Banco BPM SpA

Investor Presentation • Aug 3, 2022

H1 2022 Group Results Presentation

Disclaimer

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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

• With regard to the reclassified statement of financial position, please note that some comparative balances have been reclassified compared to what had been originally 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 H1 2022 results press release published on 3 August 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 credit-impaired. During the last period from 1 January 2022 to 31 December 2022 the institutions shall apply a factor of 40%. Therefore, as of 30 June 2022, the Group 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 until 30 June 2022 and accounted for as changes in the fair value of debt instruments towards the aforementioned 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 11
• H1 2022 Performance Details 24

1

Excellent achievements in a difficult operating environment…

Adjusted Net Income at record level in H1 2022 Sound volume growth, with further improvement in Asset Quality Ample Capital buffers
ROBUST PROFITABILITY	ONGOING SUPPORT TO ITALIAN REAL ECONOMY	FURTHER IMPROVEMENT IN ASSET QUALITY	SOUND CAPITAL & LIQUIDITY PROFILE
Core Revenues1 (+1.4% Q/Q; +1.4% H/H)	Core Net Perf. Customer Loans at €102.8bn (+1.5% Q/Q) Loans to Corporates & SMEs: •	Gross NPEs at €5.5bn (-€1.6bn Y/Y; -€0.8bn Q/Q) Gross NPE Ratio at 4.8%	CET 1 Fully Loaded at 12.8%
Operating costs under control (-1.5% H/H)	29% with State guarantees New Lending in H1 2022	(3.6% EBA definition) 0.9%3 Default Rate at	MDA Buffer Fully Loaded at 424bps
Q2 2022 Net Income at €206m (+15.9% Q/Q)	at €13.7bn (+13.5% Y/Y) • New lending to SMEs: 58% with State guarantees	Cost of Risk at 55bps3 Future additional disposals:	LCR at 208%
H1 2022 Adj. Net Income at €497m	«Green» new lending2 : €4.6bn • Core Direct Customer Funding at €107.4bn (+0.5% Q/Q)	>€0.5bn, with CoR already frontloaded at 35bps3 "Core" Cost of Risk	NSFR >100%

… well positioned to benefit from strong potential NII boost to face the uncertain scenario

Note: 1. Annualised. 2.Calculated with different regulatory rules vs. 2021 and 2022 data. Source: 3. Bloomberg on 29 July 22. 4. Forecast in Nov. 2021.

Solid quarterly progression confirms Strategic Plan trajectory

Additional benefit from new interest rate scenario NOT embedded in Strategic Plan assumptions

Note 1. Includes: NII+ Net commissions + Associates. 2. Including, within the core revenues, the net profit contribution from new bancassurance business model, as indicated in the 2021-2024 Strategic Plan.

Quarterly CoR data are annualised.

Asset Quality KPIs: Already ahead of the 2024 Strategic Plan Target

Further increase in derisking target over the Plan horizon

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).

Bancassurance: update on business model evolution

2

Key Highlights

H1 results at record level: Adj. Net Income at €497m (+30.1% Y/Y) P&L

€ m	Q1 2022	Q2 2022	Chg. Q/Q	H1 2021	H1 2022	Chg. H/H
Net interest income	512	528		1,019	1,039
Net fee and commission	480	487		950	967
Income from associates	5 0	4 1		9 8	9 1
Core revenues	1,041	1,056	1.4%	2,067	2,097	1.4%
Net financial result	128	4 9		216	177
Other revenues	1 7	1 5		4 0	3 2
Total revenues	1,186	1,120	-5.6%	2,324	2,306	-0.8%
Operating costs	-625	-632		-1,276	-1,257
Pre-Provisions income	561	488	-13.1%	1,048	1,049	0.1%
Loan loss provisions	-151	-153	0.9%	-473	-304	-35.7%
Other1	-11	-47		-50	-58
Profit from Continuing operations (pre-tax)	399	288	-27.7%	526	688	30.8%
Taxes	-138	-93		-133	-231
Net profit from continuing operations	261	196	-24.8%	392	457	16.3%
Systemic charges and other2	-83	1 0		-31	-73
Net income	178	206	15.9%	361	384	6.3%
Adj. Net income	199	298	49.5%	382	497	30.1%

Notes:.1. Includes: Profit (loss) on FV measurement of tang. assets, 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).

