Banco BPM SpA

Investor Presentation • Feb 6, 2020

FY 2019 Group Results Presentation

6 February 2020

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. 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 forward-looking statements attributable to Banco BPM or persons acting on its behalf are expressly qualified in their entirety by this disclaimer.

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

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

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

***

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

METHODOLOGICAL NOTES

• The new accounting standard IFRS 16 on Leasing contracts became effective beginning on 1 January 2019 and, therefore, the P&L and balance sheet results as at 31 December 2019 have been prepared in compliance with the new accounting standard. Banco BPM has chosen to carry out the first-time adoption (FTA) through the modified retrospective approach, which provides the option, established by IFRS 16, of recognizing the cumulative effect of the adoption of the standard at the date of first-time adoption and not restating the comparative information of the financial statements of first-time adoption of IFRS 16. As a result, the figures for 2019 will not be comparable with regard to the valuation of the rights of use, lease payable and related economic effects. For more information and the related impacts, please refer to the Methodological Notes included in the News Release regarding the Consolidated results of Banco BPM as at 30/06/2019 and to the disclosure provided in the Consolidated Interim Report as at 30 June 2019.
• Starting from 30/06/2018, ordinary and extraordinary systemic charges related to SRF and DGS have been reclassified from Other Operating Expenses to a dedicated item "Systemic charges after tax". Q1 2018 P&L schemes have been reclassified accordingly.
• Starting from 30/06/2019, upfront fees related to the placement of Certificates have been reclassified from the Net Financial Result to Net Fees & Commissions. The previous quarters (2018 and Q1 2019) have been reclassified accordingly.
• Due to the change of the valuation criteria applied to the Group's properties and artworks, starting from 31/12/2019, a new item called «Profit & Loss on Fair Value measurement of tangible assets» has been introduced in the reclassified P&L scheme as at 31/12/2019. In this item, also the depreciations of properties previously accounted in the item "Amortisation & Depreciation" within the "Operating Costs" have been reclassified, restating accordingly all the previous quarters of 2019 for coherence. Furthermore, considering that the new accounting principle does not foresee for the amortisation of investment properties, the amortisation on such assets in the first three quarters of 2019 has been cancelled; as a consequence, the Item "Amortization and Depreciation" as well as the net result of the first three quarters of 2019 have been re-determined. The P&L of 2018 has not been restated accordingly and, therefore, the items "Amortisation & Depreciation" and "Operating Costs" are not fully comparable on an annual basis.
• It is also reminded that, on 16 April 2019, Banco BPM accepted the binding offer submitted by Illimity Bank S.p.A. and regarding the sale of a portfolio of Leasing Bad Loans. More in detail, the disposal concerns a portfolio for a nominal value of about €650 million at the cut-off date of 30th June 2018, mainly composed of receivables deriving from the active and passive legal relationships related to leasing contracts classified as bad loans, together with the related agreements, legal relationships, immovable or movable assets and the underlying contracts. The closure of the operation is subject to precedent conditions that are customary for transactions of this kind, including the notarial certification for the transferability of the assets, and shall be executed in various phases, with the conclusion expected by mid-2020. Starting from Q2 2019, the loans subject to this transaction (€607m GBV and €156m NBV as at 30/06/2019) have been reclassified as discontinued operations according to the IFRS5 standard. As at 31/12/2019, the residual amount of these loans stood at €313m GBV and at €94m NBV.
• On 28 June 2019, Banco BPM sold the Profamily captive business to Agos (the company subject to the disposal was renamed ProAgos S.p.A.). The non-captive business was demerged prior to this transaction through a spin-off operation in favour of a new company which keeps the name of ProFamily S.p.A. and which is 100% held by Banco BPM. The assets and liabilities (mainly composed of customer loans for a NBV of €1.4bn) related to this non-captive business in Q2 and Q3 were classified as discontinued operations according to IFRS5 standard and, then, in Q4 2019 they have been re-classified line-by-line under the relevant Balance Sheet items. In this presentation, in order to allow a proper comparison, the data of Customer Loans as at 30/09/2019 have been restated re-including Profamily non-captive volumes. It is also noted that, with reference to P&L, the contribution has always been represented line-by-line, under the relevant P&L items.
• Pursuant to art. 26, paragraph 2 of EU Regulation no. 575/2013 of 26 June 2013 (CRR), the inclusion of year-end profits in Common Equity Tier 1 Capital (CET1) before the annual report is approved by Shareholders at the AGM is subject to the prior permission of the competent authority (the ECB), which to grant permission requires that profits are verified by an independent auditing firm; otherwise, profits can be included once the annual report has been approved by Shareholders at the AGM. As to the data and capital ratios illustrated in this presentation, in addition to the net income as at 30 June 2019, which was included following the permission granted on the back of the limited audit of the condensed consolidated half-yearly report as at 30 June 2019, also the 2H 2019 net income portion has been included, as reported in the Group's draft consolidated financial statements at 31 December 2019, which has been approved today by the Board of Directors, net of the amount that the Board of Directors has decided to allocate for dividend distribution and donations to be submitted to the Shareholders for approval at the AGM; this profit will be formally included in the capital as soon as the Shareholders at the AGM will approve the annual report.

Agenda

1. Key FY 2019 Performance Highlights	4
2. Performance Details:	29
- Profitability	30
- Balance Sheet	37
- Funding and Liquidity	38
- Customer Loans and Focus on Credit Quality	43
- Capital Position	46

FY 2019: SUCCESSFUL FINAL YEAR OF THE MERGER PLAN

Turnaround completed and back to dividend

 SUCCESFULL ACHIEVEMENTS…		Strategic Plan 1 Starting Point	2019 YE Target	Achieved as at YE 2019
CAPITAL POSITION	- CET 1 RATIO FL - TEXAS RATIO	12.3% 162%	12.9% 114%	12.8% Post dividend 52%
DERISKING	- GROSS NPE - GROSS NPE RATIO - NET NPE RATIO	€31.5BN2 24.8%2 15.7%	€23.2BN3 17.5%3 11.1%	€10.1BN 9.1% 5.2%
RATIONALIZATION	- BRANCHES (#) - HEADCOUNT (#)	2,417 25,073	2,082 22,560	1,727 21,9414
COST EFFICIENCY	- TOTAL OPERATING COST - COST REDUCTION SINCE YE15	€3,086M5	€2,858M5 -€228M	€2,604M -€482M
 …IN A CHALLENGING ENVIRONMENT (2017-2019) Yearly average embedded in the Strategic Plan	Euribor 3M (%) 0.1 2019 2017 2018 -0.1 -0.3 -0.3 -0.3 -0.32 -0.5	GDP +0.1 (%) 2 1.7 1.2 0.8 1.1 1 -0.38 0 2017 2018	bps 330 280 1.0 230 180 130 0.2 80 2019	BTP/BUND Spread 155 160 81 2017 2018 2019

