Banco BPM SpA

Investor Presentation • May 6, 2021

Q1 2021 Group Results Presentation

6 May 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.

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

• 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.

1. Summary 4

• 1. Key Achievement Highlights 11
• 1. Q1 2021 Performance Details 25

EXCELLENT Q1 PERFORMANCE: WELL GEARED FOR THE FUTURE

STRONG OPERATING PERFORMANCE	❑ VOLUMES: solid growth confirmed - Core Net Performing Loans: €99.2bn (+5.6% Y/Y) - CA & Deposits: €101.7bn (+12.8% Y/Y) - AuM: €61.3bn (+13.3% Y/Y) ❑ CORE REVENUES: €968m (+5.9% Y/Y) - best result since Q4 18 driven by Net Commissions (€471m; +7.0% Y/Y) ❑ PRE-TAX PROFIT: €259m (+150% Y/Y)	NET INCOME AT €100M ADJUSTED1 NET INCOME AT €151M
FURTHER DERISKING AND SOLID CAPITAL	ENHANCED DERISKING: €1.65bn NPE disposal, o/w €1.5bn in Q2 2021, with P&L impact ❑ estimate already frontloaded2 GROSS NPE RATIO: stated at 7.5%, down to 6.3% adjusted for the Q2 disposal ❑ CET1 RATIO FULLY LOADED: 12.7%3 ❑ MDA BUFFER FULLY LOADED: 377bps3 ❑
WELL EQUIPPED IN AN EVOLVING COMPETITIVE ARENA	DIGITAL BANKING: in constant evolution (#300 branches4 ❑ of ca. -1,000 since YE 2015) ❑ ESG: strategic business model integration	to be closed by June 21, for a total

Notes: 1. See slide 27 for details. 2. Frontloading in Q1 2021 of the cost for the increase of the NPE disposal target to €1.65bn, from €0.9 originally targeted and upfronted in 2020. 3. Including regulatory headwinds related to internal credit risk model update (-85bps). 4. Branches at 1,727 on 31/03/2021, prior to the closure of 300 outlets to be finalised by June 2021.

1. Summary

Q1 2021 PROFITABILITY: PRE-TAX PROFIT AT €259M (+150% Y/Y)

VOLUME GROWTH, FURTHER DERISKING AND SOLID CAPITAL

Notes: 1. Regulatory headwinds related to internal credit risk model update (-85bps).

NEW NPE STRATEGY & PROJECT ROCKETS

• Boost previous NPE portfolio disposal plan from ~€ 0.9bn originally targeted in Q4 20 to a total of ~€1.65bn (including small ticket transactions), frontloading in Q1 21 the estimated additional provisions • Accelerate execution in Q2 2021 with Project Rockets (€1.5bn) NEW NPE STRATEGY • Expected portfolio selection: • ~€1.5bn bad loans originated by BBPM • ~3,500 positions • Due diligence completed COMPLETED PHASES MATERIAL POSITIVE IMPACT ON BAD LOAN STOCK & RATIOS €3.6bn €2.1bn 31/03/21 Stated 31/03/21 Adj. post Project Rockets Stock of Gross Bad Loans 3.1% 1.8% Gross Bad Loan Ratio -42.0% NEXT STEPS • Finalization of the capital structure • Sale of the portfolio to SPV • Issuance of Senior, Mezzanine & Junior notes • Sale of Mezzanine & Junior notes to third parties PROJECT ROCKETS Derecognition to be completed by June 2021

In case of GACS extension, the Group will proceed to present the application to MEF

8 1. Summary

Project Rockets

31/03/21 Stated 31/03/21 Adj. post

DIGITAL BANKING IN CONSTANT EVOLUTION

GROUP DIGITAL TRANSFORMATION JOURNEY

MAIN ONGOING INITIATIVES DIGITAL ADOPTION: KPI¹

NEW DIGITAL CUSTOMER EXPERIENCE (CX)

New Digital CX deployed both on App and Internet Banking for Individuals and Corportate customers

DIGITAL IDENTITY

Digital identity implemented on the new onboarding processes for Individuals customers in order to reinforce 'paperless' relationship

REMOTE ADVISORY OFFERING

New tools and capabilities developed for remote advisory process in wealth management area for 'Personal' Customers

OMNICHANNEL SALES

Application of Advanced Analytics capabilities empower the implementation of New Digital & Omnichannel Sales solutions

Notes: 1. Individual Customers. 2. Users with digital transactions (Internet Banking+Mobile Banking) vs Users with transactions in all channels (Internet Banking, Mobile Banking, ATM, branch). 3. ATM, Internet Banking, Mobile Banking. 4. Users with transactions on mobile and tablet devices vs. users with digital transactions (Internet Banking+Mobile Banking).