12 2. Key Highlights

NB: See slide 26 for details of P&L and slide 27 for details of adjustment elements.

Net interest income

-0.54

• ... whereby the bank remains strongly geared to rate increases even after TLTRO reimbursement

Note: 1. Δ NII: Sensitivity of NII based on a parallel shift in yield curve (+50/+100bps); it measures the impact on NII coming from an increase in rates vs. a scenario of an unchanged yield curve.

Euribor 3M Avg. -0.55 -0.55 -0.55 -0.57 -0.37

Strong tailwinds arising from NII sensitivity

2. Key Highlights 13

% on NII

Fees & Commissions

Solid performance in Net Fees & Commissions

• Supporting trend in new lending and payment-related services confirming the effectiveness of our business model in a difficult context
• Positive performance in intermediation (consumer credit and credit card products)
• Strong contribution in Q2 from CIB & structured finance advisory fees
• Lower fees related to Fund & Sicav placements, partially offset by higher fees from life insurance & certificates placements

Operating costs

Cost of Risk reduction consistent with solid credit profile

Migration rates

Solid credit profile and proactive loan portfolio management:

• Migration rates already in line with long-term Strategic Plan targets and better than the level expected for FY 2022²
• Reassuring feedback from early engagement campaign towards borrowers particularly exposed to energy/raw material-intensive sectors (only €55m classified as NPEs), coupled with strict staging classification
• Total Stage 2 GBV at €11.2bn, down by €0.36bn in Q2 (10.4% of total performing loans, vs. 10.7% as at 31/03/22), including €1.5bn due to prudential and temporary staging classification to face scenario uncertainties
• 29% of perf. loans to Corporates & SMEs are State-guaranteed, vs. 27% as at 30/06/21

Notes: 1. Managerial analysis. 2. Migration rates expected for FY 2022 in the Strategic Plan: 1.8% Default Rate, 14.7% Danger Rate and 18.3% Workout rate.

NPE evolution in H1 2022

Another significant step ahead in derisking: NPE stock down to €5.5bn

Notes: 1. As per the EU Transparency exercise.

Optimization and higher diversification of Debt securities portfolio

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

Debt securities portfolio: sound contribution to NFR and low impact from Italian Govies

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.

Main Liquidity & Funding indicators at a glance

31/12/16 31/12/19 31/12/20 31/12/21 31/03/22 30/06/22

• NSFR >100%, in line with the Strategic Plan 2021-2024 target
• Liquidity¹ at €45.1bn

Notes: 1. Cash + Unencumbered Liquid Assets; see slide 35 for details.

Robust capital position and buffers, notwithstanding FVOCI impact

All data include also the interim profit, subject to ECB authorization. Notes: 1. Based on 50% dividend payout ratio. 2. Based on the current interest rate scenario. 3. See Methodological Notes for more details. 4. €400m Tier 2 issue in January 2022 and €300m AT1 issue in April 2022.

Final remarks

Excellent results in H1 2022 in a difficult context, leveraging on a solid and safe business profile

Strong operating performance

❑ ADJUSTED NET INCOME AT RECORD LEVEL: €497m in H1 2022

❑ GROWTH IN CORE REVENUES: €2,097m +1.4% H/H

❑ SOLID PRE-TAX PROFIT: €688m +30.8% H/H

❑ C/I RATIO DOWN TO 54.5% in H1 2022 (54.9% in H1 2021)

❑ LLPs DOWN TO €304m in H1 2022 (-35.7% H/H)

Further improvement in asset quality

❑ GROSS NPE STOCK DOWN BY -€1.6bn Y/Y (-22.3%) o/w €0.9bn in H1 2022

❑ GROSS NPE RATIO DOWN TO 4.8% vs. 6.2% on 30/06/2021

❑ DEFAULT RATE at 0.9% in H1 2022¹(1.0% in FY 2021)

Solid capital position

❑ CET 1 FULLY LOADED at 12.8%

❑ MDA BUFFER at 424bps

Notes: 1. Annualised.