PROFITABILITY ABOVE RECENT GUIDANCE BACK TO DIVIDEND: PROPOSED DPS OF €0.08 (DIVIDEND YIELD OF 4.1%⁶ ) NEW STRATEGIC PLAN: 3 MARCH 2020

Notes: 1. Strategic Plan starting point YE 2015 2.Nominal values. 3. Corresponding to Nominal targets (incl. write-offs) of €23.9bn and of 17.9%, respectively 4. The figure includes 251 exits related to non-recurring corporate transactions. 5.Proforma operating cost target, updated to take account of the perimeter change. The data indicated for 2015 as well as for the 2019 target and for the effective 2019 data are affected by different accounting effects. 6. Calculated over the share price closure of €1.96 as at 05/02/2020).

SOLID 2019 PERFORMANCE: KEY HIGHLIGHTS (1/2)

Strong profitability and capital position

Note: 1. Do not include the €400m AT1 instrument issued in January 2020, corresponding to 61bps.

SOLID 2019 PERFORMANCE: KEY HIGHLIGHTS (2/2)

Successful balance sheet strategy

RISK PROFILE	 Gross NPE: -1.7bn y/y Net NPE: -1.2bn y/y 	Gross NPE ratio	Net NPE ratio
	Texas ratio1  : 52.3% (74.9% YE 18)	9.1%	5.2%
RESERVES & UNREALISED	Effective management of debt  securities, maintaining a robust buffer of reserves and unrealised	RESERVES (FVOCI)	UNREALISED GAINS (AC)3
GAINS	gains, which registered a further increase at the beginning of 20202	€71m	€520m
CUSTOMER VOLUMES	 Solid 'core' commercial volumes	C/A & Core Perf. Deposits Loans	AUM
	Growing 'core' funding base:  opportunity to boost wealth management business	+8.2% +2.9% y/y y/y	+4.7% y/y
	 Strong position confirmed	LCR	NSFR
LIQUIDITY & FUNDING	Unencumbered eligible  securities at ~€20bn	>165%	>100%

Notes: 1. Net NPE on Tangible Shareholders' Equity. 2. See Slide 17 for details. 3. Unrealised Gains on Debt Securities at AC are not included in the 'Comprehensive Profitability', nor in the Capital position.

FY 2019 GROUP COMPREHENSIVE PROFITABILITY

TOTAL INCOME	4,293	4,288	5
OPERATING COSTS	-2,604	-2,600	-4
PROFIT FROM OPERATIONS	1,689	1,689	0
LLPs	-779	-779	0
OTHER PRE-TAX ELEMENTS	109	12	97
PRE-TAX PROFIT	1,020	922	97
NET INCOME	797	649	148

FY 2019 results: from P&L Net Income to Comprehensive Profitability

2019 QUARTERLY P&L RESULTS: STATED AND ADJUSTED

			P&L STATED				P&L ADJUSTED1
€ m	Q1 2019	Q2 2019	Q3 2019	Q4 2019	Chg. q/q	Q1 2019	Q2 2019	Q3 2019	Q4 2019	Chg. q/q
		Restated					Restated
NII	505.2	514.8	500.0	477.9	-4.4%	505.2	514.8	500.0	473.2	-5.4%
FEES & COMMISSIONS	434.5	453.7	444.1	462.2	4.1%	434.5	453.7	444.1	462.2	4.1%
NET FINANCIAL RESULT	72.3	10.7	41.7	207.4	397.7%	72.3	10.7	41.7	207.4	397.7%
TOTAL INCOME	1,063.4	1,020.1	1,021.7	1,187.7 16.2%		1,063.4	1,020.1	1,021.7	1,183.0	15.8%
OPERATING COSTS	-656.2	-648.9	-642.8	-656.1	2.1%	-656.2	-648.2	-640.9	-654.3	2.1%
PROFIT FROM OPERATIONS	407.2	371.3	378.9	531.6	40.3%	407.2	371.9	380.9	528.7	38.8%
LLPs	-152.0	-197.7	-208.4	-220.5	5.8%	-152.0	-197.7	-208.4	-220.5	5.8%
FV VALUATION OF TANGIBLE ASSETS	-7.5	-19.3	-0.7	-131.0	n.m.	0.0	0.0	0.0	0.0	n.m.
PROVISIONS FOR RISKS & CHARGES	4.4	-10.1	-2.7	-62.6	n.m.	4.4	5.2	-1.7	-1.5	n.m.
P&L FROM DISPOSALS	0.2	336.6	0.0	-3.6	n.m.	0.0	0.0	0.0	0.0	n.m.
PRE-TAX PROFIT	248.4	484.8	171.1		115.4 -32.6%	255.7	183.5	174.9	308.3	76.2%
TAX	-52.6	-25.2	-43.2	-24.4	-43.6%	-54.4	-46.2	-44.1	-57.8	30.9%
SYSTEMIC CHARGES2	-41.6	-15.2	-31.5	-4.5	-85.7%	-41.6	0.0	-31.5	-4.5	-85.7%
NET INCOME	155.4	447.6	98.2	95.8	-2.5%	160.3	140.5	101.1	246.6	143.8%
			€797m					€649m

Restated: Q1, Q2 and Q3 2019 Operating Costs (specifically D&A item) are restated for the application in Q4 of the new valuation model on properties and artworks. Refer to methodological notes for details.

Notes: 1. For details on non-recurring elements excluded from the stated Net Income see slide 33. 2. Net of taxes.

RESILIENT CORE REVENUES

Core Revenues: quarterly contribution

Broadly stable quarterly core revenues (aggregate NII and Net Fees and Commissions) in 2019, with Net Fees and Commissions increasing the share to 49% in Q4

NET INTEREST INCOME: HIGHLIGHTS

Notes: 1. 'Other' includes PPA as well as impacts from IFRS9 and IFRS16; see slide 35 for details. 2. Non-commercial banking includes: financial activities, Hedging, interest on Bonds (Retail and Institutional) and other elements.