ESG STRATEGIC ROADMAP: FULL INTEGRATION OF SUSTAINABILITY IN THE BUSINESS MODEL

ESG ACTION PLAN: ACTIVATED 7 WORKSTREAMS		MAIN TARGETS ALREADY SET2 ❑ DEVELOPMENT OF ESG LENDING
1 Governance 2 People	Integrate ESG-oriented roles and responsibilities within all • activities & ESG topics into corporate policies Incentive scheme strengthened with ESG KPIs • Attention to I&D1 • , with focus on female empowerment	❑ ❑ ❑	ISSUANCE OF GREEN AND SOCIAL BONDS WITHIN NEW GREEN BOND FRAMEWORK +33% OF WOMEN IN MANAGERIAL POSITIONS IN 2023 CARBON NEUTRALITY IN 20233
3 Risk & Credits	• Integrate climate-related and environmental topics within the risk and lending processes		MAIN INITIATIVES ALREADY IN PLACE
4 Customers - Business	Establish a ESG task force in business areas and strengthen • ESG commercial offering	€5bn Plafond for ESG investments	Products for Energy Efficiency	Green Mortgages (Energy Efficiency Mortgage Label)
5 Customers - WM	• Define ESG investment policy and strengthen consulting and offering of ESG investment products	100% Energy from renewable sources	Female empowerment (selection, training and	BBPM in the Top 150 Italian Sustainability Leaders 2021
6 Stakeholder engagement & Measurement	• Strengthen relationships with recognized organisations and develop ESG metrics	Strengthened the Internal Control & Risks Committee	development) Training for employees on	(Sole 24 Ore & Statista) Language
7 Environment	• Further reduce environmental impacts ALIGNMENT WITH REGULATORY AND OTHER STAKEHOLDERS' EXPECTATIONS UNDER WAY	role, renamed ICR & Sustainabilty Committee (Board member as ESG referent)	Revolution "Environmental" (customer-friendly and "Respect" communication)

Note: 1. Integration & Diversity. 2. KPIs included in the BBPM 2021 Policy-on-remuneration. 3. Scope 1 + Scope 2 emissions.

10 1. Summary

1. Summary 4

2. Key Achievement Highlights 11

1. Q1 2021 Performance Details 25

KEY P&L HIGHLIGHTS: PERFORMANCE

€ m	Q1 2020	Q4 2020	Q1 2021	Q/Q	Y/Y
NET INTEREST INCOME	474	509	497
NET FEES & COMMISSIONS	441	429	471
NFR	1	78	100
OTHER REVENUES	39	36	60
TOT. REVENUES	954	1,053	1,128	7.1%	18.1%
OPERATING COSTS	-635	-600	-644
PRE-PROVISION INCOME	319ù	453	484	6.9%	51.4%
LOAN LOSS PROVISIONS	-213	-536	-217
OTHER1	-3	-60	-8
PRE-TAX PROFIT	104	-143	259	n.m.	150.3%
TAX	-26	48	-83
POST-TAX PROFIT	78	-95	176
SYSTEMIC CHARGES AND OTHER2	-64	-105	-70
FAIR VALUE ON OWN LIABILITIES	138	-41	-7
NET INCOME	152	-242	100		Q1 2021 ADJUSTED3 NET INCOME AT €151M

"CORE" REVENUES (NII + Net Fees & Commissions)

• STRONG REVENUE GROWTH (+18.1% Y/Y, +7.1% Q/Q), DRIVING POSITIVE PPI TREND (51.4% Y/Y, +6.9% Q/Q)
• NET COMMISSIONS (+7.0% Y/Y, +9.8% Q/Q); RECOVERY ABOVE PRE-COVID LEVEL, AT €471M vs. €449M 2019 QUARTERLY AVERAGE
• NFR +28.1% Q/Q, including capital gains on securities and positive trading results
• COST INCOME RATIO at 57.1% (vs. 66.5% in Q1 2020)
• LOAN LOSS PROVISIONS AT €217M, including ~€74m to support the increase of NPE disposal target
• SOLID PRE-TAX PROFIT AT €259M, IN AN ENVIRONMENT STILL IMPACTED BY COVID

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 slide 26 for details of P&L. 3. See slide 27 for details of adjustment elements.