In the current scenario, NII sensitivity is the catalyst to support revenues and to create room to offset a potential deterioration in macroeconomic conditions

Profitability trajectory of the Strategic Plan confirmed for 2023-2024

impact.

Note: 1. Considers the adjustments registered in H1 2022. 2. Including Danish Compromise

H1 2022 Performance Details

Quarterly P&L results

Reclassified income statement (€m)	Q1 21	Q2 21	Q3 21	Q4 21	Q1 22	Q2 22	Chg. Q/Q	Chg. Q/Q %
Net interest income	496.8	522.4	516.4	506.0	511.5	527.6	16.0	3.1%
Income (loss) from invest. in associates carried at equity	41.5	56.5	46.8	87.1	49.6	41.5	-8.2	-16.5%
Net interest, dividend and similar income	538.4	578.9	563.2	593.1	561.2	569.1	7.9	1.4%
Net fee and commission income	471.4	478.7	475.3	485.8	480.1	486.8	6.7	1.4%
Other net operating income	18.2	21.7	26.3	9.1	16.7	15.0	-1.6	-9.8%
Net financial result	99.7	116.5	35.9	-1.4	127.9	48.9	-79.1	-61.8%
Other operating income	589.3	617.0	537.5	493.4	624.7	550.7	-74.0	-11.9%
Total income	1,127.7	1,195.9	1,100.7	1,086.5	1,185.9	1,119.7	-66.1	-5.6%
Personnel expenses	-426.9	-417.1	-409.8	-413.9	-407.9	-405.3	2.5	-0.6%
Other administrative expenses	-154.1	-153.9	-144.0	-149.1	-155.6	-162.7	-7.1	4.6%
Amortization and depreciation	-62.9	-60.6	-61.8	-61.6	-61.2	-64.1	-2.8	4.6%
Operating costs	-643.9	-631.6	-615.6	-624.7	-624.7	-632.1	-7.4	1.2%
Profit (loss) from operations	483.8	564.2	485.1	461.9	561.2	487.7	-73.5	-13.1%
Net adjustments on loans to customers	-217.1	-255.5	-200.6	-214.0	-151.1	-152.6	-1.4	0.9%
Profit (loss) on FV measurement of tangible assets	0.1	-37.0	-7.8	-96.9	-1.2	-39.6	-38.4	n.m.
Net adjustments on other financial assets	-0.4	0.9	0.2	-1.1	-3.2	-2.3	0.8	-26.5%
Net provisions for risks and charges	-7.2	-5.6	-15.5	2.3	-8.1	-4.6	3.5	-43.3%
Profit (loss) on the disposal of equity and other invest.	0.0	-0.4	0.4	-18.7	1.5	-0.1	-1.6	n.m
Income (loss) before tax from continuing operations	259.1	266.7	261.8	133.4	399.1	288.5	-110.6	-27.7%
Tax on income from continuing operations	-82.7	-50.6	-83.3	-37.2	-138.4	-92.6	45.8	-33.1%
Income (loss) after tax from continuing operations	176.4	216.0	178.5	96.2	260.6	195.9	-64.7	-24.8%
Systemic charges after tax	-59.2	-19.3	-61.7	-4.8	-74.6	0.0	74.6	n.m.
Realignment of fiscal values to accounting values	0.0	79.2	0.0	2.5	0.0	0.0	0.0	n.m.
Goodwill impairment	0.0	0.0	0.0	0.0	0.0	-8.1	-8.1	n.m.
Income (loss) attributable to minority interests	0.0	0.1	0.0	0.1	0.0	0.1	0.0	53.5%
Purchase Price Allocation after tax	-10.3	-9.7	-10.2	-9.3	-8.5	-7.2	1.3	-15.5%
Fair value on own liabilities after Taxes	-6.8	-5.1	4.0	12.3	0.2	25.5	25.3	n.m.
Net income (loss) for the period	100.1	261.2	110.7	97.1	177.8	206.1	28.3	15.9%