VOLUME GROWTH AT A GLANCE

Strong commercial performance: growth in core customer volumes

€ bn		31/12/2018	30/09/2019	31/12/2019	% chg.Y/Y	% chg. Q4
	Net Performing Customer Loans	97.3	101.1	100.3	3.1%	-0.8%
	o/w: Core Performing Customer Loans1		92.0	91.1	2.9%	-1.0%
	- Medium/Long - Term Loans	58.6	62.0	62.5	6.8%	0.9%
	- Current Accounts	11.2	11.2	10.5	-6.2%	-5.8%
	- Other Loans	18.8	18.9	18.1	-3.8%	-4.1%
	Direct Funding2		106.5	108.9	7.3%	2.3%
C/A & Deposits (Sight + Time)		81.1	87.0	87.8	8.2%	0.8%
Bonds		14.9	14.4	15.8	6.7%	10.4%
	Certificates		3.1	3.2	-3.9%	3.2%
Other		2.1	1.9	2.0	-5.6%	4.5%
	Indirect Funding3	87.0	89.2	89.7	3.2%	0.6%
	o/w: AUM		57.6	58.3	4.7%	1.2%
	- Funds & Sicav	36.0	38.5	39.0	8.5%	1.5%
	- Bancassurance	14.9	15.2	15.4	3.2%	1.4%
	- Managed Accounts & Funds of Funds	4.8	4.0	3.9	-18.8%	-2.0%

Customer Loans as at 30/09/19 are restated including Profamily non-captive volumes. See Methodological Notes for details.

Notes: 1. Exclude GACS senior notes, REPOs and Leasing. 2. Restated excluding REPOs and including Capital-Protected Certificates. 3. Restated excluding Capital-Protected Certificates from AUC.

SOUND LENDING PERFORMANCE OF THE NETWORK

Solid volumes, with a recovery in pricing of Corporate and SME new lending y/y

• Solid level of new M/L-Term lending (>€21bn) confirmed, coupled with increased pricing in the main corporate segments vs. FY 2018
• The contribution from the better pricing of the new lending is mitigated by the still higher rates of the maturing portfolio, with the exception of the Corporate segments, which already show increasing spreads in net lending

Notes: 1. Include M/L-term Mortgages (Secured and Unsecured), Personal Loans, Pool, ST/MLT Structured Finance. Exclude Agos and Profamily volumes sold by the network, but not consolidated by the Group. 2. All-in rates include commission income related to insurance policies, interest rate hedges and loan granting fees. Exclude volumes related to Structured Finance.

SUCCESSFUL ACCESS TO A WIDE RANGE OF INSTRUMENTS IN THE WHOLESALE MARKET

€2.8bn public wholesale issues in the period FY 2019-Jan. 2020

Bond funding composition as at 31/12/2019

Wholesale bond maturities¹

Senior Preferred Wholesale Bonds: Spreads & Rates

SENIOR PREFERRED INSTRUMENTS	AVERAGE RATES	AVERAGE SPREADS
FY 2019 ISSUES	2.2%	2.3%
FY 2019 MATURITIES	3.8%	3.1%
FY 2020 MATURITIES	2.8%	2.3%

Notes: 1. Managerial data based on nominal amounts, including calls. 2. Include €0.95bn Repo with underlying retained Covered Bonds.

NET FEES AND COMMISSIONS: GROWTH IN Q4

• Net fees and commission at €462.2m in Q4 2019, up 4.1% Q/Q, thanks both to the increase in advisory and management fees (+3.7% Q/Q), as well as to commercial fees (+4.4% Q/Q).
• After some pressure registered in 2018, due to the adoption of a new commercial approach coinciding with liquidity preference of customers, a balanced quarterly progression is seen in 2019, thanks to advisory and management fees (especially investment product placement, bancassurance and consumer finance fees)

Notes: 1. Internal management data of the Commercial Network regarding the breakdown of running and upfront fees on investment products.

GROWTH IN INVESTMENT PRODUCT PLACEMENTS

• After the decline registered in quarterly investment product placements during 2018, a constant performance recovery is seen in all quarters of 2019, with Q4 coming in at €3.7bn (vs. €2.5bn in Q4 2018 and €3.5bn in Q3 2019)
• Following the adoption of a new customer-based commercial approach in 2018, the Group has rebalanced the composition of Management & Advisory fees, registering a resilient contribution from the upfront component of investment products

Notes: 1. Management data of the Commercial Network related only to the placements of investment products which generate upfront fees.

NFR: EXCELLENT PERFORMANCE MAINTAINING A ROBUST LEVEL OF RESERVES & UNREALISED GAINS

Material increase in NFR in Q4 (to €207.4m), mainly as a result of gains from the disposal of debt securities (€125.1m), together with those from debt and equity instruments coming from the disposal of Sorgenia (€44.6m under NFR, with an additional €73.2m contributing directly to equity)

Notes: 1. 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. 2. Internal management data.

WELL DIVERSIFIED DEBT SECURITIES PORTFOLIO

Further rationalisation of Italian Govies portfolio in Q4 2019

Notes: 1. Management data as at end-January 2020, including hedging strategies.

1. Key FY 2019 Performance Highlights

STRONG REDUCTION IN OPERATING COSTS: Y/Y

Total Operating Costs¹

Notes: 1. 2018 figures are not fully comparable, due to the restatement of Q1, Q2 and Q3 2019 Operating Costs (specifically related to the D&A item). Refer to methodological notes. 2. Internal Management Data, adjusted for non-recurring items and systemic charges. Figures are pro-forma for the Strategic Plan starting point, with ex Aletti Gestielle coherently not included in Operating Costs.

OPERATING COSTS: QUARTERLY EVOLUTION

Total Operating Costs¹

Note: 1. Q1, Q2 and Q3 2019 Operating Costs (specifically related to the D&A item) are restated for the application in Q4 of the new valuation model on properties and artworks, now impacting the item Profit (Loss) on Fair Value measurement of tangible assets.

