Banco BPM SpA

Investor Presentation • Nov 8, 2022

Group 9M 2022 Results Presentation

08 November 2022

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.

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

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

The information contained in this presentation is for background purposes only and is subject to amendment, revision and updating without notice. Certain statements in this presentation are forward-looking statements about Banco BPM. Forward-looking statements are statements that are not historical facts and are based on information available to Banco BPM as of the date hereof, relying on scenarios, assumptions, expectations and projections regarding future events which are subject to uncertainties because dependent on factors most of which are beyond Banco BPM's control. These statements include financial projections and estimates and their underlying assumptions, statements regarding plans, objectives and expectations with respect to future operations, products and services, and statements regarding future performance. Forward-looking statements are generally identified by the words "expects", "anticipates", "believes", "intends", "estimates" and similar expressions. By their nature, forward-looking statements involve a number of risks, uncertainties and assumptions which could cause actual results or events to differ materially from those expressed or implied by the forward-looking statements. Banco BPM does not undertake any obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by applicable law. You should not place undue reliance on forward-looking statements, which speak only as of the date of this presentation. All subsequent written and oral forwardlooking statements attributable to Banco BPM or persons acting on its behalf are expressly qualified in their entirety by this disclaimer.

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

By participating to the presentation of the Group results and accepting a copy of this presentation, you agree to be bound by the foregoing limitations regarding the information disclosed in this presentation.

***

This presentation includes both accounting data (based on financial accounts) and internal management data (which are also based on estimates).

Mr. Gianpietro Val, as the manager responsible for preparing the Bank's accounts, hereby states pursuant to Article 154-bis, paragraph 2 of the Financial Consolidated Act that the accounting data contained in this presentation correspond to the documentary evidence, corporate books and accounting records.

Methodological Notes

• 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, as of 30/09/22, the items relating to the portfolios of financial assets and liabilities held by these insurance companies were introduced ('Financial assets of insurance companies measured in accordance with IAS 39', 'Insurance Direct funding and technical reserves', 'Financial liabilities of insurance companies measured at amortised cost in accordance with IAS 39'). 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 IAS 39 financial assets and liabilities portfolio of these insurance companies and the items attributable to the insurance business represented by net premia and the balance of income and expenses from insurance operations (net change in technical provisions, claims incurred and other income and expenses from insurance operations). 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 in the third quarter of 2022, 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. On the other hand, the total net contribution of these companies in the preceding quarters of 2022 and 2021, when the companies were 19% owned, is shown in the item "Income (loss) from investments in associates carried at equity", for the previous 19% stake held.
• With regard to the reclassified statement of financial position, please note that some comparative balances have been reclassified compared to what had originally been published, in order to reflect the changes in layout and preparation criteria introduced by update 7 of Circular no. 262, published by the Bank of Italy on 29 October 2021. The update introduced a change in the layout and preparation criteria of due from banks represented by demand deposits and current accounts, that must now be posted under the balance sheet line-item "10. Cash and cash equivalents", instead of the previous line item "40. Financial assets measured at Amortized Cost". In light of said change, as of the consolidated financial statements at 31 December 2021, due from banks represented by demand deposits and current accounts are posted under the reclassified balance sheet line item "Cash and cash equivalents", instead of the line item "Loans to other banks". The previous periods have been reclassified accordingly.
• 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 9M 2022 results press release published on 8 November 2022 for further details).
• Starting from 30 June 2022, Banco BPM has chosen to adopt the temporary treatment of unrealised gains and losses measured at fair value through other comprehensive income (FVOCI), according to art. 468 of the CRR, as amended by Regulation (EU) 2020/873 (so called "CRR Quick-fix"). During the period of temporary treatment (from 1 January 2020 to 31 December 2022), this treatment allows the institutions to remove from the calculation of their Common Equity Tier 1 an amount of unrealised gains and losses accumulated since 31 December 2019 accounted for as "fair value changes of debt instruments measured at fair value through other comprehensive income" in the balance sheet, corresponding to exposures to central governments, to regional governments or to local authorities referred to in Article 115(2) and to public sector entities referred to in Article 116(4) of the CRR, excluding those financial assets that are creditimpaired. During the last period from 1 January 2022 to 31 December 2022 the institutions shall apply a factor of 40%. Therefore, starting from 30 June 2022, the Group has excluded from the calculation of Common Equity Tier 1 (CET1) an amount equal to 40% of the unrealised gains and losses accumulated from 31 December 2019 and accounted for as changes in the fair value of debt instruments towards the afore mentioned counterparties measured at fair value with an impact on the comprehensive income in the balance sheet. The above-mentioned temporary treatment is considered only for the calculation of phase-in capital ratios while it is not applied to the fully-phased capital ratios.

Agenda

• Executive Summary 5
• Key Highlights 12
• 9M 2022 Performance Details 27

1

Executive Summary

Banco BPM: solid equity story based on a strong delivery track record, with significant further upside

SIGNIFICANT UPSIDE FROM THE NEW INTEREST RATE ENVIRONMENT

Note 1. Adjusted data, including Danish Compromise. CET 1 FL excluding Danish Compromise at 12.05% and MDA Buffer al 353bps. 2. Full line-by-line consolidation of Banco BPM Vita and Banco BPM Assicurazioni starting from 1 July 2022.

