Banco BPM SpA

Investor Presentation • Nov 5, 2021

9M 2021 Group Results Presentation

5 November 2021

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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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

• Before 30/09/2020, the impact from the change in own credit risk on certificates classified as financial liabilities measured at fair value through profit or loss was accounted under the item "Net Financial Results" of the Reclassified P&L scheme. Starting from 30/09/2020, this impact net of tax has been reclassified in one new single P&L item: "FV on Own Liabilities net of Tax"; the previous quarters of 2020 have been reclassified accordingly.
• Starting from 31/12/2020, an exposure in separate P&L items after tax is also provided for those non-recurring, particularly significant results deriving from extraordinary decisions (restructuring charges for the use of the redundancy fund, redundancy incentives, branch closure rather than benefits resulting from the decision to realign the fiscal values to the higher accounting values).
• It follows that, all the above mentioned items, together with those already shown in previous years after the net result of current activities ("Charges relating to the banking system after taxes" and "Impairment on goodwill") are placed after the aggregate of the "Net income from current operations", with the aim of allowing a more immediate understanding of the results of current operations. In light of the new classification criteria, the economic data relating to the previous periods under comparison have been restated on a consistent basis.
• In the area of companies consolidated with the equity method, the second quarter of 2020 has seen the entry of Anima Holding S.p.A., in which Banco BPM holds a stake of 19.385%. In the light of the changes brought about in the governance of the company, this stake, which is considered of strategic nature and which is destined to be held on a stable basis, is deemed to represent a situation of significant influence on the side of Banco BPM.
• Group capital ratios calculated including the net profit of the period and deducting the amount of the dividend pay-out expected for the year.

1. Summary 4

1. 9M 2021 Performance Details 14

9M 2021 AT A GLANCE: STRONG PERFORMANCE, DRIVEN BY ROBUST CORE REVENUES

CORE REVENUES1 (Incl. Income from Associates)	PRE-PROVISION INCOME	COST OF RISK3 & ASSET QUALITY	CAPITAL POSITION AND BUFFERS
€3,106m (+10.3% Y/Y)	€1,533m (+20.8% Y/Y)	Gross NPE ratio down at 5.9% (4.8% EBA definition)4	CET1 FL 13.3% MDA buffer: +453bps
Quarterly level Total revenues at €3.4bn consistently (+10.5% Y/Y) above €1bn		Net NPE ratio at 3.2x% Texas ratio at 29.2%	Capital strengthened: CET1 FL (+45bps vs. Jun 21)
▪		Default rate at 0.9%5
Strong growth in Fees ▪ (+15.5% Y/Y)	Robust NII (+4.2% Y/Y) Ongoing focus on cost control (-0.2% Y/Y2 )		Sound capital position with solid buffers despite
Solid contribution from strategic partnerships: at €144.9m6 (+35.3% Y/Y)	Cost/Income at 55% (down from 59% in 9M 20)	provisioning approach and frontloading of further derisking (ptf. disposals raised to €0.65bn)	the inclusion of all regulatory FY 2021 headwinds (-95bps)

NET INCOME AT €472M IN 9M 2021 STRONG POTENTIAL TO SUSTAIN AMBITIOUS PROFITABILITY

Note: 1. Core Revenues; NIII + Net Fees & Commission + Net Income from Associates 2. Normalised figures for an homogeneous comparison (positive elements for ~€80m in 9M20, €14.4m in 9M21) 3. Annualised figure. 4. As per the EBA Transparency exercise. 5. 9M 2021 annualised. 6. Income from Associates.

KEY P&L HIGHLIGHTS: 9M 2021 NET INCOME AT €472M

E-MARKET SDIR
CERTIFIED

		P&L STATED		P&L STATED
€ m	Q1 2021	Q2 2021	Q3 2021	9M 2020	9M 2021	Y/Y
NET INTEREST INCOME	497	522	516	1,474	1,536	4.2%
NET FEES & COMMISSIONS	471	479	475	1,235	1,425	15.5%
INCOME FROM ASSOCIATES	42	57	47	107	145	35.3%
CORE REVENUES	1,010	1,058	1,039	2,815	3,106	10.3%
NFR	100	117	36	241	252	4.7%
OTHER REVENUES	18	22	26	43	66
TOT. REVENUES	1,128	1,196	1,101	3,099	3,424	10.5%
OPERATING COSTS	-644	-632	-616	-1,830	-1,891
PRE-PROVISION INCOME	484	564	485	1,269	1,533	20.8%
LOAN LOSS PROVISIONS	-217	-256	-201	-801	-673
OTHER1	-8	-42	-23	-19	-72
PROFIT FROM CONTINUING OPERATIONS (pre-tax)	259	267	262	449	788	75.3%
TAXES	-83	-51	-83	-61	-217
NET PROFIT FROM CONTINUING OPERATIONS	176	216	179	388	571	47.3%
SYSTEMIC CHARGES AND OTHER2	-76	-34	-68	-125	-178	€565m
REALIG. OF FISCAL VALUES TO ACCOUNT. VALUE	0	79	0	0	79	adjusted3
NET INCOME	100	261	111	263	472	79.8%

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 and other investments. 2. Other includes: PPA and other elements (after tax). See slides 21 and 22 for details of P&L. 3. See slide 23 for details of adjustment elements.

