% respectively, well below the original Strategic Plan targets for YE 2024 (4.8% gross and ~2.5% net), with gross NPE ratio down at 3.7% based on EBA definition
• Additional disposals targeted over the Plan horizon increased to >€0.7bn (from >€0.5bn)² , with CoR already frontloaded
• Overlays stable in Q1 2023 at ~€160m

2017 data based on IAS 39 accounting standards. Note: 1. As per the EU Transparency exercise. 2. Mainly bad loans.

Declining cost of risk, increased NPE coverage and low default rate

51.4% (56.5%)

64%

11.6 10.9 11.1 31/03/22 31/12/22 31/03/23 GBV in € bn Stage 2 loans: -€0.5bn Y/Y

10.7%

Share of Stage 2 on total perf. loans

10.1% 10.5%

Optimization and increasing diversification of Debt securities portfolio

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

Notes: 1. Pre-IFRS 9 accounting criteria, not fully comparable with current ones.

Debt securities portfolio at FVOCI: sound recovery in reserves and negligible capital sensitivity

• NFR in Q1 2023 impacted by option hedging of FVOCI portfolio, more than compensated by a sound recovery in reserves

• Very low capital sensitivity from govies at FVOCI, with BPV impact from Italian govies close to zero

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

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

Rock-solid liquidity & funding profile: LCR at 199% & NSFR at 130%¹

LCR up at 199% (191% YE 2022)

Total liquidity: Cash + Unencumbered Assets² Asset encumbrance and exposure with ECB as at 31/03/23

• Total Encumbered Eligible Assets at €43.6bn³
• TLTRO III nominal exposure down to €26.7bn, after an anticipated reimbursement of €12.5bn in Dec. 2022
• Net ECB funding position at €4.7bn
• LCR level expected >140% after full TLTRO reimbursement, with limited recourse to MLT refinancing operations

Notes: 1. Managerial data. 2. Nominal data. Include assets received as collateral and is net

of accrued interests. 3. ECB-encumbered refinancing operations, REPOs and other. 4. Deposits <100K covered by FITD. 5. Managerial data, excluding market effect.

Final Remarks

Net income & Shareholder remuneration outlook: confident to double net income performance

2022 Net Income and ROTE are historical data, without the impact of IFRS 17.

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). For 2023E and 2024E data the TSE as at 31/03/23 has been considered. 2. Market cap as at 05/05/2023.

4

Q1 2023 Performance Details

Quarterly Stated P&L results

Reclassified income statement (€m)	Q1 22	Q2 22	Q3 22	Q4 22	Q1 23	Chg. Q/Q	Chg. Q/Q %
Net interest income	511.5	527.6	551.3	724.0	743.0	19.0	2.6%
Income (loss) from invest. in associates carried at equity	49.6	41.5	31.6	34.8	36.3	1.5	4.3%
Net interest, dividend and similar income	561.2	569.1	582.9	758.8	779.3	20.5	2.7%
Net fee and commission income	480.1	486.8	473.2	447.3	478.7	31.4	7.0%
Other net operating income	16.7	15.0	20.4	19.5	16.9	-2.6	-13.3%
Net financial result	127.9	48.9	75.1	-9.0	-34.1	-25.2	n.m.
Income from insurance business	-	-	-8.7	40.5	9.6	-30.8	-76.2%
Other operating income	624.7	550.7	560.0	498.3	471.0	-27.2	-5.5%
Total income	1,185.9	1,119.7	1,142.9	1,257.0	1,250.3	-6.7	-0.5%
Personnel expenses	-407.9	-405.3	-400.5	-395.2	-405.4	-10.2	2.6%
Other administrative expenses	-155.6	-162.7	-160.7	-171.5	-170.2	1.3	-0.7%
Amortization and depreciation	-61.2	-64.1	-70.1	-84.7	-64.5	20.3	-23.9%
Operating costs	-624.7	-632.1	-631.3	-651.4	-640.1	11.3	-1.7%
Profit (loss) from operations	561.2	487.7	511.6	605.7	610.3	4.6	0.8%
Net adjustments on loans to customers	-151.1	-152.6	-193.9	-184.7	-137.5	47.2	-25.6%
Profit (loss) on FV measurement of tangible assets	-1.2	-39.6	-7.5	-60.0	-1.9	58.1	-96.8%
Net adjustments on other financial assets	-3.2	-2.3	-3.0	-0.5	0.7	1.2	n.m
Net provisions for risks and charges	-8.1	-4.6	-16.3	-28.2	2.5	30.7	n.m
Profit (loss) on the disposal of equity and other invest.	1.5	-0.1	0.3	0.5	0.2	-0.4	-70.1%
Income (loss) before tax from continuing operations	399.1	288.5	291.2	332.7	474.2	141.5	42.5%
Tax on income from continuing operations	-138.4	-92.6	-84.5	-93.4	-147.4	-54.0	57.8%
Income (loss) after tax from continuing operations	260.6	195.9	206.7	239.3	326.8	87.5	36.5%
Systemic charges after tax	-74.6	0.0	-77.3	0.0	-57.3	-57.2	n.m.
Goodwill impairment	0.0	-8.1	0.0	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.0	0.1	0.0	0.6	0.0	-0.7	n.m
Purchase Price Allocation after tax	-8.5	-7.2	-20.4	-9.4	-7.4	2.0	-21.5%
Fair value on own liabilities after Taxes	0.2	25.5	-0.3	-20.5	3.3	23.8	n.m
Net income (loss) for the period	177.8	206.1	108.7	209.9	265.3	55.4	26.4%