Outstanding performance with pre-tax profit +27% Y/Y and +9% Q/Q 1

		(Stated) P&L							Long-term		trend (Adjusted	data)
€ m	Q3 2021	Q2 2022	Q3 2022	Chg. Q/Q	9M 2021	9M 2022	Chg. Y/Y	€ m		Evolution		of 9M Net Income		Best 9M result
Net interest income	516	528	551		1,536	1,590					+15.5% Y/Y			ever achieved
Net fee and commission	475	487	473		1,425	1,440
Income from associates	47	41	32		145	123							565	652
Income from insurance business			14			14			144	305	395	264
Core revenues	1,039	1,056	1,070	1.3%	3,106	3,167	2.0%
Net financial result	36	49	75		252	252			9M	9M	9M	9M	9M	9M
Other revenues	26	15	20		66	52			2017	2018	2019	2020	2021	2022
Total revenues	1,101	1,120	1,165	4.1%	3,424	3,471	1.4%
Operating costs	-616	-632	-631		-1,891	-1,888
Pre-Provisions income	485	488	534	9.5%	1,533	1,583	3.2%			Evolution		of Cost / Income	ratio1
Loan loss provisions	-201	-153	-194		-673	-498
Other1	-23	-47	-27		-72	-84			63.7%	60.6%
Profit from Continuing operations (pre-tax)	262	288	313	8.7%	788	1,001	27.1%				59.8%	59.2%	56.6%
Taxes	-83	-93	-91		-217	-322								54.2%
Net profit from continuing operations	179	196	222	13.4%	571	679	18.9%
Systemic charges and other2	-68	10	-96		-99	-168
Net income	111	206	127		472	510			2017	2018	2019	2020	2021	9M
Adj. Net income	183	298	172		565	652								2022

P&L: Q3 2022 includes 100% line-by-line contribution of Banco BPM Vita and Banco BPM

Assicurazioni. Q3 2021 and Q2 2022 contribution of former Banco BPM Vita (19%) is included in

Income from Associates. See Methodological Notes.

Notes: 1. 2017 and 2018 P&L data are not fully comparable, due to different accounting standards (2017) and reclassification schemes (2017 & 2018).

2022E: one year ahead of Strategic Plan trajectory across main indicators 2

New Interest Rate scenario to drive a stronger profitability trajectory

Notes: 1. Calculated as Adjusted Net Profit from P&L (year x) / Tangible Shareholders' Equity end of period (excluding FY x Net Profit and AT1 instruments and Intangible assets net of fiscal effect). For 2022, Expected calculated on Tangible Shareholders' Equity as at 30/09/2022. 2. Applying the adjustments registered in 9M 2022.

Solid asset quality: overdelivery of 2024 Strategic Plan targets 3

Derisking

• Total derisking in 9M 2022³(incl. Project Argo, finalised in Q2 2022): ~€1.8bn
• Derisking expected to exceed €2bn in FY 2022
• Additional disposals of >€0.5bn targeted over the Plan horizon, with CoR already frontloaded

Notes: 1. As per the EU Transparency exercise. 2. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets net of fiscal effect). 3. Including disposals and workout (Cancellations, Write-offs, Recoveries, Cure & Other).

Significant organic capital generation, becoming even more valuable in light of the massive reduction in NPEs since the merger (-82%)

Note: 1. Calculated with different regulatory criteria than those applied starting from 2020. 2. CET 1 and MDA buffer as at 30/09/2022 adjusted including Danish Compromise. 3. Net NPEs over Tangible Net Equity (Shareholders' Net Equity less Intangible assets).

Strengthened Business Model 5

Bancassurance business: First step in integration

• 100% of former BPM Vita, rebranded Banco BPM Vita, consolidated line-byline as from Q3 2022
• Process for the recognition of "Financial Conglomerate" status well under way: prerequisite for Danish Compromise
• Non-Life: assessment ongoing to determine the potential of a new partnership - decision expected by YE 2022
• Exercise of call options on 65% of Vera Vita and Vera Assicurazioni potentially to come in H1 2023, with closing expected in H2 2023

Integration process well under way, with further build-up of profitability contribution to come

Digitalisation & Commercial Strategy ESG integration

• Share of remote-based transactions up at 84% in Q3 2022
• o Mobile transactions at 20% vs. 7% in 2019
• New SME Management Model:
• o 135 new specialized SME Business Centers activated (out of 150 targeted)
• o 442 RMs relocated from branches to new SME points

• NRRP Project

• o Training involving >1,000 colleagues
• o Activation of an intelligence platform for all employees
• o Activation of commercial activities on a target of 13,500 business customers

Remote-based transactions

• Successful issue of three "Green" bonds in 9M for a total of €1.55bn, o/w: €800m in Q3
• «Green» new lending¹ : €7.6bn in 9M 2022
• Sustainalytics ESG Risk Rating improved to 22.4 from 26.3
• S&P ESG score increased to 56 from 55

Note 1. Green lending to corporate and enterprise segments (excluding small business & institutional segments) and green residential mortgages.

Key Highlights

Steady improvement in quarterly operating performance

Cost / Income: -2.3 p.p. Q/Q; -1.7 p.p. Y/Y

Notes 1. Include: NII + Net commissions + Associates and, starting from Q3 2022, Income from Insurance Business (see methodological notes).

NII: strong growth in Q3 2022 driven by commercial activities

Strong increase in Commercial spread

At 1.92% (vs. 1.26% in Q2 22), driven by the rise in Euribor, with liability spread moving into positive territory at 0.33% in Q3: +76bps Q/Q

Substantial NII tailwinds to be driven by rising interest rates

Note: 1. Managerial data, based on average balance sheet figures of September.