H1 2022 stated and adjusted comparison

Reclassified income statement (€m)	H1 21	H1 22	Chg. H/H %	H1 21 adjusted	H1 22 adjusted	Chg. H/H %
Net interest income	1,019.2	1,039.1	2.0%	1,019.2	1,039.1	2.0%
Income (loss) from invest. in associates carried at equity	98.1	91.1	-7.1%	98.1	91.1	-7.1%
Net interest, dividend and similar income	1,117.3	1,130.2	1.2%	1,117.3	1,130.2	1.2%
Net fee and commission income	950.1	966.9	1.8%	950.1	966.9	1.8%
Other net operating income	39.9	31.7	-20.6%	39.9	31.7	-20.6%
Net financial result	216.3	176.8	-18.2%	216.3	181.5	-16.1%
Other operating income	1,206.3	1,175.4	-2.6%	1,206.3	1,180.1	-2.2%
Total income	2,323.5	2,305.6	-0.8%	2,323.5	2,310.3	-0.6%
Personnel expenses	-844.0	-813.2	-3.7%	-858.4	-813.2	-5.3%
Other administrative expenses	-308.0	-318.2	3.3%	-308.0	-318.2	3.3%
Amortization and depreciation	-123.5	-125.3	1.5%	-122.2	-125.3	2.6%
Operating costs	-1,275.5	-1,256.7	-1.5%	-1,288.6	-1,256.7	-2.5%
Profit (loss) from operations	1,048.0	1,048.9	0.1%	1,034.9	1,053.6	1.8%
Net adjustments on loans to customers	-472.6	-303.7	-35.7%	-378.6	-191.0	-49.6%
Profit (loss) on FV measurement of tangible assets	-36.9	-40.8	10.7%	0.0	0.0
Net adjustments on other financial assets	0.5	-5.5	n.m	0.5	-5.5	n.m
Net provisions for risks and charges	-12.8	-12.7	-0.6%	-12.8	-12.7	-0.6%
Profit (loss) on the disposal of equity and other invest.	-0.4	1.5	n.m	0.0	0.0
Income (loss) before tax from continuing operations	525.8	687.6	30.8%	644.1	844.4	31.1%
Tax on income from continuing operations	-133.3	-231.0	73.3%	-171.0	-282.9	65.5%
Income (loss) after tax from continuing operations	392.5	456.5	16.3%	473.1	561.5	18.7%
Systemic charges after tax	-78.6	-74.6	-5.1%	-59.3	-74.6	25.8%
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	0.1	-2.7%	0.1	0.1	-2.7%
Purchase Price Allocation after tax	-20.0	-15.7	-21.8%	-20.0	-15.7	-21.8%
Fair value on own liabilities after Taxes	-11.9	25.7	n.m	-11.9	25.7	n.m
Net income (loss) for the period	361.3	383.9	6.3%	382.0	497.0	30.1%

P&L: H1 2022 stated and adjusted comparison with one-off details

Reclassified income statement (€m)	H1 2022	H1 2022 adjusted	One-off	Non-recurring items
Net interest income	1,039.1	1,039.1	0.0
Income (loss) from invest. in associates carried at equity	91.1	91.1	0.0
Net interest, dividend and similar income	1,130.2	1,130.2	0.0
Net fee and commission income	966.9	966.9	0.0
Other net operating income	31.7	31.7	0.0
Net financial result	176.8	181.5	-4.7	FV adjustments on Financial Assets
Other operating income	1,175.4	1,180.1	-4.7
Total income	2,305.6	2,310.3	-4.7
Personnel expenses	-813.2	-813.2	0.0
Other administrative expenses	-318.2	-318.2	0.0
Amortization and depreciation	-125.3	-125.3	0.0
Operating costs	-1,256.7	-1,256.7	0.0
Profit (loss) from operations	1,048.9	1,053.6	-4.7
Net adjustments on loans to customers	-303.7	-191.0	-112.7	Additional NPE disposal
Profit (loss) on FV of tangible assets	-40.8	0.0	-40.8	Adjustments on tangible assets
Net adjustments on other financial assets	-5.5	-5.5	0.0
Net provisions for risks and charges	-12.7	-12.7	0.0
Profit (loss) on the disposal of equity and other invest.	1.5	0.0	1.5	Disposal on tangible assets
Income (loss) before tax from continuing operations	687.6	844.4	-156.8
Tax on income from continuing operations	-231.0	-282.9	51.9
Income (loss) after tax from continuing operations	456.5	561.5	-104.9
Systemic charges after tax	-74.6	-74.6	0.0
Goodwill impairment	-8.1	0.0	-8.1	Goodwill impairment
Income (loss) attributable to minority interests	0.1	0.1	0.0
Purchase Price Allocation after tax	-15.7	-15.7	0.0
Fair value on own liabilities after Taxes	25.7	25.7	0.0
Net income (loss) for the period	383.9	497.0	-113.0