P&L: Q1 2023 comparison of stated and adjusted with one-off details

Reclassified income statement (€m)	Q1 23	Q1 23 Adjusted	One-off	Non-recurring items
Net interest income	743.0	743.0	0.0
Income (loss) from invest. in associates carried at equity	36.3	36.3	0.0
Net interest, dividend and similar income	779.3	779.3	0.0
Net fee and commission income	478.7	478.7	0.0
Other net operating income	16.9	16.9	0.0
Net financial result	-34.1	-34.1	0.0
Income from insurance business	9.6	9.6	0.0
Other operating income	471.0	471.0	0.0
Total income	1,250.3	1,250.3	0.0
Personnel expenses	-405.4	-404.2	-1.2
Other administrative expenses	-170.2	-170.2	0.0
Amortization and depreciation	-64.5	-64.5	0.0
Operating costs	-640.1	-638.9	-1.2
Profit (loss) from operations	610.3	611.5	-1.2
Net adjustments on loans to customers	-137.5	-137.5	0.0
Profit (loss) on FV of tangible assets	-1.9	0.0	-1.9
Net adjustments on other financial assets	0.7	0.7	0.0
Net provisions for risks and charges	2.5	6.8	-4.4	Provisions related to contractual duties
Profit (loss) on the disposal of equity and other invest.	0.2	0.0	0.2	Provisions related to
Income (loss) before tax from continuing operations	474.2	481.5	-7.3	contractual duties
Tax on income from continuing operations	-147.4	-149.6	2.1
Income (loss) after tax from continuing operations	326.8	332.0	-5.2
Systemic charges after tax	-57.3	-57.3	0.0
Goodwill impairment	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.0	0.0	0.0
Purchase Price Allocation after tax	-7.4	-7.4	0.0
Fair value on own liabilities after Taxes	3.3	3.3	0.0
Net income (loss) for the period	265.3	270.5	-5.2