Robust commercial performance

Driven by top quality franchise, rooted in the wealthiest areas of the country

Notes: 1. See slide 39 for details. 2. Non-financial Small Businesses with turnover up to €5m. 3. M/L-term Mortgages (Secured and Unsec.), Personal Loans, Pool and Structured Finance (including revolving). 4. Management data, Households, Corporate, Enterprises and Small Businesses: rated positions.

Total Fees and Commissions at €1,440m, +1.0% Y/Y thanks to strong commercial banking fees

Management, Intermediation and Advisory fees

Effectiveness of our business model in a complex scenario:

• Lending fees: +€28m Y/Y (+31%) and +€12m Q3/Q3 (+34%)
• Payment services fees: +€15m Y/Y (+12%) and +€5m Q3/Q3 (+12%)

Effective performance of fees from trade finance-related business: €55m fees in 9M 2022; +10.7% Y/Y¹

Management, Intermediation and Advisory fees impacted by volatile market scenario:

• Positive performance of insurance products, certificates, intermediation of consumer credit, credit card products: +€41m Y/Y (-€5m Q/Q due to seasonality and +€14m Q3/Q3)
• Funds & Sicav (-€63m Y/Y, -€17m Q/Q) affected by market volatility in the upfront component, with running fees increasing by 2% Y/Y and substantially stable Q/Q³

1. Non-domestic guarantees granted, bank transfers, currency commissions and other. 2. Management data of the commercial network. Include Funds & Sicav, Bancassurance, Certificates and Managed Accounts & Funds of Funds. 3. Managerial data.

Operating costs under control, notwithstanding current energy cost inflation and consolidation of insurance business from Q3

In 9M 22, adjusted¹ : -1.1% Y/Y, o/w: Staff costs: -4.3% Y/Y; Other Admin. Exp. +5.9% Y/Y, including impact of energy-related cost inflation (+€15.6m Y/Y) and IT investment-related costs (+€8.5m Y/Y); D&A +4.0% Y/Y

In 3Q 22, adjusted¹ : -0.8% Q/Q, o/w: Staff costs: -1.2% Q/Q; Other Admin. Exp. -1.2% Q/Q; D&A +3.1% Q/Q

Headcount: 20,237 employees, -328 vs. 30/09/2021, including +142 employees of Banco BPM Vita & Assicurazioni

Note: 1. Adjusted data re-add -€14.4m Covid-related savings in 9M 2021 in staff costs and exclude in D&A: €4m in Q3 22 (software write-offs) and €1.3m in 9M21 2. Banking business excludes consolidated "insurance business" costs for a total of €6.0m in Q3 2022 o/w: €2.8m in staff costs, €2.8m in Other Adm.Exp. and €0.4m in D&A

Cost of Risk: consistent with solid credit profile, proactive loan portfolio management and strengthened coverage ratios

Notes: 1. Managerial analysis.

Prudent loan portfolio management

	Conservative Stage classification of Performing Loans
GBV in € bn	105.7	106.6	108.4	107.1
Stage 2	11.4	11.7	11.2	13.0
Stage 1	94.3	94.9	97.2	94.1
Share of	30/09/21	31/12/21	30/06/22	30/09/22
Stage 2	10.8%	11.0%	10.4%	12.2%

Proactive management of borrowers exposed to energy/raw material-intensive sectors

Early engagement campaigns activated starting from Q2 2022 on borrowers particularly exposed to energy/raw material-intensive sectors

• The engagement campaigns are aimed at detecting even more speedily potential distress signals not immediately captured by standard risk/early warning indicators
• Clients already contacted for a total exposure of >€9bn end-October (new enlarged perimeter in Q3)
• Reassuring feedback from the campaigns: only €47m classified as NPEs in July-October 2022, on top of €55m already classified in Q2
• Conservative staging approach for performing exposures: €2.5bn classified in Stage 2 as at 30/09/2022

Strong funding & liquidity position

• €103.3bn of C/A and Deposits (84% of total Direct Funding)
• Solid liquidity position: €36.4bn Cash + Unencumbered Liquid Assets¹
• Strong Liquidity & Funding ratios, significantly above minimum requirements and above the Strategic Plan 2021-2024 targets:
• o LCR at 179%, higher than pre-pandemic level (>165% as at 31/12/2019)

o NSFR >100%

Recognition of improvements in:

• Asset Quality
• Profitability
• Operating Efficiency
• Capital Position

… together with franchise strength and solid liquidity and funding position

Notes: 1. See slide 37 for details.

Optimization and higher diversification of Debt securities portfolio

Italian Govies: reduction in the share on total Govies and mostly concentrated in AC

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: contribution to NFR and limited impact from Italian Govies

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

Notes: 1. "Other" includes: govies from other countries and corporates. 2. Portfolio sensitivity for a +1 bps rate variation, including hedging and option strategies. Managerial data.

Robust capital position and buffers

All data include also the interim profit, subject to ECB authorization. Notes: 1. Based on 50% dividend payout ratio. 2. Before Danish Compromise. 3. €400m Tier 2 issued in January 2022 and €300m AT1 issued in April 2022.

