Banco BPM SpA

Investor Presentation • Nov 6, 2019

9M 2019 Group Results Presentation

6 November 2019

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 30 September 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 30/09/2019.
• 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 Net Financial Results to Net Fees & Commissions. The previous quarters (2018 and Q1 2019) have been reclassified accordingly.
• 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 and €388m GBV and €108m NBV as at 30/09/2019) have been reclassified as discontinued operations according to the IFRS5 standard.
• 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. Moreover, starting from Q2 2019, the assets and liabilities (mainly composed by customer loans for a NBV of €1.4bn) referred to this non-captive business have been classified as discontinued operations according to IFRS5 standard. In this presentation, in order to allow a proper comparison, the historic data of Customer Loans (2018 and 31/03/2019) have been adjusted excluding all ex-Profamily volumes (captive and non-captive). It is also noted that, with reference to P&L, the contribution continues to be represented line-by-line, under the relevant P&L items.

It is also noted that in this presentation, in line with accounting reporting, the securities portfolio is subdivided on the basis of the various accounting valuation criteria (i.e. FVOCI, Amortised Cost – also referred to as AC - and FVTPL), whereas in previous presentations the corresponding terminology related to the underlying business model was used (i.e. HTCS, HTC and HFT).

***

Agenda

1. Key 9M 2019 Performance Highlights	4
2. Performance Details:	26
- Profitability	27
- Balance Sheet	36
- Funding and Liquidity	37
- Customer Loans and Focus on Credit Quality	40
- Capital Position	43

SOLID Q3 2019 PERFORMANCE (1/3)

Achievements in business operations and risk profile confirm further healthy progress

Higher Profit from Operations in Q3: OPERATING Stable revenues  PROFITABILITY Better operating efficiency 	PROFIT FROM OPERATIONS: - TOTAL REVENUES - OPERATING COSTS	Q/Q +7.6% +0.2% -3.6%
Growing commercial performance: CUSTOMER Continued increase in  VOLUMES core volumes	Q/Q +0.9% CORE PERF. LOANS +1.7% C/A & DEPOSITS	YTD +3.9% +7.3%
Asset quality improving further:  NPE stock reduction RISK  Strengthened UTP coverage PROFILE (+1.5p.p.) Texas ratio <60% 	30/06/19 GROSS NPE RATIO 9.7% 5.9% NET NPE RATIO BAD LOAN COVERAGE1 62.6% 35.5% UTP COVERAGE 61.8% TEXAS RATIO2	30/09/19 9.4% 5.6% 62.1% 37.0% 58.1%

SOLID Q3 2019 PERFORMANCE (2/3)

Sound Balance Sheet Structure and Liquidity Position. Strong improvement in the performance of Debt Securities

Notes:

1. Total 'Net customer loans' excluding REPOs over total Direct Funding (adjusted excluding REPOs and including Capital-Protected Certificates).

2. Current accounts and deposits as a share of total Direct Funding (adjusted excluding REPOs and including Capital-Protected Certificates). 3. Unrealised Gains on Debt Securities at AC are not included in the 'Comprehensive Profitability' nor in Capital position (see the following slide). Debt Securities accounted at AC are subject to a specific policy setting dedicated limits to the amount of disposals allowed throughout the year.

SOLID Q3 2019 PERFORMANCE (3/3)

Strong Capital position and Capital generation. Comprehensive Profitability highlights the excellent performance in FVOCI reserves

Notes:

1. Ratios as at 30/09/2019 include also Q3 Net Income.

2. Stated Comprehensive Profitability, based on the pertinent IAS accounting scheme included in the Financial Statement. See slide 35 for details.