NET INTEREST INCOME GROWTH IN 9M 2021

Notes: 1. Includes: ALM, financial activities, Hedging, interest on Bonds (Retail and Institutional) and other elements.

STRONG FEES & COMMISSIONS: GROWTH IN COMMERCIAL BANKING FEES COMPENSATING Q3 SEASONALITY

• Management & Advisory fees reach €713.5m in 9M 2021, registering a growth of +21.5% Y/Y, with an important increase also in the running component
• Commercial banking fees reach €711.8m in 9M 2021 (+10.0% Y/Y)
• In Q3 2021, Net fee and commission income comes in at €475.3m (+13.8% vs. Q3 20), with commercial banking fees at €248.6m (+7.6% Q/Q), thanks to traditional banking activities and payment services

Investment product placements: trend¹

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

OPERATING COSTS: STRONG FOCUS WITH FURTHER SAVINGS

HEALTHY VOLUME GROWTH, WITH A FURTHER REDUCTION IN MORATORIA LOANS AND SAFE LIQUIDITY PROFILE

Note: 1. As at 30/09/21, o/w: Government Moratoria €4.15bn and ABI Moratoria €0.05bn. 2. Monthly LCR (Sept. 2021) 3. Quarterly NSFR (Q3 2021). 4. Nominal amount.

DE-RISKING STRATEGY: ACHIEVING THE 5% THRESHOLD

MATERIAL IMPROVEMENT IN CREDIT QUALITY, ACCELERATED ALSO BY NEW DE-RISKING STRATEGY

LLPs & CoR: in line with guidance, even including provisions frontloaded for the higher de-risking target

9M 2021 «CORE» CoR 48BPS
annualised
(52BPS H1 21)

NON-CORE DRIVERS 35BPS IN 9M 2021 annualised: -Provisions for new derisking strategy (incl. Project Rockets and increased portfolio disposal target)

-Tightening of Stage 2 criteria and model changes for some selected portfolios

CAPITAL: SOLID POSITION AND BUFFERS, AT TOP LEVEL SINCE THE MERGER Further strengthening of capital adequacy, with excellent buffers even after the absorption of regulatory headwinds in 2021 (-95bps)

Note: All data include also the Net Income of the pertinent quarters. 1. Dividend accrual with an underlying payout ratio of about 40%.

FY 2021 OUTLOOK CONFIRMED BY CONSISTENT 9M 2021 RESULTS

1. Summary 4

2. 9M 2021 Performance Details 14

NEW LENDING: STILL FOSTERED BY STATE-GUARANTEED MEASURES

€16.9BN NEW LOANS IN 9M 2021, O/W €6.1BN COVID-19 MEASURES GUARANTEED BY THE STATE

• Strong yearly performance of new lending to Households: +35.4%
• Quarterly and yearly trend of new lending to Enterprises & Corporate impacted by seasonality and a lower level of Covid-19 Measures (-€1.0bn y/y and -€0.6bn q/q)
• Well above TLTRO III net lending targets: minimum requirement exceeded for the first observation period (ended in March 2021) with >€7bn² ; current buffer for the observation period ending at end 2021 at €2.5bn³

Management data

Note: 1. M/L-term Mortgages (Sec. and Unsec.), Personal Loans, Pool and Structured Finance (including revolving). 2. Valid for the application of the Deposit Facility Rate and the Special Interest Rate up until 23 June 2021. 3. Valid for the application of the Deposit Facility Rate and the Special Interest Rate from 24 June 2021 to 23 June 2022 and the application of the Deposit Facility Rate after 23 June 2022.

COVID-19 MORATORIA: 73% REDUCTION WITH VERY LOW DEFAULT RATE

STRONG RESILIENCE OF THE MORATORIA PORTFOLIO:

• Outstanding Performing Moratoria down to €4.2bn:

• - representing a very limited portion of gross performing customer loans (4.0%)
• Composition of loans under Moratoria by rating classes - concentrated in the best rating classes (71%), with Mid-High + High risk rating classes reduced by €2.7bn y/y
• Marginal Default Rate of expired Moratoria ~1%, down vs 1.25% of positions expired before June 2021

• Market share of 6.2%¹

Notes: 1. Moratoria system data sourced by Covid-19 Task Force Press Release

16 2. 9M 2021 Performance Details issued on 6/10/21. 2. Includes also Moratoria not perfected. 3. O/W: Government Moratoria €4.15bn and ABI Moratoria €0.05bn.