9M 2022 performance in a nutshell

Strong operating performance

• ❑ ADJUSTED NET INCOME AT RECORD LEVEL: €652m (+15.5% Y/Y)
• ❑ GROWTH IN CORE REVENUES: UP AT €3,167m (+2.0% Y/Y)
• ❑ SOLID PRE-TAX PROFIT: €1,001m (vs. €788m in 9M 2021: +27.1% Y/Y)

❑ C/I RATIO DOWN TO 54.4% (55.2% in 9M 2021)

❑ COST OF RISK: 61 BPS¹ (81 BPS IN FY 2021), WITH "CORE" AT 47 BPS

Further improvement in asset quality

❑ GROSS NPE STOCK DOWN BY €1.1BN YTD: -17.0% YTD AND -3.5% IN Q3 2022

❑ GROSS NPE RATIO DOWN TO 4.7% (FROM 5.6% AT YEAR-END 2021)

❑ NET NPE RATIO DOWN TO 2.4% (FROM 3.0% AT YEAR-END 2021)

Ahead of Strategic Plan targets for YE 2024

❑ DEFAULT RATE at 0.9%¹(1.8% Strategic Plan assumption for FY 2022)

Solid capital position

❑ CET 1 FULLY LOADED at 12.4%²

❑ MDA BUFFER at 387bps²

Solid delivery track record confirmed, leveraging on key strengths

Performance Outlook

NII sensitivity as key catalyst driving an upward revision of the profitability trajectory …

...ONE YEAR AHEAD OF THE BOTTOM-LINE TARGETS OF THE STRATEGIC PLAN 2021-2024:

New baseline macroscenario for 2023:

• Flat GDP: ~0%
• Average Euribor at ~2%

New Expected 2023 EPS >60 cents

(vs. ~50 cents targeted in the Plan)

Note: 1. Guidance given in the H1 2022 Results Presentation. 2. Applying the adjustments registered in 9M 2022 3. Including application of the Danish Compromise and based on the current bond yield levels.

9M 2022 Performance Details

Quarterly Stated P&L results

Reclassified income statement (€m)	Q1 21	Q2 21	Q3 21	Q4 21	Q1 22	Q2 22	Q3 22	Chg. Q/Q	Chg. Q/Q %
Net interest income	496.8	522.4	516.4	506.0	511.5	527.6	551.3	23.7	4.5%
Income (loss) from invest. in associates carried at equity	41.5	56.5	46.8	87.1	49.6	41.5	31.6	-9.9	-23.9%
Net interest, dividend and similar income	538.4	578.9	563.2	593.1	561.2	569.1	582.9	13.8	2.4%
Net fee and commission income	471.4	478.7	475.3	485.8	480.1	486.8	473.2	-13.6	-2.8%
Other net operating income	18.2	21.7	26.3	9.1	16.7	15.0	20.4	5.4	35.7%
Net financial result	99.7	116.5	35.9	-1.4	127.9	48.9	75.1	26.3	53.8%
Income from insurance business							13.6	13.6
Other operating income	589.3	617.0	537.5	493.4	624.7	550.7	582.3	31.7	5.8%
Total income	1,127.7	1,195.9	1,100.7	1,086.5	1,185.9	1,119.7	1,165.2	45.5	4.1%
Personnel expenses	-426.9	-417.1	-409.8	-413.9	-407.9	-405.3	-400.5	4.8	-1.2%
Other administrative expenses	-154.1	-153.9	-144.0	-149.1	-155.6	-162.7	-160.7	1.9	-1.2%
Amortization and depreciation	-62.9	-60.6	-61.8	-61.6	-61.2	-64.1	-70.1	-6.0	9.4%
Operating costs	-643.9	-631.6	-615.6	-624.7	-624.7	-632.1	-631.3	0.8	-0.1%
Profit (loss) from operations	483.8	564.2	485.1	461.9	561.2	487.7	533.9	46.3	9.5%
Net adjustments on loans to customers	-217.1	-255.5	-200.6	-214.0	-151.1	-152.6	-193.9	-41.4	27.1%
Profit (loss) on FV measurement of tangible assets	0.1	-37.0	-7.8	-96.9	-1.2	-39.6	-7.5	32.1	-81.0%
Net adjustments on other financial assets	-0.4	0.9	0.2	-1.1	-3.2	-2.3	-3.0	-0.7	29.1%
Net provisions for risks and charges	-7.2	-5.6	-15.5	2.3	-8.1	-4.6	-16.3	-11.7	n.m.
Profit (loss) on the disposal of equity and other invest.	0.0	-0.4	0.4	-18.7	1.5	-0.1	0.3	0.3	n.m
Income (loss) before tax from continuing operations	259.1	266.7	261.8	133.4	399.1	288.5	313.5	25.0	8.7%
Tax on income from continuing operations	-82.7	-50.6	-83.3	-37.2	-138.4	-92.6	-91.4	1.2	-1.3%
Income (loss) after tax from continuing operations	176.4	216.0	178.5	96.2	260.6	195.9	222.1	26.2	13.4%
Systemic charges after tax	-59.2	-19.3	-61.7	-4.8	-74.6	0.0	-77.3	-77.3
Realignment of fiscal values to accounting values	0.0	79.2	0.0	2.5	0.0	0.0	0.0	0.0
Goodwill impairment	0.0	0.0	0.0	0.0	0.0	-8.1	0.0	8.1
Income (loss) attributable to minority interests	0.0	0.1	0.0	0.1	0.0	0.1	0.0	0.0
Purchase Price Allocation after tax	-10.3	-9.7	-10.2	-9.3	-8.5	-7.2	-18.0	-10.9	n.m.
Fair value on own liabilities after Taxes	-6.8	-5.1	4.0	12.3	0.2	25.5	-0.3	-25.8	n.m
Net income (loss) for the period	100.1	261.2	110.7	97.1	177.8	206.1	126.5	-79.6	-38.6%