Q1 2021 OPERATING PERFORMANCE: ABOVE PRE-PANDEMIC LEVEL

PRE-PROVISION INCOME

NET FEES & COMMISSIONS

INVESTMENT PRODUCT PLACEMENTS

RESILIENT NII PERFORMANCE IN Q1 2021

and other elements. Managerial Analysis.

NEW LENDING: STILL FOSTERED BY STATE-GUARANTEED MEASURES

€5.8BN NEW LOANS IN Q1 2021¹ , O/W €2.7BN COVID-19 MEASURES GUARANTEED BY THE STATE

Evolution and composition of State-guaranteed new lending

VIRTUOUS SUBSTITUTION EFFECT ON ASSET SPREAD OF MLT LOANS IMPROVED IN Q1 2021

• New lending +7.0% y/y, thanks to a strong growth in the Household segment (+79.4% Y/Y)
• Still high share of lending assisted by State guarantees (47% of total new lending in Q1 21 vs. 55% in H2 20)
• Ordinary business at 53% of total new lending, o/w >93% concentrated in low and medium risk categories
• 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 >€2bn³

Source: Management data.

Note: 1. Include M/L-term Mortgages (Sec. and Unsec.), Personal Loans, Pool and Structured Finance. 2. Valid for the application of the Deposit Facility Rate and the Special Interest Rate up until 23 Jun. 21. 3. Valid for the application of the Deposit Facility Rate and the Special Interest Rate from 24 Jun. 21 to 23 Jun. 22. and the for the application of the Deposit Facility Rate after 23 Jun. 22.

COVID-19 MORATORIA: 30% REDUCTION & DEFAULT RATE AT 0.9%

Notes: 1. €10bn Government Moratoria and €1.3bn ABI Moratoria as at 31/03/2021. 2. Expired amount includes moratoria with resumed repayments, both those fully reimbursed and cancelled as well as those substituted. 3. Selected portfolio includes all Mid-High & High risk exposures as well as all other exposures with early warning indicators.

NET FEES AND COMMISSIONS: STRONG TREND MAINLY DRIVEN BY MANAGEMENT & ADVISORY FEES

Commercial Banking Fees Management & Advisory

• Net fees and commissions at €471.4m in Q1 21 (+7.0% Y/Y and +9.8% Q/Q)
• Strong Management & Advisory fees in Q1 21 (€239.1m), up 19.2% Q/Q, supported by a significant acceleration in investment product placements in Q1 21 (+48.2% Y/Y and +50.0% Q/Q)

Investment product placements: trend¹

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

OPERATING COSTS: QUARTERLY COMPARISON

18 2. Key Achievement Highlights

LIQUIDITY & FUNDING AND DEBT SECURITIES PORTFOLIO

Data as at 31/03/2021. Notes: 1. Monthly LCR (Mar. 2021) and Quarterly NSFR (Q1 2021). 2. Not included in the P&L results, but included in the Capital Position. 3. Included neither in the P&L results, nor in the Capital Position.

FOCUS ON GOVIES PORTFOLIO

Italian Govies at FVTPL

Non-IT Govies at AC Non-IT Govies at FVOCI

Notes: 1. In years. Management data, including hedging strategies (Swap & Options). Duration of total Govies in the Banking Book at 2.5 years (vs. 2.0 years at year-end 2020). 2. Key Achievement Highlights

20

NPE EVOLUTION AND COVERAGE: POSITIVE TREND CONFIRMED

Notes: 1. Includes also loans at FV for Q1 21.

1. Key Achievement Highlights

NPE RATIOS AND COST OF RISK

MATERIAL AND ONGOING IMPROVEMENT IN NPE RATIOS SINCE THE MERGER

LLPs & Cost of Risk yearly evolution

Notes: 1. Restated for managerial purposes (inclusion of a portion of write-offs, in coherence with the restatement done at YE2017). 2. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets). 3. Analysis based on Management data. 4. Inclusion under Stage 2 of "Midhigh risk" and "High risk" positions under Covid Moratoria and of "Mid-risk" positions for Tourism and Restaurants under Covid Moratoria, as well as tightening of criteria for other exposures not under Moratoria. 5.Gross NPE ratio calculated as from EU Transparency Exercise