FOCUS ON GOVIES PORTFOLIO

6.2 6.3 4.3 30/09/20 30/06/21 30/09/21 6.1 6.9 6.9 30/09/20 30/06/21 30/09/21 4.4 6.0 5.5 30/09/20 30/06/21 30/09/21 14.8 13.2 12.7 30/09/20 30/06/21 30/09/21 € bn Italian Govies at AC Italian Govies at FVOCI € bn € bn € bn Non-IT Govies at AC Non-IT Govies at FVOCI € bn € bn -8.8% -32.4% -3.8% -0.1% -13.7% -31.4% -35.7% +12.7% +25.5% +53.8% Basis Point Value¹ -€1.3m -€1.1m Basis Point Value¹ -€4.3m -€1.6m -€1.1m -€1.5m -€1.5m -€1.8m -€1.2m -€1.0m -€2.0m -€1.3m

Italian Govies at FVTPL

0.4 0.7 0.6 30/09/20 30/06/21 30/09/21 Non-IT Govies at FVTPL -19.9%

Notes: 1. Sensitivity per 1 bps change in rates. Management data, including Swaps, Options & Forward 2. 9M 2021 Performance Details

FURTHER IMPROVEMENT IN KEY AQ INDICATORS

Notes: 1. Gross NPE ratio calculated as per EU Transparency Exercise. 2. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets net of fiscal effect). 3. Including loans at FV. 4. Managerial view.

FINANCIAL PORTFOLIO: NET FINANCIAL RESULT – RESERVES & UNREALISED GAINS

Included neither in the P&L results, nor in the Capital Position ^{875 631 590} 31/12/20 30/06/21 30/09/21

9M 2021 QUARTERLY P&L RESULTS

Reclassified income statement (€m)	Q1 20	Q2 20	Q3 20	Q4 20	Q1 21	Q2 21	Q3 21	Chg. Q/Q	Chg. Q/Q %
Net interest income	474.1	479.5	519.9	509.0	496.8	522.4	516.4	-5.9	-1.1%
Income (loss) from invest. in associates carried at equity	22.3	48.0	36.8	23.7	41.5	56.5	46.8	-9.7	-17.2%
Net interest, dividend and similar income	496.4	527.5	556.7	532.7	538.4	578.9	563.2	-15.7	-2.7%
Net fee and commission income	440.6	376.4	417.7	429.2	471.4	478.7	475.3	-3.4	-0.7%
Other net operating income	16.7	14.9	11.7	12.7	18.2	21.7	26.3	4.5	20.9%
Net financial result	0.8	82.7	157.3	77.8	99.7	116.5	35.9	-80.7	-69.2%
Other operating income	458.1	473.9	586.7	519.8	589.3	617.0	537.5	-79.5	-12.9%
Total income	954.4	1,001.5	1,143.3	1,052.5	1,127.7	1,195.9	1,100.7	-95.2	-8.0%
Personnel expenses	-419.0	-398.0	-357.0	-407.2	-426.9	-417.1	-409.8	7.3	-1.8%
Other administrative expenses	-154.6	-154.1	-159.8	-125.3	-154.1	-153.9	-144.0	9.9	-6.4%
Amortization and depreciation	-61.4	-61.7	-64.8	-67.2	-62.9	-60.6	-61.8	-1.2	1.9%
Operating costs	-635.0	-613.8	-581.5	-599.8	-643.9	-631.6	-615.6	16.0	-2.5%
Profit (loss) from operations	319.5	387.7	561.8	452.8	483.8	564.2	485.1	-79.1	-14.0%
Net adjustments on loans to customers	-213.2	-263.0	-324.3	-536.2	-217.1	-255.5	-200.6	54.9	-21.5%
Profit (loss) on FV measurement of tangible assets	-0.3	-5.1	-0.3	-31.0	0.1	-37.0	-7.8	29.1	-78.9%
Net adjustments on other financial assets	-4.7	-3.7	0.1	7.2	-0.4	0.9	0.2	-0.7	-74.2%
Net provisions for risks and charges	2.2	-9.8	0.9	-35.6	-7.2	-5.6	-15.5	-9.9	n.m.
Profit (loss) on the disposal of equity and other invest.	0.1	0.1	1.3	-0.4	0.0	-0.4	0.4	0.8	n.m
Income (loss) before tax from continuing operations	103.5	106.2	239.5	-143.1	259.1	266.7	261.8	-4.9	-1.8%
Tax on income from continuing operations	-25.7	-13.3	-22.5	47.9	-82.7	-50.6	-83.3	-32.6	64.5%
Income (loss) after tax from continuing operations	77.8	92.9	217.0	-95.2	176.4	216.0	178.5	-37.5	-17.4%
Restructuring costs	0.0	0.0	0.0	-187.0	0.0	0.0	0.0	0.0
Systemic charges after tax	-57.5	-18.2	-53.0	-10.2	-59.2	-19.3	-61.7	-42.3	n.m.
Realignment of fiscal values to accounting values	0.0	0.0	0.0	128.3	0.0	79.2	0.0	-79.2
Goodwill impairment	0.0	0.0	0.0	-25.1	0.0	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.0	1.5	2.5	0.2	0.0	0.1	0.0	-0.1	-64.1%
Purchase Price Allocation after tax	-6.6	-12.0	-11.4	-11.5	-10.3	-9.7	-10.2	-0.5	4.8%
Fair value on own liabilities after Taxes	137.9	-110.7	2.2	-41.1	-6.8	-5.1	4.0	9.1	n.m
Net income (loss) for the period	151.6	-46.4	157.3	-241.7	100.1	261.2	110.7	-150.5	-57.6%