GROUP 9M 2019 QUARTERLY PERFORMANCE

P&L STATED € m	Q1 2019	Q2 2019	Q3 2019	Chg. q/q	P&L ADJUSTED1 € m
NII	505.2	514.8	500.0	-2.9%
FEES & COMMISSIONS	434.5	453.7	444.1	-2.1%
NET FINANCIAL RESULT	72.3	10.7	41.7	n.m.
TOTAL INCOME	1,063.4	1,020.1	1,021.7	0.2%
OPERATING COSTS	-670.5	-675.0	-650.4	-3.6%
PROFIT FROM OPERATIONS	392.9	345.2	371.3	7.6%	PROFIT FROM
LLPs	-152.0	-197.7	-208.4	5.4%
PROFIT/LOSS FROM DISPOSALS	0.2	336.6	0.0	n.m.	PROFIT/LOSS FROM
PRE-TAX PROFIT	241.6	478.0	164.3	-65.6%
SYSTEMIC CHARGES2	-41.6	-15.2	-31.5	106.8%	SYSTEMIC CHARGES2
NET INCOME	150.5	442.6	93.3	-78.9%

Q2 2019	Q3 2019	Chg. q/q		Q1 2019	Q2 2019	Q3 2019	Chg. q/q
			NII	505.2	514.8	500.0	-2.9%
			FEES & COMMISSIONS	434.5	453.7	444.1	-2.1%
			NET FINANCIAL RESULT	72.3	10.7	41.7	n.m.
			TOTAL INCOME	1,063.4	1,020.1	1,021.7	0.2%
			OPERATING COSTS	-663.0	-655.0	-647.6	-1.1%
			PROFIT FROM OPERATIONS	400.4	365.2	374.1	2.4%
			LLPs	-152.0	-197.7	-208.4	5.4%
			PROFIT/LOSS FROM DISPOSALS	-	-	-	-
			PRE-TAX PROFIT	248.9	176.7	168.1	-4.8%
-15.2	-31.5	106.8%	SYSTEMIC CHARGES2	-41.6	-	-31.5	n.m.
			NET INCOME	155.4	135.6	96.2	-29.0%
€686.5m					€387.2m

9M 2019 performance confirms an expected adjusted EPS >€0.3 in FY 2019

Notes: 1. All non-recurring elements excluded from the stated Net Income are shown in detail in slide 29. 2. Net of taxes.

8 1. Key 9M 2019 Performance Highlights

NET INTEREST INCOME: HIGHLIGHTS ON Q3 2019

Notes:

1. 'Other' includes PPA as well as impacts from IFRS9 and IFRS16; see slide 33 for details.

2. Non-commercial banking includes: financial activities, Hedging, interest on Bonds (Retail and Institutional) and other elements.

SOUND LENDING PERFORMANCE OF THE NETWORK

Increasing volumes, with a recovery in pricing of Corporate new lending y/y

• Increasing new M/L-Term lending (+3.1% y/y), coupled with increased pricing in the main corporate segments vs. 9M 2018
• The contribution from the better pricing of the new lending in corporate segments is impacted by the still higher rates of the maturing portfolio

Notes:

^2. All-in rates include commission income related to insurance policies, interest rate hedges and loan granting fees. Exclude volumes related to Structured Finance.

^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 (aggregate amount of €0.7bn in 9M 2019 and 9M 2018, but not consolidated by the Group). 'Corporate' includes also Religious Entities, Third Sector and Institutional.

GROUP VOLUMES: CUSTOMER LOANS AND DIRECT FUNDING

Strong commercial performance: further growth in both core customer loans and funds

€ bn	31/12/2018	30/06/2019	30/09/2019	% chg.YTD	% chg. q/q
Net Performing Customer Loans	96.0	98.9	99.7	3.9%	0.8%
o/w: Core Performing Customer Loans1	87.3	89.9	90.6	3.9%	0.9%
Direct Funding2	101.5	105.2	106.5	4.9%	1.2%
o/w: C/A & Deposits (Sight + Time)	81.1	85.6	87.0	7.3%	1.7%

Trend in Core Performing Customer Loans

				Change
CORE PERFORMING LOANS	31/12/18	30/06/19	30/09/19	In % YTD	In % Q3
Mortgages loans	58.6	61.2	62.0	5.9%	1.3%
Current Accounts	11.2	10.7	11.2	-0.4%	4.4%
Other loans	17.5	18.0	17.5	-0.1%	-2.7%
TOTAL	87.3	89.9	90.6	3.9%	0.9%

Customer Loans as at 31/12/18 are adjusted excluding Profamily volumes. See Methodological Notes for details.