9M 2022 income statement: stated and adjusted comparison

Reclassified income statement (€m)	9M 21	9M 22	Chg. Y/Y %	9M 21 adjusted	9M 22 adjusted	Chg. Y/Y %
Net interest income	1,535.6	1,590.5	3.6%	1,535.6	1,590.5	3.6%
Income (loss) from invest. in associates carried at equity	144.9	122.7	-15.3%	144.9	122.7	-15.3%
Net interest, dividend and similar income	1,680.5	1,713.1	1.9%	1,680.5	1,713.1	1.9%
Net fee and commission income	1,425.4	1,440.1	1.0%	1,425.4	1,440.1	1.0%
Other net operating income	66.2	52.1	-21.3%	66.2	52.1	-21.3%
Net financial result	252.1	251.9	-0.1%	252.1	256.6	1.8%
Income from insurance business		13.6			13.6
Other operating income	1,743.7	1,757.7	0.8%	1,743.7	1,762.4	1.1%
Total income	3,424.2	3,470.8	1.4%	3,424.2	3,475.5	1.5%
Personnel expenses	-1,253.9	-1,213.7	-3.2%	-1,268.2	-1,213.7	-4.3%
Other administrative expenses	-452.0	-478.9	5.9%	-452.0	-478.9	5.9%
Amortization and depreciation	-185.2	-195.4	5.5%	-183.9	-191.4	4.0%
Operating costs	-1,891.1	-1,888.0	-0.2%	-1,904.2	-1,884.0	-1.1%
Profit (loss) from operations	1,533.1	1,582.8	3.2%	1,520.0	1,591.5	4.7%
Net adjustments on loans to customers	-673.2	-497.6	-26.1%	-479.2	-384.9	-19.7%
Profit (loss) on FV measurement of tangible assets	-44.7	-48.4	8.2%	0.0	0.0
Net adjustments on other financial assets	0.8	-8.6	n.m	0.8	-8.6	n.m
Net provisions for risks and charges	-28.3	-29.0	2.5%	-28.3	-14.5	-48.6%
Profit (loss) on the disposal of equity and other invest.	0.0	1.7	n.m	0.0	0.0
Income (loss) before tax from continuing operations	787.6	1,001.1	27.1%	1,013.3	1,183.5	16.8%
Tax on income from continuing operations	-216.6	-322.4	48.8%	-289.5	-381.8	31.8%
Income (loss) after tax from continuing operations	571.0	678.7	18.9%	723.8	801.8	10.8%
Systemic charges after tax	-140.2	-151.8	8.3%	-120.9	-151.8	25.6%
Realignment of fiscal values to accounting values	79.2	0.0		0.0	0.0
Goodwill impairment	0.0	-8.1		0.0	0.0
Income (loss) attributable to minority interests	0.1	0.2	12.9%	0.1	0.2	12.9%
Purchase Price Allocation after tax	-30.2	-33.7	11.6%	-30.2	-23.0	-23.9%
Fair value on own liabilities after Taxes	-8.0	25.3	n.m	-8.0	25.3	n.m
Net income (loss) for the period	472.0	510.5	8.2%	564.8	652.4	15.5%

P&L: 9M 2022 stated and adjusted comparison with one-off details

E-MARKET SDIR
CERTIFIED

Reclassified income statement (€m)	9M 2022	9M 2022 adjusted	One-off	Non-recurring items
Net interest income	1,590.5	1,590.5	0.0
Income (loss) from invest. in associates carried at equity	122.7	122.7	0.0
Net interest, dividend and similar income	1,713.1	1,713.1	0.0
Net fee and commission income	1,440.1	1,440.1	0.0
Other net operating income	52.1	52.1	0.0
Net financial result	251.9	256.6	-4.7	FV adjustments on Financial Assets
Income from insurance business	13.6	13.6	0.0
Other operating income	1,757.7	1,762.4	-4.7
Total income	3,470.8	3,475.5	-4.7
Personnel expenses	-1,213.7	-1,213.7	0.0
Other administrative expenses	-478.9	-478.9	0.0
Amortization and depreciation	-195.4	-191.4	-4.0	Software write-offs
Operating costs	-1,888.0	-1,884.0	-4.0
Profit (loss) from operations	1,582.8	1,591.5	-8.7
Net adjustments on loans to customers	-497.6	-384.9	-112.7	Additional NPE disposals
Profit (loss) on FV of tangible assets	-48.4	0.0	-48.4	Adjustments on tangible assets
Net adjustments on other financial assets	-8.6	-8.6	0.0
Net provisions for risks and charges	-29.0	-14.5	-14.4	Prudential provisions related to contractual duties
Profit (loss) on the disposal of equity and other invest.	1.7	0.0	1.7	Disposal of tangible assets
Income (loss) before tax from continuing operations	1,001.1	1,183.5	-182.5
Tax on income from continuing operations	-322.4	-381.8	59.4
Income (loss) after tax from continuing operations	678.7	801.8	-123.1
Systemic charges after tax	-151.8	-151.8	0.0
Goodwill impairment	-8.1	0.0	-8.1	Goodwill impairment
Income (loss) attributable to minority interests	0.2	0.2	0.0
Purchase Price Allocation after tax	-33.7	-23.0	-10.7	Effects from consolidation of insurance business
Fair value on own liabilities after Taxes	25.3	25.3	0.0
Net income (loss) for the period	510.5	652.4	-141.9