Reclassified Balance Sheet as at 30/06/2022

						Chg. y/y		Chg. YTD	Chg. q/q
Reclassified assets (€ m)	30/06/21	31/12/21	31/03/22	30/06/22	Value	%	Value	%	Value	%
Cash and cash equivalents	21,258	29,153	32,077	33,109	11,852	55.8%	3,956	13.6%	1,033	3.2%
Loans and advances measured at AC	117,409	121,261	119,218	120,540	3,131	2.7%	-721	-0.6%	1,322	1.1%
- Loans and advances to banks	8,035	11,878	8,329	9,732	1,697	21.1%	-2,146	-18.1%	1,403	16.8%
1 - Loans and advances to customers ( )	109,374	109,383	110,889	110,808	1,434	1.3%	1,425	1.3%	-80	-0.1%
Other financial assets	45,956	36,326	40,679	40,964	-4,992	-10.9%	4,637	12.8%	284	0.7%
- Assets measured at FV through PL	8,586	6,464	7,017	8,486	-101	-1.2%	2,022	31.3%	1,469	20.9%
- Assets measured at FV through OCI	15,447	10,675	12,143	10,594	-4,853	-31.4%	-81	-0.8%	-1,549	-12.8%
- Assets measured at AC	21,922	19,187	21,520	21,883	-39	-0.2%	2,696	14.1%	364	1.7%
Equity investments	1,689	1,794	1,642	1,538	-151	-8.9%	-256	-14.3%	-105	-6.4%
Property and equipment	3,435	3,278	3,290	3,192	-242	-7.1%	-86	-2.6%	-97	-2.9%
Intangible assets	1,221	1,214	1,214	1,203	-18	-1.5%	-11	-0.9%	-11	-0.9%
Tax assets	4,680	4,540	4,532	4,582	-98	-2.1%	42	0.9%	50	1.1%
Non-current assets held for sale and discont. operations	100	230	204	103	3	2.8%	-127	-55.3%	-102	-49.7%
Other assets	2,784	2,692	2,935	3,431	647	23.3%	739	27.5%	496	16.9%
Total	198,530	200,489	205,792	208,662	10,132	5.1%	8,173	4.1%	2,870	1.4%
Reclassified liabilities (€ m)	30/06/21	31/12/21	31/03/22	30/06/22	Value	%	Value	%	Value	%

Direct Funding	120,146	120,213	123,356	123,907	3,760	3.1%	3,694	3.1%	551	0.4%
- Due from customers	106,883	107,121	109,584	110,705	3,822	3.6%	3,584	3.3%	1,121	1.0%
- Debt securities and financial liabilities desig. at FV	13,263	13,092	13,771	13,202	-61	-0.5%	109	0.8%	-570	-4.1%
Due to banks	44,269	45,685	46,788	46,224	1,954	4.4%	539	1.2%	-565	-1.2%
Debts for Leasing	722	674	712	679	-43	-6.0%	5	0.8%	-33	-4.7%
Other financial liabilities designated at FV	12,683	15,755	15,757	17,248	4,565	36.0%	1,493	9.5%	1,491	9.5%
Liability provisions	1,277	1,197	1,163	1,021	-255	-20.0%	-176	-14.7%	-142	-12.2%
Tax liabilities	312	303	282	287	-24	-7.8%	-15	-5.1%	5	1.9%
Liabilities associated with assets held for sale	2	0	0	0		-2 -100.0%	0	n.m.	0	n.m.
Other liabilities	6,199	3,566	4,751	6,486	287	4.6%	2,920	81.9%	1,735	36.5%
Minority interests	1	1	1	1		0 8.8%	0	26.5%	0	-4.5%
Shareholders' equity	12,918	13,095	12,980	12,808	-110	-0.8%	-287	-2.2%	-172	-1.3%
Total	198,530	200,489	205,792	208,662	10,132	5.1%	8,173	4.1%	2,870	1.4%