22 2. Key Achievement Highlights

CAPITAL ADEQUACY: SOLID POSITION AND BUFFERS Ratios well above minimum requirements

FINAL REMARKS: EXCELLENT Q1 21 – WELL GEARED FOR THE FUTURE

STRONG OPERATING PERFORMANCE

Solid volume growth: Core Net Perf. Loans (+5.6% Y/Y), CA & Deposits (+12.8% Y/Y), AuM (+13.3% Y/Y) Growth in «Core» revenues: +5.9% Y/Y and +3.2% Q/Q Further increase in Pre-Provision income: +51.4% Y/Y and +6.9% Q/Q Q1 2021 Pre-tax profit at €259m and Net Income at €100m, including additional LLP frontloading Adjusted Net Income at €151m

SOLID ACHIEVEMENTS IN A STILL DIFFICULT OPERATING ENVIRONMENT

SIGNIFICANT IMPROVEMENT IN ASSET QUALITY THROUGH NEW NPE STRATEGY

New derisking strategy, raising the total disposal target to €1.65bn, o/w €1.5bn in Q2 2021 Adjusted gross NPE ratio down at 6.3%, with gross adjusted Bad Loan ratio down at 1.8% Coverage at 51% for NPE and at 63% for Bad Loans¹ , including IFRS 9 provisions AQ metrics and dynamics safeguarded also by relevant share of State-guaranteed loans

ROBUST CAPITAL POSITION

CET 1 ratio FL at 12.7%, incorporating -85bps of regulatory headwinds² MDA buffer FL at 377bps, well above the management guidance of 250bps

ADDITIONAL STRATEGIC FOCUS AREAS: DIGITAL BANKING AND ESG

Digital Banking: strong driver for commercial performance with strategic development focus ESG: full integration into the business model, with first tangible results

Notes: 1. Up at 54% and 68%, respectively, including write-offs. 2. Regulatory headwinds in relation to internal credit risk model update.

Agenda

1.	Summary	4
2.	Key Achievement Highlights	11
3.	Q1 2021 Performance Details:	25
	- Profitability	26
	- Balance Sheet	30
	- Funding and Liquidity	31
	- Customer Loans and Focus on Credit Quality	37
	- Capital Position	44
	- Digital Banking & ESG	45

Q1 2021 QUARTERLY P&L RESULTS

Reclassified income statement (€m)	Q1 20	Q2 20	Q3 20	Q4 20	Q1 21
Net interest income	474.1	479.5	519.9	509.0	496.8
Income (loss) from invest. in associates carried at equity	22.3	48.0	36.8	23.7	41.5
Net interest, dividend and similar income	496.4	527.5	556.7	532.7	538.4
Net fee and commission income	440.6	376.4	417.7	429.2	471.4
Other net operating income	16.7	14.9	11.7	12.7	18.2
Net financial result	0.8	82.7	157.3	77.8	99.7
Other operating income	458.1	473.9	586.7	519.8	589.3
Total income	954.4	1,001.5	1,143.3	1,052.5	1,127.7
Personnel expenses	-419.0	-398.0	-357.0	-407.2	-426.9
Other administrative expenses	-154.6	-154.1	-159.8	-125.3	-154.1
Amortization and depreciation	-61.4	-61.7	-64.8	-67.2	-62.9
Operating costs	-635.0	-613.8	-581.5	-599.8	-643.9
Profit (loss) from operations	319.5	387.7	561.8	452.8	483.8
Net adjustments on loans to customers	-213.2	-263.0	-324.3	-536.2	-217.1
Profit (loss) on FV measurement of tangible assets	-0.3	-5.1	-0.3	-31.0	0.1
Net adjustments on other financial assets	-4.7	-3.7	0.1	7.2	-0.4
Net provisions for risks and charges	2.2	-9.8	0.9	-35.6	-7.2
Profit (loss) on the disposal of equity and other invest.	0.1	0.1	1.3	-0.4	0.0
Income (loss) before tax from continuing operations	103.5	106.2	239.5	-143.1	259.1
Tax on income from continuing operations	-25.7	-13.3	-22.5	47.9	-82.7
Income (loss) after tax from continuing operations	77.8	92.9	217.0	-95.2	176.4
Restructuring costs				-187.0
Systemic charges after tax	-57.5	-18.2	-53.0	-10.2	-59.2
Realignment of fiscal values to accounting values				128.3
Goodwill impairment				-25.1
Income (loss) attributable to minority interests	0.0	1.5	2.5	0.2	0.0
Purchase Price Allocation after tax	-6.6	-12.0	-11.4	-11.5	-10.3
Fair value on own liabilities after Taxes	137.9	-110.7	2.2	-41.1	-6.8
Net income (loss) for the period	151.6	-46.4	157.3	-241.7	100.1

ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement (€m)		Q1 21 Adjusted	One-off	Non-recurring items
Net interest income	496.8	496.8	0.0
Income (loss) from invest. in associates carried at equity	41.5	41.5	0.0
Net interest, dividend and similar income	538.4	538.4	0.0
Net fee and commission income	471.4	471.4	0.0
Other net operating income	18.2	18.2	0.0
Net financial result	99.7	99.7	0.0
Other operating income	589.3	589.3	0.0
Total income	1,127.7	1,127.7	0.0
Personnel expenses	-426.9	-426.9	0.0
Other administrative expenses	-154.1	-154.1	0.0
Amortization and depreciation	-62.9	-61.0	-1.9	Adjustments on intangible assets
Operating costs	-643.9	-642.0	-1.9
Profit (loss) from operations	483.8	485.7	-1.9
Net adjustments on loans to customers	-217.1	-143.1	-73.9	Additional frontloading for the increase in the NPE disposal target
Profit (loss) on FV measurement of tangible assets	0.1		0.1
Net adjustments on other financial assets	-0.4	-0.4	0.0
Net provisions for risks and charges	-7.2	-7.2	0.0
Profit (loss) on the disposal of equity and other invest.	0.0		0.0
Income (loss) before tax from continuing operations	259.1	334.9	-75.8
Tax on income from continuing operations	-82.7	-107.7	25.0
Income (loss) after tax from continuing operations	176.4	227.2	-50.7
Systemic charges after tax	-59.2	-59.2	0.0
Income (loss) attributable to minority interests	0.0	0.0	0.0
Purchase Price Allocation after tax	-10.3	-10.3	0.0
Fair value on own liabilities after Taxes	-6.8	-6.8	0.0
Net income (loss) for the period	100.1	150.8	-50.7

REVENUE GROWTH IN Q1 2021

FINANCIAL PORTFOLIO: NET FINANCIAL RESULT AND RESERVES/UNREALISED GAINS

(excl. FV on Own Liabilities¹ )

▪ NFR at €99.7m (+28.1% Q/Q) which includes capital gains on securities (~€60m) and ~€36m from trading activities

Notes: 1. Impact from the change in FV on Own Liabilities (before tax) at +€206.0m in Q1 2020, -€165.4m in Q2 2020 and +€3.3m in Q3 2020. These amounts have been reclassified into a separate item after tax. 2. Debt Securities accounted at Amortised Costs are subject to a specific policy which sets dedicated limits to the amount of disposals allowed throughout the year.