P&L: 9M 2021 STATED AND ADJUSTED COMPARISON

Reclassified income statement (€m)	9M 20	9M 21	Chg. Y/Y %	9M 20 adjusted	9M 21 adjusted	Chg. Y/Y %
Net interest income	1,473.5	1,535.6	4.2%	1,473.5	1,535.6	4.2%
Income (loss) from invest. in associates carried at equity	107.1	144.9	35.3%	107.1	144.9	35.3%
Net interest, dividend and similar income	1,580.6	1,680.5	6.3%	1,580.6	1,680.5	6.3%
Net fee and commission income	1,234.6	1,425.4	15.5%	1,234.6	1,425.4	15.5%
Other net operating income	43.3	66.2	53.0%	43.3	66.2	53.0%
Net financial result	240.8	252.1	4.7%	240.8	252.1	4.7%
Other operating income	1,518.7	1,743.7	14.8%	1,518.7	1,743.7	14.8%
Total income	3,099.3	3,424.2	10.5%	3,099.3	3,424.2	10.5%
Personnel expenses	-1,173.9	-1,253.9	6.8%	-1,205.5	-1,268.2	5.2%
Other administrative expenses	-468.5	-452.0	-3.5%	-468.5	-452.0	-3.5%
Amortization and depreciation	-187.9	-185.2	-1.4%	-185.5	-183.9	-0.8%
Operating costs	-1,830.3	-1,891.1	3.3%	-1,859.4	-1,904.2	2.4%
Profit (loss) from operations	1,269.0	1,533.1	20.8%	1,239.8	1,520.0	22.6%
Net adjustments on loans to customers	-800.6	-673.2	-15.9%	-800.6	-479.2	-40.1%
Profit (loss) on FV measurement of tangible assets	-5.7	-44.7	n.m.	0.0	0.0
Net adjustments on other financial assets	-8.3	0.8	n.m	-8.3	0.8	n.m
Net provisions for risks and charges	-6.7	-28.3	n.m.	-6.7	-28.3	n.m.
Profit (loss) on the disposal of equity and other invest.	1.5	0.0	n.m	0.0	0.0
Income (loss) before tax from continuing operations	449.2	787.6	75.3%	424.3	1,013.3	n.m.
Tax on income from continuing operations	-61.5	-216.6	n.m.	-53.1	-289.5	n.m.
Income (loss) after tax from continuing operations	387.8	571.0	47.3%	371.2	723.8	95.0%
Systemic charges after tax	-128.7	-140.2	9.0%	-110.5	-120.9	9.4%
Realignment of fiscal values to accounting values	0.0	79.2	n.m.	0.0	0.0
Goodwill impairment	0.0	0.0		0.0	0.0
Income (loss) attributable to minority interests	4.0	0.1	-96.5%	3.8	0.1	-96.3%
Purchase Price Allocation after tax	-29.9	-30.2	0.9%	-29.9	-30.2	0.9%
Fair value on own liabilities after Taxes	29.4	-8.0	n.m	29.4	-8.0	n.m
Net income (loss) for the period	262.5	472.0	79.8%	263.9	564.8	n.m.