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

New lending at €13.7bn in H1 2022: +13.5% Y/Y

New lending at €7.0bn in Q2 2022, +4.8% Q/Q

New lending¹

: trend and composition

• New lending to Households + 0.5% Q/Q and +1.4% Y/Y
• Strong performance of new lending to Enterprises & Corporate (+5.7% Q/Q and +16.2% Y/Y)
• New lending guaranteed by the State at €3.8bn in H1 2022, o/w €2.1bn in Q2 (+21.2% Q/Q)

Note: 1. M/L-term Mortgages (Sec. and Unsec.), Personal Loans, Pool and Structured Finance (including revolving). 2. Includes also institutional segments (Institutional, Entities, Third Sector and PA). 3. All loans guaranteed by the State, including Covid and non-Covid measures.

Direct funding

Direct customer funding¹(without Repos)

	30/06/21	31/12/21	31/03/22	30/06/22	% chg. Y/Y	% chg. YTD	% chg. Q/Q
C/A & Sight deposits	103.0	104.0	106.0	106.7	3.6%	2.6%	0.7%
Time deposits	1.2	1.0	0.9	0.7	-39.4%	-28.9%	-22.5%
Bonds	13.2	13.1	13.8	13.2	-0.3%	0.9%	-4.1%
Other	1.6	1.5	1.9	2.2	41.1%	51.1%	17.8%
Capital-protected Certificates	3.6	3.6	3.6	3.5	-3.1%	-2.1%	-2.1%
Direct Funding (excl. Repos)	122.6	123.2	126.1	126.4	3.1%	2.6%	0.2%

Note: 1. Direct funding restated according to a management accounting logic: includes capitalprotected certificates, recognized essentially under 'Held-for-trading liabilities', while it does not include Repos (€1.1bn on 30/06/2022 vs €0.8bn on 31/03/2022, 0.6bn on 31/12/2021 and €1.2bn on 30/06/2021), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

Bond maturities: limited and manageable amounts

Managerial data based on nominal amounts. Excluding calls.

Notes: 1. Include also the maturities of Repos with underlying retained Covered Bonds: €0.50bn in FY 2022. 2. With negligible impact on T2 Capital.

Liability profile: Bonds outstanding and issues

Managerial data based on nominal amounts.

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

Indirect customer funding at €90.5bn

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

Assets under Custody (AuC) 1

• Total Indirect Customer Funding at €90.5bn from €95.6bn as at 31/03/22 and €96.5bn as at 30/06/21, exclusively due to the market effect
• Assessing only the volume effect, total Indirect Customer Funding grew by +1.4% Q/Q and +2.6% 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 30).

Focus on Govies portfolio

Solid liquidity position: LCR at 208% & NSFR >100% as at 30/06/2022

• Total Encumbered Eligible Assets at €53.8bn¹ at end of June 2022
• TLTRO III nominal exposure at €39.2bn as at 30/06/22 (stable in Q2 2022, +€1.7bn Y/Y)

Managerial data, net of haircuts.