€ m

RECLASSIFIED BALANCE SHEET AS AT 31/03/2021

E-MARKET SDIR
CERTIFIED

Reclassified assets (€ m)				Chg. y/y		Chg. in Q1
	31/03/20	31/12/20	31/03/21	Value	%	Value	%
Cash and cash equivalents	755	8,858	10,727	9,972	n.m.	1,869	21.1%
Loans and advances measured at AC	116,021	120,456	127,390	11,369	9.8%	6,935	5.8%
- Loans and advances to banks	8,004	11,121	17,245	9,241	115.5%	6,124	55.1%
- Loans and advances to customers (*)	108,018	109,335	110,146	2,128	2.0%	811	0.7%
Other financial assets	39,485	41,176	45,686	6,201	15.7%	4,510	11.0%
- Assets measured at FV through PL	7,301	9,119	8,725	1,424	19.5%	-394	-4.3%
- Assets measured at FV through OCI	13,206	10,711	14,898	1,692	12.8%	4,187	39.1%
- Assets measured at AC	18,978	21,346	22,063	3,085	16.3%	717	3.4%
Equity investments	1,329	1,665	1,641	312	23.4%	-24	-1.5%
Property and equipment	3,585	3,552	3,527	-57	-1.6%	-25	-0.7%
Intangible assets	1,270	1,219	1,218	-51	-4.0%	0	0.0%
Tax assets	4,698	4,704	4,688	-10	-0.2%	-16	-0.3%
Non-current assets held for sale and discont. operations	139	73	70	-69	-49.5%	-3	-3.9%
Other assets	2,057	1,983	2,203	146	7.1%	220	11.1%
Total	169,339	183,685	197,151	27,812	16.4%	13,466	7.3%
Reclassified liabilities (€ m)	31/03/20	31/12/20	31/03/21	Value	%	Value	%
Due to banks	21,873	33,938	46,073	24,199	110.6%	12,135	35.8%
Direct Funding	111,660	116,937	117,421	5,761	5.2%	484	0.4%
- Due from customers	95,018	102,162	104,091	9,072	9.5%	1,928	1.9%
- Debt securities and financial liabilities desig. at FV	16,641	14,774	13,330	-3,311	-19.9%	-1,444	-9.8%
Debts for Leasing	707	760	741	34	4.8%	-20	-2.6%
Other financial liabilities designated at FV	16,900	14,015	14,100	-2,800	-16.6%	85	0.6%
Liability provisions	1,417	1,415	1,383	-35	-2.4%	-33	-2.3%
Tax liabilities	669	465	447	-222	-33.2%	-18	-3.8%
Liabilities associated with assets held for sale	5	0	0	-5	-100.0%	0	n.m.
Other liabilities	3,965	3,928	4,360	395	10.0%	432	11.0%
Minority interests	26	2	1	-25	-94.8%	-1	-27.8%
Shareholders' equity							3.3%
	12,116	12,225	12,626	510	4.2%	401

Note: * "Customer loans" include the Senior Notes of the two GACS transactions.

DIRECT FUNDING

Solid position confirmed in Core funding

31/03/20 31/12/20 31/03/21 Y/Y % chg. Q/Q % chg. C/A & Sight deposits 88.6 98.5 100.4 13.3% 1.9% Time deposits 1.6 1.5 1.4 -13.1% -8.2% Bonds 16.6 14.7 13.3 -19.9% -9.8% Other 1.7 1.8 1.6 -5.4% -9.2% Capital-protected Certificates 3.0 3.7 3.7 22.0% -0.4% Direct Funding (excl. Repos) 111.5 120.1 120.3 7.9% 0.1% 88.6 98.5 100.4 31/03/2020 31/12/2020 31/03/2021 Capital-protected Certificates Other Bonds Time deposits C/A & Sight deposits Direct customer funding¹ (without Repos) € bn 111.5 +0.1% +7.9% (79.5%) (83.4%) 120.1 (%) Share on total (82.0%) 120.3 +€11.8bn Y/Y

Note:

1. Direct funding restated according to a management accounting logic: it includes capital-protected certificates, recognized essentially under 'Held-for-trading liabilities', while it does not include Repos (€0.8bn on 31/03/2021 vs. €0.5bn on 31/12/2020 and €3.2bn on 31/03/2020), mainly transactions with Cassa di Compensazione e Garanzia.

BONDS OUTSTANDING: WELL DIVERSIFIED PORTFOLIO

Bonds Outstanding as at 31/03/2021

• Successful issuance activity in 2020/Q1 2021: AT1 in Jan. 20 (€400m) and Jan. 21 (€400m), Senior Non-Preferred in Feb. 20 (€750m) and T2 in Sep. and Dec. 20 (€500m and €350m)
• Very manageable amount of wholesale bond maturities in 9M 2021 (€1.0bn), FY 2022 (€3.7bn) and FY 2023 (€1.9bn) considering the strong liquidity position (with unencumbered eligible assets at €16bn, strongly exceeding the abovementioned maturities)

Wholesale bonds issued since 2017

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, including calls.

Notes: 1. With negligible impact on T2 Capital. 2. Include also the maturities of Repos with underlying retained Covered Bonds: €0.45bn in 2021 and €0.50bn in 2022. 3. Q1 2021 reimbursement: of which €1.0bn Senior Preferred and €0.45bn of Subordinated.

33 3. Q1 2021 Performance Details

SECURITIES: SIGNIFICANT WEIGHT OF THE AC PORTFOLIO

31/03/20 31/12/20 31/03/21 Chg. y/y Chg. in Q1 Debt securities 34.5 33.9 38.7 12.1% 14.4% Equity securities, Open-end funds & Private equity 1.7 2.4 2.7 61.5% 14.1% TOTAL SECURITIES 36.2 36.3 41.5 14.4% 14.3% € bn

Focus on Debt Securities: Evolution & Composition

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

Eligible Assets²

Internal management data, net of haircuts.