Notes:

1. Exclude GACS senior notes, REPOs and Leasing.

2. Restated excluding REPOs and including Capital-Protected Certificates.

SUCCESSFUL ACCESS TO WHOLESALE MARKETS ACROSS A WIDE RANGE OF INSTRUMENTS

€2.4bn public wholesale issues YTD: 141% of Wholesale bond maturities in FY 2019

Bond funding composition as at 30/09/2019

1. Managerial data based on nominal amounts, including calls. 2. Include € 0.5bn of Repo with underlying retained Covered Bonds(not included in bond maturities).

Senior Preferred Bonds: Spreads & Rates

Senior Pref.	Subordinated
Senior Preferred Bonds: Spreads & Rates
SENIOR PREFERRED	AVERAGE	AVERAGE
INSTRUMENTS	RATES	SPREADS

1.7 1.2

0.9

2.1

0.7

Wholesale bond maturities¹

€ bn 2.4

Already matured in 9M 2019

1.7

FY 2019 FY 2020 FY 2021

1. Key 9M 2019 Performance Highlights

INVESTMENT PRODUCT FEES: GROWTH IN Q3

Net Fees and Commissions¹

• (management data of the commercial network) Net fees and commission at €444.1m in Q3 2019, down 2.1% Q/Q due to seasonality effect, but in line with H1 2019 quarterly average
• Investment product fees at €183.2m in Q3 2019, up by 1.0% Q/Q

Notes:

1. Fees & Commissions include the restatement of the upfront components for the placements of Certificates (previously booked under NFR).

2. Internal management data.

GROWTH IN INVESTMENT PRODUCT PLACEMENTS

• After the decline registered in quarterly investment product placements during 2018, a good performance recovery is seen in all quarters of 9M 2019, with Q2 coming in at €3.4bn and with Q3 at €3.5bn
• 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

Share of investment products Upfront fees

INDIRECT CUSTOMER FUNDING AT €89.2BN

Bancassurance

Funds & Sicav

• Total Indirect Customer Funding at €89.2bn: +2.6% YTD and -0.2% q/q
• Growth in the AuM component (at €57.6bn: +3.5% YTD and +1.7% q/q), registering:
  • a confirmed positive trend of Funds & Sicav (+6.9% YTD and +2.1% q/q)
  • a recovery in the performance in Bancassurance (+1.8% YTD and +2.2% q/q )
• Assets under Custody are up YTD (+0.9%), whereby the quarterly decline (-3.4%) is linked to net outflows of Italian Govies for about €2bn
• The progressive increase in C/A & deposits (+€5.9bn since 31/12/18, of which +€1.4bn in Q3) offers important opportunities for a future boost in indirect funding

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 37).

NET FINANCIAL RESULT: EXCELLENT PERFORMANCE WITH A CONCURRENT INCREASE IN RESERVES & UNREALISED GAINS

• Q3 performance (€41.7m) shows a significant increase vs. Q2, following the positive evolution of the financial markets
• Pre-tax reserves on debt securities at FVOCI stood at €225m as at 30 September 2019, up from €36m as at 30/06/2019
• Significant additional buffer in the pre-tax Unrealised gains on debt securities at Amortized Cost (which are not included in the Group's 'Comprehensive Profitability')² .

1. See slide 24 for details.

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.

Notes:

DEBT SECURITIES PORTFOLIO & LIQUIDITY POSITION

Well diversified portfolio in terms of geography and accounting classification

17 1. Key 9M 2019 Performance Highlights

DEBT SECURITIES PORTFOLIO: FOCUS ON BANKING BOOK

Composition of Debt Securities in the Banking Book

Note: 1. Management data, including impact of hedging strategies.

STRONG REDUCTION IN OPERATING COSTS: QUARTERLY EVOLUTION

Total Operating Costs

Note:

1. Net adjustments on tangible and intangible assets (mostly Real Estate).

STRONG REDUCTION IN OPERATING COSTS: Y/Y

Total Operating Costs

30/09/2017 30/09/2018 30/09/2019 Strategic Plan starting point Note:

1. Internal Management Data adjusted for non-recurring items and systemic charges. All figures are pro-forma (ex Aletti Gestielle).

Strategic Plan starting point

* Annualized 9M 2019 operating costs calculated over the full year starting point of the Strategic Plan.