ACCOUNTING MODEL CHANGE FOR PROPERTY AND ARTWORKS

RATIONALE AND NATURE OF MODEL CHANGE	 Rationalisation and value enhancement of the Group's real estate portfolio (both instrumental and Investment property) and artworks  From cost-based to fair-value accounting model
IMPACT ON PROPERTY AND ARTWORK VALUATION	Impact on total property and artworks as at 31/12/2019 (vs. BV at YE 2018):   Total impact (pre-tax) - o/w: Property - o/w: Artworks	+€223.0m1 +€181.8m +€ 41.2m
IMPACT ON P&L VS DIRECT IMPACT TO CAPITAL	 Total impact to P&L (pre-tax): - o/w: Property - o/w: Artworks Total impact direct to capital (pre-tax)  - o/w: Property - o/w: Artworks	P&L includes essentially -€131.4m decreases vs. the value as of -€129.5m 31/12/18 -€1.9m +€354.4m1 +€311.4m +€43.1m

Note: 1. Of which -€12.6m not recorded under the Comprehensive Profitability.

STRONG IMPROVEMENT ACROSS ASSET QUALITY METRICS

Reduction in NPE stock and ratios, with strengthened coverage in all categories

NPE Ratios

Coverage & Collaterlisation

Note: 1. Customer Loans as at 30/09/19 are restated including Profamily non-captive volumes. Refer to the Methodological Notes for details.

NPE FLOWS AND COST OF RISK: MATERIAL IMPROVEMENT Y/Y

Note: 1. CoR calculated including also loans classified at IFRS 5, for coherence with related LLPs.

NPE: EFFECTIVE WORKOUT ACTIVITY

NPE, gross book value: -€1.7bn in 2019

€ bn

Effective NPE management with internal workout more than compensating annual inflows

UTP LOANS: CONSISTENT REDUCTION WITH EFFECTIVE WORKOUT AND SIGNIFICANTLY STRENGTHENED COVERAGE SINCE YE 2016

UTP, gross book value: -€4.9bn since YE 2016

* -0.3m of IFRS 9 reclassification impact

UTP Coverage: +11.9 p.p. since YE 2016

Note: 1. Cancellations, Recoveries, Cure and Other net movements.

• Strong reduction in gross UTP: -€1.4bn in FY 2019 and -€4.9bn since year-end 2016
• Significant and consistent strengthening of UTP coverage levels: +4.1p.p. in FY 2019 and +11.9p.p since year-end 2016
• UTP quality: high share of secured positions (61% GBV and 71% NBV), with predominant exposure in northern Italy

SIGNIFICANT STRENGTHENING IN ALL CAPITAL RATIOS

Well positioned to withstand potential future headwinds

Fully Loaded Capital Ratios: evolution

Notes: 1. The figures do not include the €400m AT1 instrument issued in January 2020, corresponding to 61bps.

Ratios as at 30/09/2019 include the contribution of the Q3 2019 net result, while those as at 31/12/2019 include the net result, post dividend, pertaining to H2 2019 (see methodological notes for details).

FINAL REMARKS ON FY 2019 PERFORMANCE

SOLID PROFITABILITY, OPERATIONALLY DRIVEN BY:

• POSITIVE TREND IN INVESTMENT PRODUCT FEES
• STRICT ONGOING COST CONTROL
• REDUCTION IN THE COST OF RISK
• RESILIENT GROWTH IN BUSINESS VOLUMES
• CAPITAL POSITION AT STRONGEST-EVER LEVEL ALLOWING TO WITHSTAND POTENTIAL FUTURE REGULATORY HEADWINDS
• ONGOING IMPROVEMENT IN ASSET QUALITY METRICS, DRIVEN BY EFFECTIVE WORKOUT, LOWER INFLOWS AND HIGHER COVERAGE

STRONG FUNDING AND LIQUIDITY POSITION

BACK TO DIVIDEND: PROPOSED DPS OF €0.08 (DIVIDEND YIELD OF 4.1%¹ )

Note: 1. Calculated over the share price closure of €1.96 as at 05/02/2020).

OUTLOOK FOR FY 2020

CORE REVENUES:

GROWTH IN NET FEE & COMMISSION INCOME EXPECTED TO OFFSET PRESSURE ON NET INTEREST INCOME

STRICT COST CONTROL:

ONGOING COST MANAGEMENT ACTIVITIES ALLOW TO COMPENSATE THE EFFECT FROM THE RENEWAL OF THE COLLECTIVE LABOUR CONTRACT AND TO MINIMISE THE IMPACT OF ADDITIONAL INVESTMENTS MAINLY IN IT

COST OF RISK:

FURTHER PROGRESS EXPECTED IN THE PATH OF REDUCTION, CONSISTENT ALSO WITH AN IMPROVEMENT IN THE CREDIT PORTFOLIO

CAPITAL POSITION:

BUILDING ON THE TRACK RECORD OF INTERNAL CAPITAL GENERATION TO SUPPORT A SUSTAINABLE SHAREHOLDER REMUNERATION, MANAGING POTENTIAL FUTURE REGULATORY HEADWINDS

BANCO BPM'S NEW STRATEGIC PLAN AND TARGETS TO BE PROVIDED ON 3 MARCH 2020

Agenda

1. Key FY 2019 Performance Highlights 4

2. Performance Details:	29
- Profitability	30
- Balance Sheet	37
- Funding and Liquidity	38
- Customer Loans and Focus on Credit Quality	43
- Capital Position	46

GROUP FY 2019 COMPREHENSIVE NET INCOME

Resilient capital generation also from the elements not directly impacting P&L

€ m		9M 2019	FY 2019	Q1 2019	Q2 2019	Q3 2019	Q4 2019
A.	P&L NET INCOME o/w: ADJUSTED	701.2 402.0	797.0 648.6	155.4 160.3	447.6 140.5	98.2 101.1	95.8 246.6
B	OTHER NET INCOME DIRECTLY ACCOUNTED TO EQUITY1	283.2	526.7	110.5	13.5	159.2	243.5
	2 o/w Tangible assets at Fair Value	0.0	249.7	0.0	0.0	0.0	249.7
	o/w Reserves of Debt Securities at FVOCI (net of tax)	281.8	178.8	91.5	64.3	126.0	-103.0
	o/w Reserves of Equity Securities at FVOCI (net of tax)	14.0	119.8	19.5	-31.9	26.3	105.8
A.+B.	COMPREHENSIVE NET INCOME OF THE GROUP	984.5	1,323.7	265.9	461.1	257.4	339.3

Notes: 1. Other Comprehensive Income components, excluded from the distributable amount available for dividends. 2. Element not included in the Adjusted Comprehensive Profitability.