Notes: 1. Monthly LCR (Mar. 2021) and Quarterly NSFR (Q1 2021). 2. Includes assets received as collateral. 3. Refers to securities lending (uncollateralized high quality liquid assets).

INDIRECT CUSTOMER FUNDING AT €94.2BN

Assets under Management (AuM)

+2.9%

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

• Total Indirect Customer Funding at €94.2bn: +14.6% Y/Y and +2.9% Q/Q
• AuM increase to €61.3bn: +13.3% Y/Y, thanks mostly to the excellent performance of Funds and Sicav (+21.1%), due to both the price effect and the volume effect
• AuC up at €32.9bn: +17.0% Y/Y, exclusively thanks to the price effect which offsets a marginal decline in volumes

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 slide 31).

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €5.8bn in Q1 2021¹

Net Customer Loans²

Notes: 1. Management data. See slide15 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.

38 3. Q1 2021 Performance Details

COVID-19: LENDING MEASURES ASSISTED BY STATE GUARANTEES

Notes: 1. ABI/Bankit data as at 21 April 2021. 2. Market share data as at 31/12/2020. Core customer loans include loans to Households and Non-Financial Corporates.

Funds already provided

In progress

ASSET QUALITY DETAILS – LOANS TO CUSTOMERS AT AC

GROSS EXPOSURES	31/03/2020	31/12/2020	31/03/2021	Chg. y/y		Chg. in Q1
€/m and %				Value	%	Value	%
Bad Loans	3,517	3,578	3,575	58	1.6%	-4	-0.1%
UTP	6,252	4,946	4,958	-1,294	-20.7%	12	0.2%
Past Due	106	62	146	40	37.5%	84	135.3%
NPE	9,875	8,586	8,678	-1,197	-12.1%	92	1.1%
Performing Loans	102,962	105,508	106,344	3,382	3.3%	836	0.8%
TOTAL CUSTOMER LOANS	112,837	114,095	115,022	2,185	1.9%	928	0.8%
NET EXPOSURES	31/03/2020	31/12/2020	31/03/2021	Chg. y/y		Chg. in Q1
€/m and %				Value	%	Value	%

€/m and %				Value	%	Value	%
Bad Loans	1,571	1,462	1,334	-237	-15.1%	-128	-8.8%
UTP	3,778	2,785	2,820	-958	-25.4%	35	1.3%
Past Due	81	46	124	43	53.1%	78	171.8%
NPE	5,430	4,293	4,278	-1,152	-21.2%	-15	-0.3%
Performing Loans	102,588	105,042	105,868	3,280	3.2%	825	0.8%
TOTAL CUSTOMER LOANS	108,018	109,335	110,146	2,128	2.0%	811	0.7%

COVERAGE %	31/03/2020	31/12/2020	31/03/2021
Bad Loans	55.3%	59.1%	62.7%
UTP	39.6%	43.7%	43.1%
Past Due	23.7%	26.4%	15.0%
NPE	45.0%	50.0%	50.7%
Performing Loans	0.36%	0.44%	0.45%
TOTAL CUSTOMER LOANS	4.3%	4.2%	4.2%

Data refer to Loans to customers measured at Amortized Cost, including also the GACS Senior Notes.

NPE FLOWS

The challenging macroeconomic scenario has impacted mainly the outflows to performing loans

41 3. Q1 2021 Performance Details

GROSS NPEs DOWN BY €21.3BN VS. YE 2016

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 31/103/2021

UTP Coverage: +8.1p.p. since YE 2018

43.7% 43.1%

35.0% 39.1%

UTP analysis

Breakdown of Net UTPs

	31/12/20	31/03/21	% Chg.
Forborne	1.8	1.9	4.6%
- Secured	1.3	1.4	3.9%
- Unsecured	0.5	0.5	-2.4%
Other UTP	1.0	1.0	-4.6%
- Secured	0.7	0.7	-1.5%
- Unsecured	0.3	0.3	1.8%
	2.8	2.8	1.3%
o/w:
- North	74.7%	74.7%
- Centre	18.0%	17.5%
- South, Islands & not resident	7.3%	7.8%

• Solid level of coverage for unsecured UTP: 61.4%
• Net unsecured UTP other than Forborne loans are limited to €0.3bn
• 92% of Net UTPs are located in the northern & central parts of Italy