Reclassified Balance Sheet

Reclassified assets (€ m)	Restated		Chg. YTD
	31/12/22	31/03/23	Value	%
Cash and cash equivalents	13,131	23,068	9,937	75.7%
Loans and advances measured at AC	113,633	111,393	-2,239	-2.0%
- Loans and advances to banks	4,178	3,643	-535	-12.8%
1 - Loans and advances to customers ( )	109,455	107,751	-1,704	-1.6%
Other financial assets	43,094	43,875	781	1.8%
- Assets measured at FV through PL	8,207	7,848	-359	-4.4%
- Assets measured at FV through OCI	9,381	10,048	668	7.1%
- Assets measured at AC	25,506	25,978	472	1.9%
Financial assets pertaining to insurance companies	5,893	6,016	123	2.1%
Equity investments	1,652	1,610	-43	-2.6%
Property and equipment	3,035	2,894	-140	-4.6%
Intangible assets	1,255	1,253	-2	-0.2%
Tax assets	4,585	4,463	-123	-2.7%
Non-current assets held for sale and discont. operations	196	209	13	6.7%
Other assets	3,335	3,931	597	17.9%
Total	189,808	198,712	8,904	4.7%
Reclassified liabilities (€ m)	Restated		Chg. YTD
	31/12/22	31/03/23	Value	%
Banking Direct Funding	120,639	120,038	-601	-0.5%
- Due from customers	107,679	105,122	-2,557	-2.4%
- Debt securities and financial liabilities designed at FV	12,960	14,916	1,956	15.1%
Insurance Direct Funding & Insurance liabilities	5,743	5,854	111	1.9%
- Financial liabilities measured at FV pertaining to insurance companies	1,459	1,478	19	1.3%
- Liabilities pertaining to insurance companies	4,284	4,376	92	2.2%
Due to banks	32,636	31,300	-1,336	-4.1%
Debts for Leasing	628	514	-114	-18.1%
Other financial liabilities designated at FV	13,598	21,747	8,149	59.9%
Other financial liabilities pertaining to insurance companies	0	3	3	n.m.
Liability provisions	989	962	-27	-2.7%
Tax liabilities	268	312	45	16.6%
Liabilities associated with assets held for sale	26	35	9	33.9%
Other liabilities	2,266	4,587	2,322	102.5%
Minority interests	1	1	0	5.0%
Shareholders' equity	13,016	13,358	342	2.6%

Data as at 31/12/2022 redetermined for the retrospective application of IFRS 17; see Methodological Notes.

Note: 1. The item "Customer Loans" includes the Senior notes coming from the securitizations of Non-performing Loans.

Focus on Govies portfolio

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

Direct funding from the Banking business¹

Note: 1. For insurance direct funding and insurance liabilities, see slide 28. 2. 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 (€1.6bn on 31/03/2023 vs €1.5bn on 31/12/2022 and €0.8bn on 31/03/2022), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

Liability profile: Bonds outstanding and issues

Wholesale bonds issued since 2017

Nominal amounts

Managerial data based on nominal amounts.

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

Bond maturities: limited and manageable amounts

• €0.15bn Covered Bonds reimbursed in Q1 2023
• €3.9bn institutional bonds reimbursed in FY 2022

Managerial data based on nominal amounts. Excluding calls. No subordinated bond maturities in the period 2023-2025. 4. Q1 2023 Performance Details

Indirect customer funding at €95.6bn

1

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

under Direct Funding (see slide 30).

▪ Total Indirect Customer Funding at €95.6bn, from €91.3bn as at 31/12/2022 and €95.6bn as at 31/03/2022

Y/Y

Managerial data of the commercial network. AUM from bancassurance as at 31/03/2023 includes €5.7bn also included in Insurance Direct Funding and Insurance liabilities (€5.8bn as at

YE 2022). Note: 1. AuC data are net of capital-protected certificates, as they have been regrouped

Net Customer Loans

Net Customer Loans¹

				Change
Net Performing Customer Loans	31/03/22	31/12/22	31/03/23	In % Y/Y	In % YTD
Core customer loans	101.3	102.8	102.3	1.0%	-0.5%
- Medium/Long-Term loans	78.2	80.4	80.1	2.4%	-0.4%
- Current Accounts	8.9	8.4	8.4	-5.4%	0.9%
- Cards & Personal Loans	1.2	1.0	0.8	-29.3%	-11.5%
- Other loans	13.0	13.0	12.9	-0.8%	-0.7%
GACS Senior Notes	2.1	1.9	1.8	-17.8%	-9.5%
Repos	3.7	1.9	0.9	-74.2%	-49.7%
Leasing	0.7	0.5	0.5	-26.1%	-7.1%
Total Net Performing Loans	107.8	107.1	105.5	-2.1%	-1.5%