Q1, Q2, Q3 2019 and 9M 2019 figures have been restated for the application in Q4 of the accounting standard for the valuation of the Group's property and works of art. Refer to methodological notes.

Reclassified income statement	FY 2018	FY 2019	Chg. Y/Y	Chg. Y/Y
(in euro million)	Stated	Stated		%
Net interest income	2,292.6	1,998.0	-294.6	-12.9%
Income (loss) from investments in associates carried at equity	159.5 131.3		-28.2	-17.7%
Net interest, dividend and similar income	2,452.0	2,129.2	-322.8	-13.2%
Net fee and commission income	1,860.9	1,794.4	-66.5	-3.6%
Other net operating income	389.8	37.2	-352.5	-90.4%
Net financial result	70.2	332.1	261.9	373.2%
Other operating income	2,320.9 2,163.7		-157.1	-6.8%
Total income	4,772.9	4,293.0	-480.0	-10.1%
Personnel expenses	-1,732.8	-1,696.5	36.3	-2.1%
Other administrative expenses	-816.5	-638.6	177.9	-21.8%
Amortization and depreciation	-243.5	-268.9	-25.5	10.5%
Operating costs	-2,792.8	-2,604.0	188.7	-6.8%
Profit (loss) from operations	1,980.1	1,688.9	-291.2	-14.7%
Net adjustments on loans to customers	-1,941.1	-778.5	1,162.6	-59.9%
Profit (loss) on FV measurement of tangible assets		-158.5	-158.5
Net adjustments on other financial assets	3.3	5.8	2.5	75.0%
Net provisions for risks and charges	-345.3	-71.0	274.3	-79.4%
Profit (loss) on the disposal of equity and other investments	173.4	333.2	159.8	92.2%
Income (loss) before tax from continuing operations	-129.7	1,019.7	1,149.4	n.m.
Tax on income from continuing operations	162.8	-145.4	-308.3	n.m.
Systemic charges after tax	-100.2	-92.9	7.3	-7.3%
Income (loss) after tax from discontinued operations	0.9		-0.9	n.m.
Income (loss) attributable to minority interests	9.6	15.6	5.9	61.7%
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	-59.4	797.0	856.4	n.m.

RECLASSIFIED P&L: ANNUAL COMPARISON

The trends in NII and LLPs haves to be read strictly together, due to the impact of the derisking activity: the reduced contribution of NPEs to NII is more than compensated by lower LLPs for NPEs

Starting from 30/06/2019, upfront fees related to the placement of Certificates have been reclassified from Net Financial Results to Net Fees & Commissions. The previous quarters (2018 and Q1 2019) have been reclassified coherently.

2018 figures not fully comparable due to the restatement of Q1, Q2 and Q3 2019 Operating Costs (specifically D&A item) for the application in Q4 of the new valuation model on properties and artworks. Refer to methodological notes.

RECLASSIFIED P&L: QUARTERLY EVOLUTION

Reclassified income statement	Q1 2018	Q2 2018	Q3 2018	Q4 2018	Q1 2019	Q2 2019	Q3 2019	Q4 2019
(in euro million)	Stated	Stated	Stated	Stated	Stated	Stated	Stated	Stated
Net interest income	595.1	585.0	557.8	554.7	505.2	514.8	500.0	477.9
Income (loss) from investments in associates carried at	42.6	33.4	32.8	50.7	36.8	32.6	28.0	33.9
equity
Net interest, dividend and similar income	637.7	618.4	590.6	605.4	541.9	547.5	528.0	511.8
Net fee and commission income	477.9	457.3	451.4	474.4	434.5	453.7	444.1	462.2
Other net operating income	24.2	130.0	214.5	21.1	14.6	8.3	8.0	6.3
Net financial result	27.9	73.9	46.8	-78.4	72.3	10.7	41.7	207.4
Other operating income	530.0	661.2	712.7	417.0	521.5	472.7	493.7	675.9
Total income	1,167.7	1,279.6	1,303.2	1,022.4	1,063.4	1,020.1	1,021.7	1,187.7
Personnel expenses	-442.1	-437.1	-431.5	-422.2	-425.9	-418.0	-415.6	-437.1
Other administrative expenses	-211.5	-203.1	-196.2	-205.7	-167.0	-163.1	-158.6	-149.8
Amortization and depreciation	-47.9	-49.0	-49.5	-97.1	-63.3	-67.7	-68.6	-69.3
Operating costs	-701.5	-689.2	-677.1	-725.0	-656.2	-648.9	-642.8	-656.1
Profit (loss) from operations	466.2	590.4	626.1	297.4	407.2	371.3	378.9	531.6
Net adjustments on loans to customers	-326.2	-360.2	-267.4	-987.3	-152.0	-197.7	-208.4	-220.5
Profit (loss) on FV measurement of tangible assets					-7.5	-19.3	-0.7	-131.0
Net adjustments on other financial assets	2.2	-1.6	-1.3	4.0	-4.0	4.0	4.1	1.6
Net provisions for risks and charges	-25.0	-20.7	-71.9	-227.8	4.4	-10.1	-2.7	-62.6
Profit (loss) on the disposal of equity and other	179.7	-1.1	-10.3	5.1	0.2	336.6	0.0	-3.6
investments
Income (loss) before tax from continuing operations	296.9	206.8	275.2	-908.6	248.4	484.8	171.1	115.4
Tax on income from continuing operations	-25.9	-61.3	-72.3	322.4	-52.6	-25.2	-43.2	-24.4
Systemic charges after tax	-49.0	-18.4	-32.1	-0.7	-41.6	-15.2	-31.5	-4.5
Income (loss) after tax from discontinued operations	0.0	0.0	0.9	0.0	0.0	0.0	0.0
Income (loss) attributable to minority interests	1.4	2.2	0.3	5.8	1.2	3.2	1.8	9.2
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	223.3	129.3	171.9	-581.0	155.4	447.6	98.2	95.8