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL POSITION (€/m and %)	3 1 31/03/2020 /	31/12/2020	31/03/2021
CET 1 Capital	9,449	9,597	9,400
T1 Capital	10,253	10,397	10,576
Total Capital	11,636	12,304	12,286
RWA	65,435	65,606	68,408
CET 1 Ratio	14.44%	14.63%	13.74%
AT1	1.23%	1.22%	1.72%
T1 Ratio	15.67%	15.85%	15.46%
Tier 2	2.11%	2.91%	2.50%
Total Capital Ratio	17.78%	18.75%	17.96%

Leverage ratio Phased-In as at 31/12/2020: 5.23%

FULLY PHASED CAPITAL POSITION (€/m and %)	31/03/2020	31/12/2020	31/03/2021
CET 1 Capital T1 Capital Total Capital	8,423 9,122 10,506	8,736 9,431 11,338	8,708 9,801 11,511
RWA	65,353	65,868	68,615
CET 1 Ratio	12.89%	13.26%	12.69%
AT1	1.07%	1.06%	1.59%
T1 Ratio	13.96%	14.32%	14.28%
Tier 2	2.12%	2.89%	2.49%
Total Capital Ratio	16.08%	17.21%	16.78%

Leverage ratio Fully Loaded as at 31/12/2020: 4.86%

1. Q1 2021 Performance Details Note: All data include also the Net Income of the pertinent quarters and, with reference to 31/12/2020, are net of the dividend paid in April 2021, for a total of €90.9m.

44

RWA COMPOSITION (€/bn)	31/03/2020	31/12/2020	31/03/2021
CREDIT & COUNTERPARTY RISK	56.9	54.9	57.7
of which: Standard	29.1	30.6	30.8
MARKET RISK	2.3	3.5	3.5
OPERATIONAL RISK	6.0	7.0	7.0
CVA	0.2	0.2	0.2
TOTAL	65.4	65.6	68.4

RWA COMPOSITION (€/bn)	31/03/2020	31/12/2020	31/03/2021
CREDIT & COUNTERPARTY RISK	56.9	55.2	57.9
of which: Standard	29.1	30.9	31.0
MARKET RISK	2.3	3.5	3.5
OPERATIONAL RISK	6.0	7.0	7.0
CVA	0.2	0.2	0.2
TOTAL	65.4	65.9	68.6

DIGITAL TRANSFORMATION JOURNEY: KEY FOCUS AREAS

IT Investments	• The Digital Omnichannel Transformation in BBPM is under full execution with: - €84m IT investments already made in 2020, o/w €33m in Digital - An increase in investments planned over the next years: - 50% dedicated to the Omnichannel Distribution model as well as to the development of Digital Platforms, Analytics & Digital CRM; - 50% dedicated to the structural evolution of information system, Cybersecurity and Data Governance
Training Projects	• Project "Sales4Change" to meet the needs of having a simple, successful and shared process to carry out commercial strategies. → Target: Corporate Network, Business Retail Network, Product Specialists and Banca Akros. • Project "W Sprint" to facilitate a proactive Customer Journey detecting the customers' needs through their behaviour in using the various Bank's channels so as to give the best service in the right time by the most suitable channel. →Target: Relationship Managers • Program ".DOT (Digital Omnichannel Transformation)" to analyze the digital transformation in financial, banking and insurance segment and facilitate the digital relationship. Focus: digital identity and remote offering. →Target: Private and Business Retail Network
Cybersecurity	• At the end of 2019 resilience against threats was in line with competitors (assessment based on NIST framework) • Following the assessment, a number of initiatives have been adopted ranging from: - enhance risk identification (i.e. Intelligence, IT Risk) improve capability to protect company assets (i.e. CASB1 , AIP2 , EDR3 - ) - enlarge security landscape protected (i.e. Third Parties, Cloud) SOC4 , GDPR5 - better managing the security incident (i.e ) and processes (i.e. business continuity management)
	Notes: 1. CASB: Cloud Access Security Broker. 2.AIP: Azure Information Protection. 3. EDR: Endpoint Detenction Response. 4. SOC: Security Operation Center. 5. GDPR: General Data Protection Regulation. 3. Q1 2021 Performance Details 45

DEVELOPING ESG PRODUCTS AND SUSTAINING CUSTOMERS & LOCAL COMMUNITIES

ATTENTION TO PEOPLE AND ENVIRONMENT

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)