Notes: 1. Includes assets received as collateral and is net of accrued interests. 2. Refers to uncollateralized securities lending of high-quality liquid assets

Net Customer Loans

Satisfactory increase in Performing Loans

Net Customer Loans¹

Performing Loans NPE

						Change
Net Performing Customer Loans	30/06/21	31/12/21	31/03/22	30/06/22	In % y/y	In % YTD	In % q/q
Core customer loans	99.8	99.5	101.3	102.8	3.0%	3.4%	1.5%
- Medium/Long-Term loans	76.3	77.3	78.2	79.7	4.4%	3.1%	1.9%
- Current Accounts	8.3	8.2	8.9	9.6	14.8%	16.3%	7.2%
- Cards & Personal Loans	1.7	1.3	1.2	1.1	-36.1%	-16.9%	-7.1%
- Other loans	13.4	12.6	13.0	12.5	-7.0%	-1.0%	-4.0%
GACS Senior Notes	2.5	2.3	2.1	2.1	-12.7%	-6.5%	0.8%
Repos	2.5	3.7	3.7	2.3	-8.3%	-36.1%	-36.4%
Leasing	0.8	0.7	0.7	0.6	-22.7%	-11.5%	-7.1%
Total Net Performing Loans	105.7	106.1	107.8	107.9	2.2%	1.7%	0.1%

Net Performing loans in Stage 2 at €10.9bn (€11.2bn as at 31/03/22 and €11.4bn YE 2021), with a coverage stable at 2.9%

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

Analysis of Performing loan portfolio

Notes: 1. Financials include REPOs with CC&G. 2. All loans guaranteed by the State, including Covid and non-Covid measures.

Asset Quality details

Loans to Customers at AC¹

Gross exposures	30/06/2021	31/12/2021	31/03/2022	30/06/2022		Chg. y/y		Chg. YTD		Chg. q/q
€/m and %					Value	%	Value	%	Value	%
Bad Loans	2,123	2,190	2,226	1,996	-127	-6.0%	-195	-8.9%	-230	-10.3%
UTP	4,825	4,126	3,974	3,405	-1,420	-29.4%	-721	-17.5%	-569	-14.3%
Past Due	114	60	53	84	-30	-26.1%	24	40.6%	31	58.7%
NPE	7,062	6,376	6,252	5,485	-1,577	-22.3%	-892	-14.0%	-768	-12.3%
Performing Loans	106,123	106,577	108,244	108,392	2,269	2.1%	1,814	1.7%	148	0.1%
TOTAL CUSTOMER LOANS	113,185	112,953	114,496	113,876	692	0.6%	923	0.8%	-620	-0.5%
Net exposures	30/06/2021	31/12/2021	31/03/2022	30/06/2022		Chg. y/y		Chg. YTD		Chg. q/q
€/m and %					Value	%	Value	%	Value	%
Bad Loans	947	906	849	769	-178	-18.8%	-138	-15.2%	-80	-9.4%
UTP	2,674	2,309	2,211	2,034	-640	-23.9%	-276	-11.9%	-177	-8.0%
Past Due	96	45	39	59	-37	-38.6%	14	32.1%	20	51.1%
NPE	3,717	3,261	3,099	2,862	-855	-23.0%	-399	-12.2%	-237	-7.7%
Performing Loans	105,658	106,123	107,790	107,947	2,289	2.2%	1,824	1.7%	157	0.1%
TOTAL CUSTOMER LOANS	109,374	109,383	110,889	110,808	1,434	1.3%	1,425	1.3%	-80	-0.1%

Coverage ratios	30/06/2021	31/12/2021	31/03/2022	30/06/2022
%
Bad Loans	55.4%	58.6%	61.9%	61.5%
UTP	44.6%	44.0%	44.4%	40.3%
Past Due	15.6%	25.3%	26.3%	29.8%
NPE	47.4%	48.9%	50.4%	47.8%
Performing Loans	0.44%	0.43%	0.42%	0.41%
TOTAL CUSTOMER LOANS	3.4%	3.2%	3.2%	2.7%

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

NPE flows

Positive migration trends confirmed

Capital position in detail

PHASED IN CAPITAL POSITION (€/m and %)	30/06/2021	31/12/2021	31/03/2022	30/06/2022
CET 1 Capital T1 Capital Total Capital	9,676 10,853 12,921	9,387 10,564 12,524	9,011 10,104 12,545	8,884 10,275 12,549
RWA	68,789	63,931	64,372	63,321
CET 1 Ratio	14.07%	14.68%	14.00%	14.03%
AT1	1.71%	1.84%	1.70%	2.20%
T1 Ratio	15.78%	16.52%	15.70%	16.23%
Tier 2	3.01%	3.07%	3.79%	3.59%
Total Capital Ratio	18.78%	19.59%	19.49%	19.82%