Reclassified Balance Sheet

					Chg. Y/Y		Chg. YTD		Chg. Q/Q
Reclassified assets (€ m)	30/09/21	31/12/21	30/06/22	30/09/22	Value	%	Value	%	Value	%
Cash and cash equivalents	20,133	29,153	33,109	24,370	4,237	21.0%	-4,783	-16.4%	-8,739	-26.4%
Loans and advances measured at AC	120,156	121,261	120,540	113,234	-6,922	-5.8%	-8,027	-6.6%	-7,306	-6.1%
- Loans and advances to banks	11,424	11,878	9,732	3,857	-7,567	-66.2%	-8,021	-67.5%	-5,875	-60.4%
1 - Loans and advances to customers ( )	108,733	109,383	110,808	109,377	645	0.6%	-6	0.0%	-1,431	-1.3%
Other financial assets	42,869	36,326	40,964	40,486	-2,383	-5.6%	4,160	11.5%	-477	-1.2%
- Assets measured at FV through PL	8,560	6,464	8,486	9,521	961	11.2%	3,057	47.3%	1,035	12.2%
- Assets measured at FV through OCI	12,870	10,675	10,594	10,012	-2,858	-22.2%	-663	-6.2%	-583	-5.5%
- Assets measured at AC	21,440	19,187	21,883	20,954	-486	-2.3%	1,766	9.2%	-930	-4.2%
Financial assets measured at FV pursuant to IAS 39 pertaining to insurance companies				5,948	n.m.	n.m.	n.m.	n.m.	n.m.	n.m.
Equity investments	1,732	1,794	1,538	1,427	-304	-17.6%	-367	-20.4%	-110	-7.2%
Property and equipment	3,384	3,278	3,192	3,137	-247	-7.3%	-141	-4.3%	-55	-1.7%
Intangible assets	1,214	1,214	1,203	1,288	73	6.0%	74	6.1%	85	7.0%
Tax assets	4,613	4,540	4,582	4,683	70	1.5%	143	3.1%	101	2.2%
Non-current assets held for sale and discont. operations	128	230	103	170	41	32.3%	-60	-26.1%	67	65.3%
Other assets	2,552	2,692	3,431	3,327	775	30.4%	635	23.6%	-104	-3.0%
Total	196,781	200,489	208,662	198,070	1,289	0.7%	-2,419	-1.2%	-10,592	-5.1%
Reclassified liabilities (€ m)	30/09/21	31/12/21	30/06/22	30/09/22	Value	%	Value	%	Value	%
Banking Direct Funding	119,004	120,213	123,907	119,508	505	0.4%	-705	-0.6%	-4,399	-3.5%
- Due from customers	105,306	107,121	110,705	106,576	1,270	1.2%	-545	-0.5%	-4,129	-3.7%
- Debt securities and financial liabilities designed at FV	13,697	13,092	13,202	12,932	-765	-5.6%	-160	-1.2%	-270	-2.0%
Insurance Direct Funding and technical reserves				5,947	n.m.	n.m.	n.m.	n.m.	n.m.	n.m.
- Financial liabilities measured at FV pursuant to IAS 39 pertaining to insurance companies				1,494	n.m.	n.m.	n.m.	n.m.	n.m.	n.m.
- Technical reserves pertaining to insurance companies				4,453	n.m.	n.m.	n.m.	n.m.	n.m.	n.m.
Due to banks	44,084	45,685	46,224	44,151	67	0.2%	-1,534	-3.4%	-2,073	-4.5%
Debts for Leasing	705	674	679	644	-61	-8.6%	-30	-4.4%	-35	-5.2%

Other financial liabilities designated at FV 13,356 15,755 17,248 9,351 -4,005 -30.0% -6,405 -40.7% -7,898 -45.8% Financial liabilities measured at AC pursuant to IAS 39 pertaining to insurance companies ² n.m. n.m. n.m. n.m. n.m. n.m. Liability provisions 1,244 1,197 1,021 999 -244 -19.7% -198 -16.5% -22 -2.1% Tax liabilities 309 303 287 304 -4 -1.4% 1 0.5% 17 5.9% Other liabilities 5,099 3,566 6,486 4,585 -514 -10.1% 1,019 28.6% -1,901 -29.3% Minority interests 1 1 1 1 0 8.1% 0 22.1% 0 -3.5% Shareholders' equity 12,980 13,095 12,808 12,578 -402 -3.1% -517 -3.9% -230 -1.8% Total 196,781 200,489 208,662 198,070 1,289 0.7% -2,419 -1.2% -10,592 -5.1%

Note: 1. "Customer loans" include the Senior Notes of the three GACS transactions.

Direct funding from the Banking business¹

Direct customer funding²(without Repos)

					+1.1%
						-2.9%
Capital-protected Certificates		121.4		123.2	126.4		122.7
Other
Bonds Time deposits		101.4		104.0	106.7		102.8
C/A & Sight deposits		(83.5%)		(84.5%)	(84.5%)		(83.7%)
(% Share on total)
		30/09/2021		31/12/2021	30/06/2022		30/09/2022
	30/09/21	31/12/21	30/06/22	30/09/22	% chg. Y/Y	% chg. YTD	% chg. Q/Q
C/A & Sight deposits	101.4	104.0	106.7	102.8	1.4%	-1.2%	-3.7%
Time deposits	1.1	1.0	0.7	0.5	-50.9%	-45.0%	-22.7%
Bonds	13.7	13.1	13.2	12.9	-5.5%	-1.1%	-2.0%
Other	1.6	1.5	2.2	2.7	70.2%	82.6%	20.8%
Capital-protected Certificates	3.7	3.6	3.5	3.8	2.8%	5.6%	7.9%
Direct Funding (excl. Repos)	121.4	123.2	126.4	122.7	1.1%	-0.4%	-2.9%

Note: 1. For Technical reserves & Financial liabilities from insurance business, see slide 46. 2. Direct funding restated according to a management accounting logic: includes capital-protected certificates, recognized essentially under 'Held-for-trading liabilities', while it does not include Repos (€0.6bn on 30/09/2022 vs €1.1bn on 30/06/2022, 0.6bn on 31/12/2021 and €1.3bn on 30/09/2021), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

Bond maturities: limited and manageable amounts

Managerial data based on nominal amounts. Excluding calls.