22 2. 9M 2021 Performance Details

ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement (€m)	9M 21	9M 21 adjusted	One-off	Non-recurring items
Net interest income	1,535.6	1,535.6	0.0
Income (loss) from invest. in associates carried at equity	144.9	144.9	0.0
Net interest, dividend and similar income	1,680.5	1,680.5	0.0
Net fee and commission income	1,425.4	1,425.4	0.0
Other net operating income	66.2	66.2	0.0
Net financial result	252.1	252.1	0.0
Other operating income	1,743.7	1,743.7	0.0
Total income	3,424.2	3,424.2	0.0
Personnel expenses	-1,253.9	-1,268.2	14.4	Covid-related savings
Other administrative expenses	-452.0	-452.0	0.0
Amortization and depreciation	-185.2	-183.9	-1.3	Adjustments on tangible assets
Operating costs	-1,891.1	-1,904.2	13.1
Profit (loss) from operations	1,533.1	1,520.0	13.1
Net adjustments on loans to customers	-673.2	-479.2	-194.0	Additional frontloading for the increase in the NPE disposal
Profit (loss) on FV measurement of tangible assets	-44.7	0.0	-44.7	Fair value assessments on properties
Net adjustments on other financial assets	0.8	0.8	0.0
Net provisions for risks and charges	-28.3	-28.3	0.0
Profit (loss) on the disposal of equity and other invest.	0.0	0.0	0.0
Income (loss) before tax from continuing operations	787.6	1,013.3	-225.7
Tax on income from continuing operations	-216.6	-289.5	72.9
Income (loss) after tax from continuing operations	571.0	723.8	-152.7
Systemic charges after tax	-140.2	-120.9	-19.3	Additional contribution to Italian Resolution Fund
Realignment of fiscal values to accounting values	79.2	0.0	79.2	Related to realignment of fiscal values to accounting values
Goodwill impairment	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.1	0.1	0.0
Purchase Price Allocation after tax	-30.2	-30.2	0.0
Fair value on own liabilities after Taxes	-8.0	-8.0	0.0
Net income (loss) for the period	472.0	564.8	-92.8

RECLASSIFIED BALANCE SHEET AS AT 30/09/2021

Reclassified assets (€ m)					Chg. y/y		Chg. YTD		Chg. in Q3
	30/09/20	31/12/20	30/06/21	30/09/21	Value	%	Value	%	Value	%
Cash and cash equivalents	806	8,858	20,718	19,732	18,926	n.m.	10,874	122.8%	-986	-4.8%
Loans and advances measured at AC	125,680	120,456	117,948	120,556	-5,123	-4.1%	101	0.1%	2,608	2.2%
- Loans and advances to banks	16,962	11,121	8,574	11,824	-5,138	-30.3%	703	6.3%	3,250	37.9%
- Loans and advances to customers (*)	108,718	109,335	109,374	108,733	15	0.0%	-602	-0.6%	-642	-0.6%
Other financial assets	46,954	41,176	45,956	42,869	-4,085	-8.7%	1,694	4.1%	-3,086	-6.7%
- Assets measured at FV through PL	10,548	9,119	8,586	8,560	-1,988	-18.9%	-559	-6.1%	-26	-0.3%
- Assets measured at FV through OCI	13,853	10,711	15,447	12,870	-983	-7.1%	2,159	20.2%	-2,577	-16.7%
- Assets measured at AC	22,553	21,346	21,922	21,440	-1,114	-4.9%	93	0.4%	-483	-2.2%
Equity investments	1,638	1,665	1,689	1,732	93	5.7%	67	4.0%	43	2.6%
Property and equipment	3,497	3,552	3,435	3,384	-113	-3.2%	-169	-4.8%	-51	-1.5%
Intangible assets	1,248	1,219	1,221	1,214	-34	-2.7%	-4	-0.4%	-7	-0.6%
Tax assets	4,618	4,704	4,680	4,613	-5	-0.1%	-91	-1.9%	-67	-1.4%
Non-current assets held for sale and discont. operations	111	73	100	128	18	15.9%	56	76.4%	28	28.4%
Other assets	2,101	1,983	2,784	2,552	451	21.5%	569	28.7%	-232	-8.3%
Total	186,654	183,685	198,530	196,781	10,127	5.4%	13,096	7.1%	-1,749	-0.9%
Reclassified liabilities (€ m)	30/09/20	31/12/20	30/06/21	30/09/21	Value	%	Value	%	Value	%
Direct Funding	115,417	116,937	120,146	119,004	3,587	3.1%	2,067	1.8%	-1,143	-1.0%
- Due from customers	99,424	102,162	106,883	105,306	5,883	5.9%	3,144	3.1%	-1,577	-1.5%
- Debt securities and financial liabilities desig. at FV	15,993	14,774	13,263	13,697	-2,296	-14.4%	-1,077	-7.3%	434	3.3%
Due to banks	31,888	33,938	44,269	44,084	12,196	38.2%	10,146	29.9%	-186	-0.4%
Debts for Leasing	672	760	722	705	32	4.8%	-56	-7.3%	-17	-2.4%
Other financial liabilities designated at FV	19,588	14,015	12,683	13,356	-6,232	-31.8%	-659	-4.7%	673	5.3%
Liability provisions	1,187	1,415	1,277	1,244	57	4.8%	-172	-12.1%	-33	-2.6%
Tax liabilities	638	465	312	309	-329	-51.6%	-156	-33.6%	-3	-1.0%
Liabilities associated with assets held for sale	3	0	2	0	-3	-100.0%	0	n.m.	-2	-100.0%
Other liabilities	4,804	3,928	6,199	5,099	295	6.1%	1,171	29.8%	-1,100	-17.7%
Minority interests	22	2	1	1	-21	-94.3%	-1	-33.9%	0	-2.9%
Shareholders' equity	12,436	12,225	12,918	12,980	544	4.4%	755	6.2%	62	0.5%