1. Key 9M 2019 Performance Highlights

30/09/2017 30/09/2018 30/09/2019

20

SIGNIFICANT AND ONGOING IMPROVEMENT IN AQ (1/2)

Reduction in NPE stock and ratios, with improvement in UTP and NPE coverage

NPE Ratios

Coverage & Collaterlisation

Customer Loans as at 30/09/18 and 31/12/18 are adjusted excluding Profamily volumes. Refer to the Methodological Notes for details.

SIGNIFICANT AND ONGOING IMPROVEMENT IN AQ (2/2)

Cost of Risk at 69bps, with an improvement in annual and quarterly flows

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

UTP: EFFECTIVE WORKOUT ACTIVITY AND CONSERVATIVE COVERAGE POLICY SINCE YE 2016

UTP, gross book value: -€4.4bn since YE 2016

* -0.3m of IFRS 9 reclassification impact

UTP Coverage: +9.8 p.p. since YE 2016

31/12/2016 31/12/2017 31/12/2018 31/03/2019 30/06/2019 30/09/2019

UTP analysis as at 30/09/2019

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

SOLID CAPITAL POSITION

Strengthened capital ratios, in particular considering also that a "margin of conservatism" has been anticipated pending the approval process of 'AIRB Model Update' currently under way

• CET 1 capital ratio at 13.8% Phased-in and up at 12.1% Fully loaded
• Within the process to update AIRB models currently in place, the Bank has added a "margin of conservatism" to anticipate the impact of the update in historical time series for LGD calculation. The add-ons imposed on the Bank, including those addressing the time series update, are still in place at this stage
• Optimized capital structure through €300m AT1 issue in April, with robust Tier 1 and Total capital ratios

Note:

1. Ratios as at 30/09/2019 include also Q3 Net Income.

FINAL REMARKS ON 9M 2019 PERFORMANCE

PERFORMANCE HIGHLIGHTS:

• POSITIVE TREND IN INVESTMENT PRODUCT FEES
• STRICT ONGOING COST CONTROL
• CONTINUING DERISKING PROCESS
• NORMALISATION IN COST OF RISK
• EXCELLENT PERFORMANCE IN RESERVES & UNREALIZED GAINS ON DEBT SECURITIES
• STRENGTHENING CAPITAL POSITION

EPS GUIDANCE CONFIRMED: ADJUSTED EPS >€0.3 FOR FY 2019, ON TRACK FOR A POSSIBLE DIVIDEND DISTRIBUTION

Agenda

1. Key 9M 2019 Performance Highlights 4

2. Performance Details:	26
- Profitability	27
- Balance Sheet	36
- Funding and Liquidity	37
- Customer Loans and Focus on Credit Quality	40
- Capital Position	43

RECLASSIFIED P&L: QUARTERLY EVOLUTION

Reclassified income statement	Q1 2018	Q2 2018	Q3 2018	Q4 2018	Q1 2019	Q2 2019	Q3 2019
(in euro million)	Stated	Stated	Stated	Stated	Stated	Stated	Stated
Net interest income	595.1	585.0	557.8	554.7	505.2	514.8	500.0
Income (loss) from investments in associates carried at	42.6	33.4	32.8	50.7	36.8	32.6	28.0
equity
Net interest, dividend and similar income	637.7	618.4	590.6	605.4	541.9	547.5	528.0
Net fee and commission income	477.9	457.3	451.4	474.4	434.5	453.7	444.1
Other net operating income	24.2	130.0	214.5	21.1	14.6	8.3	8.0
Net financial result	27.9	73.9	46.8	-78.4	72.3	10.7	41.7
Other operating income	530.0	661.2	712.7	417.0	521.5	472.7	493.7
Total income	1,167.7	1,279.6	1,303.2	1,022.4	1,063.4	1,020.1	1,021.7
Personnel expenses	-442.1	-437.1	-431.5	-422.2	-425.9	-418.0	-415.6
Other administrative expenses	-211.5	-203.1	-196.2	-205.7	-167.0	-163.1	-158.6
Amortization and depreciation	-47.9	-49.0	-49.5	-97.1	-77.6	-93.8	-76.1
Operating costs	-701.5	-689.2	-677.1	-725.0	-670.5	-675.0	-650.4
Profit (loss) from operations	466.2	590.4	626.1	297.4	392.9	345.2	371.3
Net adjustments on loans to customers	-326.2	-360.2	-267.4	-987.3	-152.0	-197.7	-208.4
Net adjustments on other financial assets	2.2	-1.6	-1.3	4.0	-4.0	4.0	4.1
Net provisions for risks and charges	-25.0	-20.7	-71.9	-227.8	4.4	-10.1	-2.7
Profit (loss) on the disposal of equity and other
investments	179.7	-1.1	-10.3	5.1	0.2	336.6	0.0
Income (loss) before tax from continuing operations	296.9	206.8	275.2	-908.6	241.6	478.0	164.3
Tax on income from continuing operations	-25.9	-61.3	-72.3	322.4	-50.7	-23.4	-41.4
Systemic charges after tax	-49.0	-18.4	-32.1	-0.7	-41.6	-15.2	-31.5
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
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	223.3	129.3	171.9	-581.0	150.5	442.6	93.3