Liability profile: Bonds outstanding and issues

Managerial data based on nominal amounts.

Note: 1. Include also Repos with underlying retained Covered Bonds. 2. Private placement.

Indirect customer funding at €87.8bn

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

1

• Total Indirect Customer Funding at €87.8bn from €90.5bn as at 30/06/2022, €99.1bn as at 31/12/2021 and 96.6 as at 30/09/2021, exclusively due to the market effect.
• Assessing only the volume effect, total Indirect Customer Funding grew by +0.3% Q/Q, +2.2% YTD and +3.0% Y/Y.

Managerial data of the commercial network. AuC historic data restated for managerial adjustments. Note: 1. AuC data are net of capital-protected certificates, as they have been regrouped under Direct Funding (see slide 32).

Focus on Govies portfolio

0.1

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

Solid liquidity position: LCR at 179% & NSFR >100% as at 30/09/2022

• Total Encumbered Eligible Assets at €45.2bn³ at end of September 2022
• TLTRO III nominal exposure at €39.2bn as at 30/09/22 (stable in Q3 2022, +€1.7bn Y/Y)

Managerial data, net of haircuts.

Notes: 1. Include assets received as collateral and is net of accrued interests. 2. Refers to uncollateralized securities lending of high-quality liquid assets. 3. Encumbered in ECB refinancing operations, REPOs and other.

New lending at €20.3bn in 9M 2022: +20.6% Y/Y

New lending guaranteed by the State at €4.8bn in 9M 2022

New lending¹ : trend and composition

• Strong performance of new lending to Enterprises & Corporate on a yearly basis (+25.7% Y/Y)
• New lending to Households -2.2% Y/Y
• Quarterly trend impacted mainly by seasonality in New lending to Households

Net Customer Loans

Sound increase in Performing Loans

Net Customer Loans¹

Performing Loans NPE

						Change
Net Performing Customer Loans	30/09/21	31/12/21	30/06/22	30/09/22	In % y/y	In % YTD	In % q/q
Core customer loans	99.7	99.5	102.8	102.9	3.2%	3.4%	0.0%
- Medium/Long-Term loans	77.1	77.3	79.7	80.6	4.6%	4.3%	1.2%
- Current Accounts	8.3	8.2	9.6	8.9	7.8%	8.5%	-6.8%
- Cards & Personal Loans	1.6	1.3	1.1	1.0	-35.2%	-24.1%	-8.7%
- Other loans	12.7	12.6	12.5	12.3	-3.2%	-2.3%	-1.3%
GACS Senior Notes	2.4	2.3	2.1	2.0	-15.1%	-11.9%	-5.7%
Repos	2.4	3.7	2.3	1.2	-50.1%	-66.8%	-48.0%
Leasing	0.8	0.7	0.6	0.6	-25.3%	-17.7%	-7.0%
Total Net Performing Loans	105.3	106.1	107.9	106.7	1.4%	0.5%	-1.2%

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

Analysis of gross Performing loan portfolio

Asset Quality details

Loans to Customers at AC¹

Gross exposures	30/09/2021	31/12/2021	30/06/2022	30/09/2022		Chg. y/y	Chg. YTD		Chg. q/q
€/m and %					Value	%	Value	%	Value	%
Bad Loans	2,148	2,190	1,996	1,997	-150	-7.0%	-193	-8.8%	1	0.1%
UTP	4,386	4,126	3,405	3,218	-1,168	-26.6%	-908	-22.0%	-187	-5.5%
Past Due	63	60	84	78	15	24.5%	18	30.8%	-6	-7.0%
NPE	6,596	6,376	5,485	5,293	-1,303	-19.8%	-1,083	-17.0%	-191	-3.5%
Performing Loans	105,724	106,577	108,392	107,139	1,415	1.3%	561	0.5%	-1,253	-1.2%
TOTAL CUSTOMER LOANS	112,320	112,953	113,876	112,432	112	0.1%	-522	-0.5%	-1,444	-1.3%

Net exposures	30/09/2021	31/12/2021	30/06/2022	30/09/2022	Chg. y/y		Chg. YTD		Chg. q/q
€/m and %					Value	%	Value	%	Value	%
Bad Loans	934	906	769	744	-190	-20.4%	-162	-17.9%	-25	-3.2%
UTP	2,485	2,309	2,034	1,876	-609	-24.5%	-433	-18.8%	-158	-7.8%
Past Due	52	45	59	56	4	7.4%	12	26.0%	-3	-4.6%
NPE	3,472	3,261	2,862	2,676	-795	-22.9%	-584	-17.9%	-185	-6.5%
Performing Loans	105,261	106,123	107,947	106,701	1,440	1.4%	578	0.5%	-1,246	-1.2%
TOTAL CUSTOMER LOANS	108,733	109,383	110,808	109,377	645	0.6%	-6	0.0%	-1,431	-1.3%

Coverage ratios %	30/09/2021	31/12/2021	30/06/2022	30/09/2022
Bad Loans	56.5%	58.6%	61.5%	62.7%
UTP	43.3%	44.0%	40.3%	41.7%
Past Due	16.6%	25.3%	29.8%	28.1%
NPE	47.4%	48.9%	47.8%	49.4%
Performing Loans	0.44%	0.43%	0.41%	0.41%
TOTAL CUSTOMER LOANS	3.2%	3.2%	2.7%	2.7%