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

Analysis of gross Performing loan portfolio

Managerial data, GBV

Breakdown by geographic area

Construction of buildings and RE activities:

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

€ bn	Performing Exposure (GBV)	In % on total Perf. loans	Composition by Not Rated rating classes 4%
Construction of buildings1	3.2	3%	€8.0bn High risk
RE Activities	4.8	5%	7%
TOTAL	8.0	8%	Mid-High risk 19%

Composition by guarantees

Managerial data.

Notes: 1. Excluding €2.4bn of Civil engineering and specialised constructions, as they do not refer to "commercial" buildings.

NPE migration dynamics

Asset Quality details

Loans to Customers at AC¹

Gross exposures	31/03/2022	31/12/2022	31/03/2023	Chg. Y/Y		Chg. YTD
€/m and %				Value	%	Value	%
Bad Loans	2,226	2,047	2,094	-132	-5.9%	47	2.3%
UTP	3,974	2,639	2,522	-1,451	-36.5%	-117	-4.4%
Past Due	53	82	64	11	21.5%	-18	-21.8%
NPE	6,252	4,769	4,680	-1,572	-25.1%	-88	-1.9%
Performing Loans	108,244	107,520	105,894	-2,350	-2.2%	-1,626	-1.5%
TOTAL CUSTOMER LOANS	114,496	112,289	110,574	-3,922	-3.4%	-1,714	-1.5%
Net exposures	31/03/2022	31/12/2022	31/03/2023	Chg. Y/Y		Chg. YTD
€/m and %				Value	%	Value	%
Bad Loans	849	721	734	-114	-13.5%	14	1.9%
UTP	2,211	1,575	1,493	-718	-32.5%	-82	-5.2%
Past Due	39	60	48	9	23.5%	-12	-19.9%
NPE	3,099	2,356	2,275	-824	-26.6%	-80	-3.4%
Performing Loans	107,790	107,099	105,475	-2,315	-2.1%	-1,624	-1.5%
TOTAL CUSTOMER LOANS	110,889	109,455	107,751	-3,138	-2.8%	-1,704	-1.6%
Coverage ratios %	31/03/2022	31/12/2022	31/03/2023
Bad Loans	61.9%	64.8%	64.9%
UTP	44.4%	40.3%	40.8%
Past Due	26.3%	26.9%	25.1%
NPE	50.4%	50.6%	51.4%
Performing Loans	0.42%	0.39%	0.40%
TOTAL CUSTOMER LOANS	3.2%	2.5%	2.6%

Notes: 1. Loans and advances to customers at Amortized Cost, including also the GACS senior notes. 4. Q1 2023 Performance Details

Details on Insurance business

1

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

	Q1 23
Fees and other net operating income	0.2
Income from insurance business	9.6
Total income	9.8
Personnel expenses	-0.1
Other administrative expenses	-2.4
Amortization and depreciation	-0.2
Operating costs	-2.7
Profit (loss) from operations	7.2
Tax on income from continuing operations	-1.9
Net income	5.3

P&L contribution of Banco BPM Vita & Assicurazioni

IFRS 17 impact on FY 2022 P&L

Reclassified income statement (€m)	IFRS 17 impacts on FY 2022
Net interest income	0.0
Income (loss) from invest. in associates carried at equity	-29.6
Net interest, dividend and similar income	-29.6
Net fee and commission income	0.0
Other net operating income	-0.04
Net financial result	0.0
Income from insurance business	-10.0
Other operating income	-10.1
Total income	-39.7
Personnel expenses	6.5
Other administrative expenses	2.1
Amortization and depreciation	0.4
Operating costs	9.0
Profit (loss) from operations	-30.7
Net adjustments on loans to customers	0.0
Profit (loss) on FV measurement of tangible assets	0.0
Net adjustments on other financial assets	0.0
Net provisions for risks and charges	0.0
Profit (loss) on the disposal of equity and other invest.	0.0
Income (loss) before tax from continuing operations	-30.7
Tax on income from continuing operations	1.9
Income (loss) after tax from continuing operations	-28.8
Systemic charges after tax	0.0
Goodwill impairment	0.0
Income (loss) attributable to minority interests	0.0
Purchase Price Allocation after tax	3.1
Fair value on own liabilities after Taxes	0.0
Net income (loss) for the period	-25.7