Note: * "Customer loans" include the Senior Notes of the three GACS transactions. 2. 9M 2021 Performance Details

DIRECT FUNDING

Solid position confirmed in Core funding

30/09/20 31/12/20 30/06/21 30/09/21 % chg. Y/Y % chg. YTD % chg. Q/Q C/A & Sight deposits 94.8 98.5 103.0 101.4 6.9% 2.9% -1.6% Time deposits 1.6 1.5 1.2 1.1 -31.9% -24.8% -4.6% Bonds 15.9 14.7 13.2 13.7 -14.3% -7.0% 3.4% Other 1.7 1.8 1.6 1.6 -6.3% -10.1% 0.1% Capital-protected Certificates 3.3 3.7 3.6 3.7 11.1% -0.5% 1.7% Direct Funding (excl. Repos) 117.4 120.1 122.6 121.4 3.4% 1.1% -1.0% 94.8 98.5 103.0 101.4 30/09/2020 31/12/2020 30/06/2021 30/09/2021 Capital-protected Certificates Other Bonds Time deposits C/A & Sight deposits € bn 117.4 +1.1% +3.4% (80.8%) (83.5%) 120.1 (% Share on total) (82.0%) 122.6 +€6.6bn Y/Y 121.4 (84.0%)

Note: 1. 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 (€1.3bn on 30/09/2021 vs. €1.2bn on 30/06/2021, €0.5bn on 31/12/2020 and €1.3bn on 30/09/2020), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

INDIRECT CUSTOMER FUNDING AT €96.6BN

Assets under Management (AuM)

Assets under Custody (AuC) 1

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

• Total Indirect Customer Funding at €96.6bn: +9.2% Y/Y and +5.5% YTD
• Increase in AuM to €63.7bn: +9.7% Y/Y, thanks mostly to the excellent performance of Funds and Sicav (+13.2%), due to both the price and the volume effects. YTD growth at +6.9%.
• AuC at €32.9bn: +8.3% Y/Y, thanks to the price effect. YTD growth at +2.9%.

Management 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 the previous slide).

BONDS OUTSTANDING: PORTFOLIO ANALYSIS

Bonds Outstanding as at 30/09/2021

Wholesale bonds issued since 2017 Focus on Wholesale bonds issued in 2020/September 2021

€ bn

Managerial data based on nominal amounts.

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

BOND MATURITIES: LIMITED AND MANAGEABLE AMOUNTS

Managerial data based on nominal amounts.

Notes: 1. Reimbursements in 9M 2021: €1.01bn Senior Preferred and €0.77bn Subordinated (with negligible impact on T2 Capital). 2. Include also the maturities of Repos with underlying retained Covered Bonds: €0.47bn in H2 2021 and €0.50bn in FY 2022. 3. With low impact on T2 Capital.

SECURITIES: SIGNIFICANT WEIGHT OF THE AC PORTFOLIO

€ bn		30/09/20	31/12/20	30/06/21	30/09/21	Chg. y/y	Chg. YTD	Chg. in Q3
	Debt securities	39.9	33.9	39.7	36.8	-7.7%	8.7%	-7.3%
	Equity securities, Open-end funds & Private equity	1.9	2.4	3.0	3.3	78.0%	39.3%	11.1%
	TOTAL SECURITIES	41.8	36.3	42.7	40.2	-3.9%	10.7%	-6.0%

Focus on Debt Securities: Evolution & Composition

SOLID LIQUIDITY POSITION: LCR AT 209% & NSFR >100%¹

▪ TLTRO III exposure at €37.5bn as at 30/09/21, stable in Q3 and +€10bn YTD

▪ TLTRO III maximum take-up of €39.2bn

Internal management data, net of haircuts. Notes: 1. Monthly LCR (Sept. 2021) and Quarterly NSFR (Q3 2021). 2. Includes assets received as collateral and is net of accrued interests. 3. Refers to securities lending (uncollateralized high quality liquid assets).