Starting from 30/06/2019, upfront fees related to the placement of Certificates have been reclassified from Net Financial Results to Net Fees & Commissions. The previous quarters (2018 and Q1 2019) have been reclassified coherently. Restated: Q1, Q2 and Q3 2019 Operating Costs (specifically D&A item) are restated for the application in Q4 of the new

valuation model on properties. Refer to methodological notes

FY 2019 ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement	FY 2019	FY 2019		Non-recurring items and
(in euro million)	Stated	Adjusted	One- off	extraordinary systemic charges
Net interest income	1,998.0	1,993.3	4.7	Rem uneration of sub. Bond Carige through FITD
Income (loss) from investments in associates carried at equity	131.3	131.3	0.0
Net interest, dividend and similar income	2,129.2	2,124.5	4.7
Net fee and commission income	1,794.4	1,794.4	0.0
Other net operating income	37.2	37.2	0.0
Net financial result	332.1	332.1	0.0
Other operating income	2,163.7	2,163.7	0.0
Total income	4,293.0	4,288.3	4.7
Personnel expenses	-1,696.5	-1,696.5	0.0
Other administrative expenses	-638.6	-638.6	0.0
Amortization and depreciation	-268.9	-264.5	-4.4	Adjustm ents on intangible assets
Operating costs	-2,604.0	-2,599.6	-4.4
Profit (loss) from operations	1,688.9	1,688.7	0.2
Net adjustments on loans to customers	-778.5	-778.5	0.0
Profit (loss) on FV measurement of tangible assets	-158.5	0.0	-158.5	Application of the new valuation m odel on properties and artworks
Net adjustments on other assets	5.8	5.8	0.0
Net provisions for risks and charges	-71.0	6.5	-77.5	Adjustm ents on custom er conditions, charges for litigation and provisions for custom er care and other
Profit (loss) on the disposal of equity and other investments	333.2	0.0	333.2	Disposal of ProAgos, First Servicing (NPL platform ) and other
Income (loss) before tax from continuing operations	1,019.7	922.4	97.4
Tax on income from continuing operations	-145.4	-202.5	57.1	Extraordinary positive fiscal item s
Systemic charges after tax	-92.9	-77.6	-15.2	Additional contribution to Italian resolution fund
Income (loss) after tax from discontinued operations			0.0
Income (loss) attributable to minority interests	15.6	6.3	9.3	Other
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	797.0	648.6	148.4

FY 2019 RECLASSIFIED P&L – PPA AND IFRS 9 IMPACTS

			(A-B):	(A-C-E):
	A	B	C	D	E
Reclassified income statement	2019	2019	2019	2019	2019
(in euro million)	Stated	CE ex PPA	PPA (Totale)	CE ex PPA e IFRS 9	Ricl. IFRS 9
Net interest income	1,998.0	1,981.1	16.9	1,977.1	4.0
Income (loss) from investments in associates carried at
equity	131.3	131.3		-
Net interest, dividend and similar income	2,129.2	2,112.3	16.9	1,977.1	4.0
Net fee and commission income	1,794.4	1,794.4		-
Other net operating income	37.2	76.0	-38.8	76.0
Net financial result	332.1	332.1		-
Other operating income	2,163.7	2,202.5	-38.8	76.0	-
Total income	4,293.0	4,314.9	-21.9	2,053.1	4.0
Personnel expenses	-1,696.5	-1,696.5		-
Other administrative expenses	-638.6	-638.6		-
Amortization and depreciation	-268.9	-268.9		-
Operating costs	-2,604.0	-2,604.0	-	-	-
Profit (loss) from operations	1,688.9	1,710.8	-21.9	2,053.1	4.0
Net adjustments on loans to customers	-778.5	-778.5		-774.6	-4.0
Profit (loss) on FV measurement of tangible assets	-158.5	-158.5
Net adjustments on other assets	5.8	5.8		-
Net provisions for risks and charges1 Profit (loss) on the disposal of equity and other	-71.0	-71.0		-
investments	333.2	333.2		-
Income (loss) before tax from continuing operations	1,019.7	1,041.6	-21.9	1,278.6	-
Tax on income from continuing operations	-145.4	-152.7	7.2	-152.7
Systemic charges after tax	-92.9	-92.9		-
Income (loss) after tax from discontinued operations		-		-
Income (loss) attributable to minority interests	15.6	15.6		-
Net income (loss) for the period	797.0	811.7	-14.7	1,125.9	-

Operating Costs (specifically D&A item) in first three 2019 quarters have been restated for the application in Q4 of the new valuation model on tangible assets with conseguent effects on PPA. Refer to methodological notes.

FY 2019 RESULTS: NET INTEREST INCOME

Q/Q comparison Y/Y comparison

Details of Other (Non-Core Components)

€ m	Q319	Q4 19
Reversal PPA	4,2	4,0
o/w Bad loans (IFRS 9)	2,6	2,2
o/w Unlikely to pay	14,8	14,0
o/w Performing loans	-13,3	-12,2
Other IFRS 9	-1,1	1,4
Reversal time value on bad loans	4,8	5,0
Adjustment on UTP & PD interests	-5,9	-3,6
IFRS 16	-2,4	-2,3
Total 'OTHER'	0,7	3,1

Details of Other (Non-Core Components)

€ m	FY 18	FY 19
Reversal PPA	143,3	16,9
o/w Bad loans (IFRS 9)	119,6	12,5
o/w Unlikely to pay	106,1	61,6
o/w Performing loans	-82,4	-57,3
Other IFRS 9	71,3	4,0
Reversal time value on bad loans	107,7	26,7
Adjustment on UTP & PD interests	-36,4	-22,8
IFRS 16	0,0	-9,7
Total 'OTHER'	214,6	11,1

The yearly decrease of the Non-Core Components of NII is due to the strong derisking activity and has to be read strictly together with the material reduction in the cost of risk

FY 2019 RESULTS: Y/Y COMPARISON

Loan Loss Provisions

Notes:

1. Fees & Commissions include the restatement of the upfront components for the placements of Certificates (previously booked under NFR).2. 2018 figures are not fully comparable, due to the restatement of Q1, Q2 and Q3 2019 Operating Costs (specifically D&A item). Refer to methodological notes. 3. Mainly referring to adjustments on tangible assets.