Notes: 1. Loans and advances to customers at Amortized Cost, including also the GACS senior notes. 3. 9M 2022 Performance Details

Capital position in detail¹

PHASED IN CAPITAL POSITION (€/m and %)	30/09/2021	31/12/2021	30/06/2022	30/09/2022
CET 1 Capital T1 Capital Total Capital	9,654 10,830 12,782	9,387 10,564 12,524	8,884 10,275 12,549	8,316 9,705 11,496
RWA	66,374	63,931	63,321	61,606
CET 1 Ratio	14.54%	14.68%	14.03%	13.50%
AT1	1.77%	1.84%	2.20%	2.26%
T1 Ratio	16.32%	16.52%	16.23%	15.75%
Tier 2	2.94%	3.07%	3.59%	2.91%
Total Capital Ratio	19.26%	19.59%	19.82%	18.66%

PHASED IN RWA COMPOSITION (€/bn)	30/09/2021	31/12/2021	30/06/2022	30/09/2022
CREDIT & COUNTERPARTY RISK of which: Standard	56.0 29.7	54.1 29.7	54.2 29.3	53.1 27.9
MARKET RISK	3.0	2.5	1.8	1.4
OPERATIONAL RISK	7.0	7.1	7.1	6.9
CVA	0.3	0.3	0.2	0.2
TOTAL	66.4	63.9	63.3	61.6

Leverage ratio Phased-In as at 30/09/2022: 4.84%

FULLY LOADED CAPITAL POSITION (€/m and %)	30/09/2021	31/12/2021	30/06/2022	30/09/2022	FULLY LOADED RWA COMPOSITION	30/09/2021	31/12/2021	30/06/2022	30/09/2022
CET 1 Capital	8,815	8,559	8,053	7,397	(€/bn)
T1 Capital	9,908	9,652	9,443	8,786	CREDIT & COUNTERPARTY
Total Capital	11,860	11,613	11,717	10,576	RISK	55.8	53.9	54.0	52.9
RWA	66,167	63,729	63,123	61,399	of which: Standard	29.5	29.5	29.1	27.7
CET 1 Ratio	13.32%	13.43%	12.76%	12.05%	MARKET RISK	3.0	2.5	1.8	1.4
AT1	1.65%	1.71%	2.20%	2.26%	OPERATIONAL RISK	7.0	7.1	7.1	6.9
T1 Ratio	14.97%	15.15%	14.96%	14.31%	CVA	0.3	0.3	0.2	0.2
Tier 2	2.95%	3.08%	3.60%	2.92%
Total Capital Ratio	17.92%	18.22%	18.56%	17.23%	TOTAL	66.2	63.7	63.1	61.4

Leverage ratio Fully Loaded as at 30/09/2022: 4.40%

Notes: 1. Data as at 30/09/2022 without application of the Danish Compromise.

• All data include also the interim profit, subject to ECB authorization, net of dividend accrual. • Starting from 30 June 2022, Banco BPM has 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 Quick-fix"). The above-mentioned temporary treatment is considered only for the calculation of phase-in capital ratios while it is not

Strong development of digital banking

-

Digital adoption: ongoing growth

Notes: 1. Digital Identity enrolling from November 2020. 2. As reported on 30th September 2022. 3. Mobile APP for SMEs available since November 2021.

Key ESG achievements in Q3 2022

€500m Green Senior Non Preferred Bond, issued in September 2022 under the €25bn EMTN programme

• First Green Bond issued from Banco BPM in a Senior Non-Preferred format and second Green SNP ever in Italy
• Use of proceeds: finance or refinance new and/or existing Eligible Green Loans as defined within the Green, Social & Sustainability Bonds Framework (such as green residential mortgages, green project finance, etc.)

IMPROVEMENTS IN ESG RATINGS

• Sustainalytics ESG risk rating improved in September 2022 to 22.4, from 26.3, thanks to ESG risk management upgraded to "Strong" from the previous "Average"

• S&P on 23 September improved the ESG Score to 56 from 55

€300m Green Senior Pref. Bond, issued in July 2022 (private placement)

Note: 1. ESG investors: asset managers / owners with alternatively: an ESG strategy (with dedicated Esg analysts and/or proprietary approach using ESG KPIs and with public ESG commitments) or at least mandate to integrate ESG considerations in their AM with high level ESG considerations (like exclusion policy),

Details on Insurance business consolidated starting from 1 July 2022

Banco BPM Vita & Banco BPM Assicurazioni portfolio fully consolidated starting from 1 July 2022

P&L contribution of Bipiemme Vita & Assicurazioni¹

	Q3 22
Fees and other net operating income	0.6
Income from insurance business	13.6
Total income	14.2
Personnel expenses	-2.8
Other administrative expenses	-2.8
Amortization and depreciation	-0.4
Operating costs	-6.0
Profit (loss) from operations	8.2
Tax on income from continuing operations	-4.6
Net income (loss) for the period	3.6

Technical reserves & Financial liabilities from insurance business

	30/09/22
Technical reserves	4,453
Life business	4,431
- Mathematical reserves	4,517
- Reserves for amounts payable	58
- Other reserves	-144
Non-life business	22
- Premium reserves	13
- Claims reserves	9
Financial liabilities of the insurance companies,	1,494
valued at FV under IAS 39
- Unit-linked products	1,494
TOTAL2	5,947

Note: 1. See Methodological Notes. 2. Include €5.8bn also considered in the indirect customer fund, being part of the AUM from bancassurance.

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)