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €16.9bn in 9M 2021¹

						CHANGE
NET PERFORMING LOANS	30/09/20	31/12/20	30/06/21	30/09/21	In % y/y	In % YTD	In % q/q
Core customer loans	96.5	98.4	99.8	99.7	3.2%	1.3%	-0.2%
- Medium/Long-Term loans	71.3	74.0	76.3	77.1	8.0%	4.1%	1.0%
- Current Accounts	8.5	8.0	8.3	8.3	-2.9%	3.3%	-0.7%
- Cards & Personal Loans	1.9	1.9	1.7	1.6	-16.0%	-16.8%	-10.0%
- Other loans	14.8	14.5	13.4	12.7	-14.0%	-11.9%	-5.2%
Leasing	0.9	0.9	0.8	0.8	-13.0%	-10.4%	-3.7%
Repos	3.9	3.5	2.5	2.4	-37.7%	-30.0%	-4.5%
GACS Senior Notes	2.3	2.3	2.5	2.4	4.8%	3.0%	-3.0%
Total Net Performing Loans	103.6	105.0	105.7	105.3	1.6%	0.2%	-0.4%

Net Performing loans in Stage 2 at €11.1bn as at 30/09/21 (€11.0bn as at 30/06/21, €6.9bn as at 31/12/20)

with a coverage at 3.0% (3.0% as at 30/06/21, 4.3% as at 31/12/20)

Notes: 1. Management data. See slide 15 for details. 2. Loans and advances to customers at Amortized Cost, including also the GACS senior notes.

ANALYSIS OF PERFORMING LOAN PORTFOLIO

Notes: 1. GBV of on balance-sheet performing exposures. Financials include REPOs with CC&G. Management data. 2. Includes all performing customer loans subject to the internal rating process (AIRB) + loans assisted by State Guarantess towards counterparties potentially subject to A-IRB. Based on 11 rating classes for rated performing loans.

31/12/2020 31/03/2021 30/06/2021 30/09/2021

ASSET QUALITY DETAILS – LOANS TO CUSTOMERS AT AC

GROSS EXPOSURES Chg. y/y Chg. YTD Chg. in Q3 30/09/2020 31/12/2020 30/06/2021 30/09/2021 €/m and % Value % Value % Value % Bad Loans 3,615 3,578 2,123 2,148 -1,467 -40.6% -1,431 -40.0% 25 1.2% UTP 6,076 4,946 4,825 4,386 -1,690 -27.8% -560 -11.3% -439 -9.1% Past Due 100 62 114 63 -38 -37.4% 1 1.2% -51 -44.8% NPE 9,791 8,586 7,062 6,596 -3,195 -32.6% -1,990 -23.2% -465 -6.6% Performing Loans 104,064 105,508 106,123 105,724 1,660 1.6% 215 0.2% -399 -0.4% TOTAL CUSTOMER LOANS 113,855 114,095 113,185 112,320 -1,535 -1.3% -1,774 -1.6% -864 -0.8% NET EXPOSURES Chg. y/y Chg. YTD Chg. in Q3 30/09/2020 31/12/2020 30/06/2021 30/09/2021 €/m and % Value % Value % Value % Bad Loans 1,532 1,462 947 934 -598 -39.0% -528 -36.1% -13 -1.4% UTP 3,480 2,785 2,674 2,485 -995 -28.6% -300 -10.8% -189 -7.1% Past Due 78 46 96 52 -26 -33.3% 7 14.6% -44 -45.5% NPE 5,091 4,293 3,717 3,472 -1,619 -31.8% -821 -19.1% -245 -6.6%
Performing Loans 103,627 105,042 105,658 105,261 1,634 1.6% 219 0.2% -397 -0.4%
TOTAL CUSTOMER LOANS 108,718 109,335 109,374 108,733 15 0.0% -602 -0.6% -642 -0.6%
Data refer to Loans to customers measured at Amortized COVERAGE 30/09/2020 31/12/2020 30/06/2021 30/09/2021
% Cost, including also the GACS Senior Notes.
Bad Loans 57.6% 59.1% 55.4% 56.5%
UTP 42.7% 43.7% 44.6% 43.3%
Past Due 21.8% 26.4% 15.6% 16.6%
NPE 48.0% 50.0% 47.4% 47.4%
Performing Loans 0.42% 0.44% 0.44% 0.44%
TOTAL CUSTOMER LOANS 4.5% 4.2% 3.4% 3.2%

NPE FLOWS

Outflows from NPEs to Perf. Loans

Flows from UTP to Bad Loans

GROSS NPEs DOWN BY €23.4BN VS. YE 2016

NPE REDUCTION SINCE THE BEGINNING OF THE MERGER

NPEs (GBV€ bn)

Notes: 1. Includes a restatement for managerial purposes (inclusion of a portion of write-offs, in coherence with the restatement done in 2017). 2. Includes also single name disposals, part of the ordinary workout activity.