Capital position in detail¹

FULLY LOADED CAPITAL POSITION (€/m and %)	31/03/2022	31/12/2022	31/03/2023
CET 1 Capital	8,435	7,700	8,076
T1 Capital Total Capital	9,528 11,969	9,089 10,871	9,466 11,192
RWA	64,208	59,996	59,514
CET 1 Ratio	13.14%	12.83%	13.57%
AT1	1.70%	2.32%	2.34%
T1 Ratio	14.84%	15.15%	15.91%
Tier 2	3.80%	2.97%	2.90%
Total Capital Ratio	18.64%	18.12%	18.81%
Leverage ratio Fully Loaded as at 31/03/2023: 4.71%

PHASED IN CAPITAL POSITION (€/m and %)	31/03/2022	31/12/2022
CET 1 Capital T1 Capital Total Capital	9,011 10,104 12,545	8,618 10,008 11,789	Starting from 31/03/2023, PHASED IN values and ratios
RWA	64,372	60,200	coincide with
CET 1 Ratio	14.00%	14.32%	FULLY LOADED values and ratios
AT1	1.70%	2.31%
T1 Ratio	15.70%	16.62%
Tier 2	3.79%	2.96%
Total Capital Ratio	19.49%	19.58%

FULLY LOADED RWA COMPOSITION (€/bn)	31/03/2022	31/12/2022	31/03/2023
CREDIT & COUNTERPARTY RISK	54.9	51.0	50.6
of which: Standard	30.0	26.1	26.5
MARKET RISK	2.0	1.4	1.3
OPERATIONAL RISK	7.1	7.4	7.4
CVA	0.2	0.3	0.2
TOTAL	64.2	60.0	59.5

PHASED IN RWA COMPOSITION	31/03/2022	31/12/2022
(€/bn)
CREDIT & COUNTERPARTY RISK	55.0	51.2
of which: Standard	30.2	26.3
MARKET RISK	2.0	1.4
OPERATIONAL RISK	7.1	7.4
CVA	0.2	0.3
TOTAL	64.4	60.2

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%).

• Starting from 30 June 2022 and until 31/12/2022, Banco BPM chosen to adopt the temporary treatment of unrealised gains and losses measured at FVOCI, according to art. 468 of the CRR, as amended by Regulation (EU) 2020/873 (so called "CRR Quickfix"). The above-mentioned temporary treatment was considered only for the calculation of the phase-in capital ratios while it did not applied to the fully-loaded capital ratios.

ESG highlights of Q1 2023

In March 2023 Banco BPM joined the NZBA

• 5 priority sectors already identified:

• Communication of targets within 18 months

• o oil & gas
• o power generation
• o cement
• o automotive
• o coal

€750m Green Senior Pref. bond in Jan. 2023

Issued under the Green, Social and Sustainability Bonds Framework

ESG governance further strenghtened: Sustainability Committee established at Board level

SIGNIFICANT ISSUANCE ACTIVITY OF SOCIAL & GREEN BONDS:

• o €3.3bn Social & Green bonds issued in the period 2021-Jan. 2023 (o/w €3.0bn under the Green Social & Sustainability Bonds Framework), already above the target for 2021-2024
• COMPOSITION: Three non-executive and independent board members (2 women, 1 man)
• MISSION: Oversee the Sustainability goals defined by the Bank in coordination with Internal Control & Risk Committee

MSCI rating upgraded from BBB to A in March 2023

BBPM confirmed in the Bloomberg Gender Equality Index in Jan. 2023 with a score improved to 79.7

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)