RECLASSIFIED BALANCE SHEET AS AT 31/12/2019

			Chg.
Reclassified assets (€ m)	31/12/2018	31/12/2019	Value	%
Cash and cash equivalents	922	913	-9	-1.0%
Loans and advances measured at AC	108,208	115,890	7,682	7.1%
- Loans and advances to banks	4,193	10,044	5,851	139.5%
- Loans and advances to customers (*)	104,015	105,845	1,831	1.8%
Other financial assets	36,853	37,069	216	0.6%
- Assets measured at FV through PL	5,869	7,285	1,416	24.1%
- Assets measured at FV through OCI	15,352	12,527	-2,825	-18.4%
- Assets measured at AC	15,632	17,257	1,625	10.4%
Equity investments	1,434	1,386	-48	-3.4%
Property and equipment	2,776	3,624	848	30.6%
Intangible assets	1,278	1,269	-9	-0.7%
Tax assets	5,012	4,620	-393	-7.8%
Non-current assets held for sale and discont. operations	1,593	131	-1,462	-91.8%
Other assets	2,389	2,136	-253	-10.6%
Total	160,465	167,038	6,573	4.1%
Reclassified liabilities (€ m)	31/12/2018	31/12/2019	Value	%
Due to banks	31,634	28,516	-3,118	-9.9%
Direct Funding	105,220	109,506	4,287	4.1%
- Deposits from customers	90,198	93,375	3,177	3.5%
- Debt securities and financial liabilities desig. at FV	15,022	16,131	1,109	7.4%
Debts for Leasing	-	733	n.m.	n.m.
Other financial liabilities designated at FV	7,229	10,919	3,691	51.1%
Liability provisions	1,705	1,487	-218	-12.8%
Tax liabilities	505	619	114	22.5%
Liabilities associated with assets held for sale	3	5	2	67.5%
Other liabilities	3,864	3,366	-498	-12.9%
Minority interests	46	26	-20	-42.8%
Shareholders' equity	10,259	11,861	1,602	15.6%
Total	160,465	167,038	6,573	4.1%

2019 figures are not fully comparable to 2018 figures as a result of IFRS16 first adoption and for the change in the accounting standard for the valuation of the Group's property and works of art.

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

DIRECT FUNDING

Solid position confirmed in core deposits, which account for 79% of the total

Direct customer funding¹ (without Repos)

Note:

1. Direct funding restated according to a management logic: it includes capital-protected certificates, recognized under 'Held-for-trading liabilities', while it does not include Repos (€3.9bn at December 2019 vs. €7.1bn at December 2018), mainly transactions with Cassa di Compensazione e Garanzia.

BOND MATURITIES: LIMITED AND MANAGEABLE AMOUNTS

Managerial data based on nominal amounts, including calls.

Note:

1. Include also the maturities of Repos with underlying retained Covered Bonds: €0.45bn in 2021 and €0.50bn in 2022

INDIRECT CUSTOMER FUNDING AT €89.7BN

• Total Indirect Customer Funding at €89.7bn: +3.2% YTD and +0.6% q/q
• Growth in the AuM component (at €58.3bn: +4.7% YTD and +1.2% q/q), registering:
  • A confirmed positive trend of Funds & Sicav (+8.5% YTD and +1.5% q/q)
  • The recovery is consolidating in Bancassurance (+3.2% YTD and +1.4% q/q )
• Assets under Custody are up YTD (+0.5%), while registering a slight decline in the quarter (-0.4%)
• The progressive increase in C/A & deposits (+€6.7bn since 31/12/18, of which +€0.7bn in Q4) offers opportunity to boost wealth management business

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 38).

STRONG LIQUIDITY POSITION: LCR >165% & NSFR >100%¹

Breakdown of the exposure with the ECB as at 31/12/2019

1. Monthly LCR of December 2019; NSFR for Q4 2019. 2. Includes assets received as collateral.

3. Refers to securities lending (uncollateralized high quality liquid assets).

• €29.8bn of total unencumbered liquid securities (net of haircuts) as at 31/12/2019
• Long-term bilateral refinancing operations at €3.4bn euro (net of haircuts), with an average maturity of 2.2 years
• In Q4 2019, €6bn of TLTRO II were reimbursed and €1.5bn of TLTRO III and €4bn of MRO drawn

• €10bn of assets encumbered with ECB are rated A or higher: easy to refinance at good conditions

• €9.7bn of credit claims (ABACO) encumbered with ECB are eligible for securitisations

• Performance Details: Funding and Liquidity

SECURITIES PORTFOLIO

€ bn

	31/12/18	30/09/19	31/12/19	Chg. y/y	Chg. in Q4
Debt securities	32.9	34.2	31.2	-5.0%	-8.8%
- o/w Total Govies	27.5	29.7	26.4	-4.0%	-10.9%
- o/w: Italian Govies	17.7	19.3	15.5	-12.0%	-19.8%
IT Govies in % on Debt Securities	53.7%	56.5%	49.7%	-7.4%	-12.0%
Equity securities, Open-end funds & Private equity	1.8	2.2	2.5	40.5%	15.8%
TOTAL SECURITIES	34.7	36.4	33.8	-2.6%	-7.3%

€ bn	31/12/18	30/09/19	31/12/19	Chg. y/y	Chg. in Q4
Govies at FVOCI	11.7	10.0	9.1	-22.4%	-9.3%
- Italian	6.6	5.9	4.6	-29.4%	-21.3%
- Non Italian	5.1	4.1	4.4	-13.5%	7.9%
Govies at AC	15.1	16.5	15.7	4.3%	-4.7%
- Italian	10.3	10.9	10.0	-3.2%	-8.5%
- Non Italian	4.7	5.6	5.7	20.7%	2.7%
Govies at FVTPL	0.8	3.1	1.6	115.9%	-48.3%
- Italian	0.8	2.5	0.9	17.6%	-65.0%
- Non Italian	0.0	0.6	0.7	n.m.	20.4%

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €21.4bn in FY 2019¹

Net Customer Loans²

NPE Performing Loans	104.0 6.7 97.3		107.0 6.0 101.1		105.8 5.5 100.3
	31/12/2018		30/09/2019		31/12/2019
					CHANGE
PERFORMING LOANS	31/12/18	30/09/19	31/12/19	In % y/y	In % Q4
Core customer loans	88.6	92.0	91.1	2.9%	-1.0%
- Medium/Long-Term loans	58.6	62.0	62.5	6.8%	0.9%
- Current Accounts	11.2	11.2	10.5	-6.2%	-5.8%
- Other loans	16.9	17.0	16.1	-4.6%	-4.9%
- Cards & Personal Loans	1.9	1.9	2.0	3.4%	3.1%
Leasing	1.0	1.0	1.0	-9.3%	-3.7%
Repos	6.2	5.5	5.7	-8.2%	4.7%
GACS Senior Notes	1.4	2.6	2.5	75.1%	-3.6%
Total Performing Loans	97.3	101.1	100.3	3.1%	-0.8%

Customer Loans as at 30/09/19 are restated including Profamily non-captive volumes. See Methodological Notes for details.