Leverage ratio Phased-In as at 30/06/2022: 4.70%

FULLY PHASED CAPITAL POSITION (€/m and %)	30/06/2021	31/12/2021	31/03/2022	30/06/2022
CET 1 Capital T1 Capital Total Capital	8,827 9,920 11,988	8,559 9,652 11,613	8,435 9,528 11,969	8,053 9,443 11,717
RWA	68,579	63,729	64,208	63,123
CET 1 Ratio	12.87%	13.43%	13.14%	12.76%
AT1	1.59%	1.71%	1.70%	2.20%
T1 Ratio	14.46%	15.15%	14.84%	14.96%
Tier 2	3.02%	3.08%	3.80%	3.60%
Total Capital Ratio	17.48%	18.22%	18.64%	18.56%

PHASED IN
RWA COMPOSITION	30/06/2021	31/12/2021	31/03/2022	30/06/2022
(€/bn)
CREDIT & COUNTERPARTY
RISK	58.0	54.1	55.0	54.2
of which: Standard	31.5	29.7	30.2	29.3
MARKET RISK	3.5	2.5	2.0	1.8
OPERATIONAL RISK	7.0	7.1	7.1	7.1
CVA	0.3	0.3	0.2	0.2
TOTAL	68.8	63.9	64.4	63.3

FULLY PHASED RWA COMPOSITION (€/bn)	30/06/2021	31/12/2021	31/03/2022	30/06/2022
CREDIT & COUNTERPARTY RISK	57.8	53.9	54.9	54.0
of which: Standard	31.3	29.5	30.0	29.1
MARKET RISK	3.5	2.5	2.0	1.8
OPERATIONAL RISK	7.0	7.1	7.1	7.1
CVA	0.3	0.3	0.2	0.2
TOTAL	68.6	63.7	64.2	63.1

Leverage ratio Fully Loaded as at 30/06/2022: 4.33%

• 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 applied to the fully-phased capital ratios. See Methodological Notes for further details.

Strong development of digital banking

Digital adoption: ongoing growth

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

ESG integration: Key results & selected KPIs

BUSINESS	KPI
Green New Lending in H1 20221	€4.6bn
Bonds issued under the ESG bond framework (stock as at 30/06/22)	€1.25bn
ESG bond issues assisted by Banca Akros in H1 2022	€4.9bn
Share of ESG corporate bonds in the proprietary portfolio (30/06/22)	19.1%
PEOPLE	KPI
Share of women in managerial positions (30/06/22)	25.6%
Hours of ESG training courses in H1 2022	>143,000
Share of new hirings between 20-30 years (Jan.21 – Jun.22)	88.0%
COMMUNITY ENVIRONMENT	KPI
Donations and sponsorship for social & environmental projects in H1 22	€3.2m
Hours of corporate community services, ESG awareness and financial education in H1 2022	>7,400
Net Scope 1&2 emissions (market based) in H1 2022 (% chg. y/y)	-7.3%
Total Scope 1&2 consumptions in H1 2022 (% chg. y/y)	-7.3%

KEY ACHIEVEMENTS OF THE ESG ACTION PLAN

• First Climate Stress Test exercise coordinated by the ECB successfully completed in 2022: • further consolidation and testing of Group's ESG competence and strategies • improvement of climate risk measurement • development of specific climate stress testing methodologies • Full implementation of ESG lending policies and calculation of ESG Scores across all sectors for the Corporate and Enterprise segments • "Respect Programme": defined a "Respect Pact", approved by the top management, regarding the Group's commitment to respect each single person and all diversities • In July, Standard Ethics confirmed Banco BPM's sustainability rating at "EE" (corresponding to a "Strong" level), with Positive Outlook • Design of the ESG Advisory model with the consideration of the customers' ESG preferences, in line with the Mifid 2 regulatory guidelines • Significant increase of ESG Art. 8 & 9 funds within AUM, driven both by customer appetite and by the higher number of these products offered by asset managers

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

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)