UTP LOANS: HIGH SHARE OF RESTRUCTURED & SECURED POSITIONS

31/12/2018 31/12/2019 31/12/2020 30/09/2021

UTP Coverage: +8.3p.p. since YE 2018

43.7% 43.3%

35.0% 39.1%

UTP analysis

Breakdown of Net UTPs

	31/12/20	30/09/21	% Chg.
Forborne	1.8	1.7	-6.7%
- Secured	1.3	1.3	1.5%
- Unsecured	0.5	0.4	-26.8%
Other UTP	1.0	0.8	-17.8%
- Secured	0.7	0.6	-11.0%
- Unsecured	0.3	0.2	-37.7%
	2.8	2.5	-10.8%
o/w:
- North	74.7%	74.0%
- Centre	18.0%	17.3%
- South, Islands & not resident	7.3%	8.8%

• Solid level of coverage for unsecured UTP: 64.8%
• Net unsecured UTP other than Forborne loans are limited to €0.2bn

• 91% of Net UTPs are located in the northern & central parts of Italy

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL POSITION (€/m and %)	30/09/2020	31/12/2020	30/06/2021	30/09/2021
CET 1 Capital	9,785	9,597	9,676	9,654
T1 Capital	10,589	10,397	10,853	10,830
Total Capital	12,253	12,304	12,921	12,782
RWA	63,381	65,606	68,789	66,374
CET 1 Ratio	15.44%	14.63%	14.07%	14.54%
AT1	1.27%	1.22%	1.71%	1.77%
T1 Ratio	16.71%	15.85%	15.78%	16.32%
Tier 2	2.63%	2.91%	3.01%	2.94%
Total Capital Ratio	19.33%	18.75%	18.78%	19.26%

PHASED IN
RWA COMPOSITION (€/bn)	30/09/2020	31/12/2020	30/06/2021	30/09/2021
CREDIT & COUNTERPARTY RISK	55.0	54.9	58.0	56.0
of which: Standard	29.0	30.6	31.5	29.7
MARKET RISK	2.2	3.5	3.5	3.0
OPERATIONAL RISK	6.0	7.0	7.0	7.0
CVA	0.2	0.2	0.3	0.3
TOTAL	63.4	65.6	68.8	66.4

Leverage ratio Phased-In as at 30/09/2021: 5.86%

FULLY PHASED CAPITAL POSITION (€/m and %)	30/09/2020	31/12/2020	30/06/2021	30/09/2021
CET 1 Capital T1 Capital Total Capital	9,006 9,704 11,369	8,736 9,431 11,338	8,827 9,920 11,988	8,815 9,908 11,860
RWA	63,869	65,868	68,579	66,167
CET 1 Ratio	14.10%	13.26%	12.87%	13.32%
AT1	1.09%	1.06%	1.59%	1.65%
T1 Ratio	15.19%	14.32%	14.46%	14.97%
Tier 2	2.61%	2.89%	3.02%	2.95%
Total Capital Ratio	17.80%	17.21%	17.48%	17.92%

FULLY PHASED RWA COMPOSITION (€/bn)	30/09/2020	31/12/2020	30/06/2021	30/09/2021
CREDIT & COUNTERPARTY RISK	55.5	55.2	57.8	55.8
of which: Standard	29.5	30.9	31.3	29.5
MARKET RISK	2.2	3.5	3.5	3.0
OPERATIONAL RISK	6.0	7.0	7.0	7.0
CVA	0.2	0.2	0.3	0.3
TOTAL	63.9	65.9	68.6	66.2

Leverage ratio Fully Loaded as at 30/09/2021: 5.38%

1. 9M 2021 Performance Details Note: All data include also the Net Income of the pertinent quarters, net of dividend accrual. 31/12/2020 data are net of the dividend paid in April 2021, for a total of €90.9m.

37

CONTACTS FOR INVESTORS AND FINANCIAL ANALYSTS

I N V E S T O R R E L A T I O N S

Roberto Peronaglio	+39-02-9477.2090
Tom Lucassen	+39-045-867.5537
Arne Riscassi	+39-02-9477.2091
Silvia Leoni	+39-045-867.5613
Carmine Padulese	+39-02-9477.2092

Registered Offices: Piazza Meda 4, I-20121 Milan, Italy Corporate Offices: Piazza Nogara 2, I-37121 Verona, Italy

investor.relations@bancobpm.it www.bancobpm.it (IR Section)