Notes:

1. Management data. Include MLT Mortgages (Secured and Unsecured), Personal Loans, Pool, ST/MLT Structured Finance. Exclude Agos and Profamily volumes sold by the network, but not consolidated by the Group. 2. Loans and advances to customers at Amortized Cost, including also the GACS senior notes (Exodus since June 2018 and, moreover, ACE since March 2019). Year-end 2018 data already excluded €1.3bn Bad Loans (having being classified as discontinued operation), then disposed with the ACE project in Q1 2019.

ASSET QUALITY DETAILS

GROSS EXPOSURES	31/12/2018	30/09/2019	31/12/2019	Chg. y/y		Chg. in Q4
€/m and %		Incl. Profamily		Value	%	Value	%
Bad Loans	3,939	3,395	3,565	-375	-9.5%	170	5.0%
UTP	7,768	6,949	6,424	-1,345	-17.3%	-525	-7.6%
Past Due	106	131	98	-8	-7.2%	-32	-24.7%
NPE	11,814	10,474	10,087	-1,727	-14.6%	-387	-3.7%
Performing Loans	97,659	101,438	100,631	2,972	3.0%	-807	-0.8%
TOTAL CUSTOMER LOANS	109,473	111,912	110,718	1,245	1.1%	-1,195	-1.1%

NET EXPOSURES	31/12/2018	30/09/2019	31/12/2019	Chg. y/y		Chg. in Q4
€/m and %		Incl. Profamily		Value	%	Value	%
Bad Loans	1,591	1,488	1,560	-32	-2.0%	72	4.8%
UTP	5,048	4,373	3,912	-1,136	-22.5%	-462	-10.6%
Past Due	88	107	73	-15	-16.6%	-34	-31.8%
NPE	6,727	5,968	5,544	-1,183	-17.6%	-424	-7.1%
Performing Loans	97,288	101,072	100,301	3,013	3.1%	-771	-0.8%
TOTAL CUSTOMER LOANS	104,015	107,040	105,845	1,831	1.8%	-1,195	-1.1%

COVERAGE	31/12/2018	30/09/2019	31/12/2019
%		Incl. Profamily
Bad Loans	59.6%	56.2%	56.2%
UTP	35.0%	37.1%	39.1%
Past Due	17.5%	18.2%	25.9%
NPE	43.1%	43.0%	45.0%
Performing Loans	0.38%	0.36%	0.33%
TOTAL CUSTOMER LOANS	5.0%	4.4%	4.4%

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

Customer Loans as at 30/09/19 restated including Profamily non-captive volumes. Refer to Methodological Notes for details.

UTP LOANS: HIGH SHARE OF RESTRUCTURED AND SECURED POSITIONS

Breakdown of Net UTPs

€	bn
		31/12/18	31/12/2019	% Chg.
	Restructured	2.3	1.7	-27.2%
	- Secured	1.3	0.9	-29.0%
	- Unsecured	1.1	0.8	-25.1%
	Other UTP	2.7	2.2	-18.8%
	- Secured	2.3	1.9	-15.6%
	- Unsecured	0.5	0.3	-34.8%
		5.0	3.9	-22.5%
	o/w:
	- North	68.8%	72.6%
	- Centre	22.8%	20.9%
	- South, Islands & not resident	8.4%	6.5%

• Solid level of coverage for unsecured UTP: 55.2%
• Net Restructured loans (€1.7bn) account for 43% of total net UTP: they are essentially related to formalized underlying restructuring plans and procedures (mainly under Italian credit protection procedures)
• Net unsecured UTP other than Restructured loans are limited to €0.3bn
• ~94% of Net UTPs are located in the northern & central parts of Italy

CAPITAL POSITION DETAILS

PHASED IN CAPITAL	31/12/2018	30/09/2019	31/12/2019
POSITION (€/m and %)
CET 1 Capital	7,754	9,254	9,586	RWA COMPOSITION (€/bn)	31/12/2018	30/09/2019	31/12/2019
T1 Capital	7,888	9,686	10,017
Total Capital	9,442	10,966	11,542	CREDIT & COUNTERPARTY RISK	56.3	59.3	57.9
RWA	64,324	67,278	65,841	of which: Standard	27.7	29.5	28.0
CET 1 Ratio	12.05%	13.75%	14.56%	MARKET RISK	1.9	2.0	1.9
AT1	0.21%	0.64%	0.66%	OPERATIONAL RISK	5.9	5.7	5.8
T1 Ratio	12.26%	14.40%	15.21%	CVA	0.2	0.3	0.2
Tier 2	2.42%	1.90%	2.32%	TOTAL	64.3	67.3	65.8
Total Capital Ratio	14.68%	16.30%	17.53%

FULLY PHASED CAPITAL	31/12/2018	30/09/2019	31/12/2019
POSITION (€/m and %) CET 1 Capital T1 Capital	6,406 6,410	8,097 8,399	8,453 8,754	RWA COMPOSITION (€/bn)	31/12/2018	30/09/2019	31/12/2019
Total Capital	7,964	9,679	10,280	CREDIT & COUNTERPARTY RISK	56.0	59.2	58.0
RWA	64,034	67,165	65,856	of which: Standard	27.4	29.4	28.0
CET 1 Ratio	10.00%	12.06%	12.84%	MARKET RISK	2.0	2.0	1.9
AT1	0.01%	0.45%	0.46%	OPERATIONAL RISK	5.9	5.7	5.8
T1 Ratio	10.01%	12.51%	13.29%	CVA	0.2	0.3	0.2
Tier 2	2.43%	1.91%	2.32%	TOTAL	64.0	67.2	65.9
Total Capital Ratio	12.44%	14.41%	15.61%

Ratios as at 30/09/2019 include the contribution of the Q3 2019 net result and those as at 31/12/2019 include the net result, post dividend, pertaining to H2 2019 (see methodological notes for details).

STRENGTHENING CAPITAL EFFICIENCY AND BUFFERS

Wide capital buffers, both at Phased-in and Fully Loaded level

Notes: 1. Calculated considering SREP requirements for 2019. 2. The figures do not include the €400m AT1 instrument issued in January 2020, corresponding to 61bps.

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)