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.

RECLASSIFIED P&L: ANNUAL COMPARISON

Reclassified income statement	9M 2018	9M 2019	Chg. Y/Y	Chg. Y/Y
(in euro million)	Stated	Stated		%
Net interest income	1,737.9	1,520.0	-217.8	-12.5%
Income (loss) from investments in associates carried at
equity	108.8	97.3	-11.5	-10.5%
Net interest, dividend and similar income	1,846.7	1,617.4	-229.3	-12.4%
Net fee and commission income	1,386.6	1,332.3	-54.3	-3.9%
Other net operating income	368.7	30.9	-337.8	-91.6%
Net financial result	148.6	124.7	-23.9	-16.1%
Other operating income	1,903.9	1,487.9	-416.0	-21.8%
Total income	3,750.5	3,105.2	-645.3	-17.2%
Personnel expenses	-1,310.6	-1,259.5	51.1	-3.9%
Other administrative expenses	-610.8	-488.8	122.0	-20.0%
Amortization and depreciation	-146.4	-247.6	-101.2	69.1%
Operating costs	-2,067.8	-1,995.8	72.0	-3.5%
Profit (loss) from operations	1,682.7	1,109.4	-573.3	-34.1%
Net adjustments on loans to customers	-953.9	-558.0	395.8	-41.5%
Net adjustments on other financial assets	-0.7	4.2	4.8	n.m.
Net provisions for risks and charges	-117.5	-8.4	109.1	-92.9%
Profit (loss) on the disposal of equity and other	168.2	336.8	168.5	n.m.
investments
Income (loss) before tax from continuing operations	778.9	883.9	105.0	13.5%
Tax on income from continuing operations	-159.6	-115.4	44.2	-27.7%
Systemic charges after tax	-99.6	-88.4	11.2	-11.2%
Income (loss) after tax from discontinued operations	0.9	0.0	-0.9	n.m.
Income (loss) attributable to minority interests	3.8	6.3	2.5	64.2%
Net income (loss) for the period	524.5	686.5	161.9	30.9%

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.

9M 2019 ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement	9M 2019	9M 2019		Non-recurring items and
(in euro million)	Stated	Adjusted	One- off	extraordinary systemic charges
Net interest income	1,520.0	1,520.0	0.0
Income (loss) from investments in associates carried at equity	97.3	97.3	0.0
Net interest, dividend and similar income	1,617.4	1,617.4	0.0
Net fee and commission income	1,332.3	1,332.3	0.0
Other net operating income	30.9	30.9	0.0
Net financial result	124.7	124.7	0.0
Other operating income	1,487.9	1,487.9	0.0
Total income	3,105.2	3,105.2	0.0
Personnel expenses	-1,259.5	-1,259.5	0.0
Other administrative expenses	-488.8	-488.8	0.0
Amortization and depreciation	-247.6	-217.4	-30.2	Adjustm ents on tangible and intangible assets
Operating costs	-1,995.8	-1,965.6	-30.2
Profit (loss) from operations	1,109.4	1,139.6	-30.2
Net adjustments on loans to customers	-558.0	-558.0	0.0
Net adjustments on other assets	4.2	4.2	0.0
Net provisions for risks and charges	-8.4	8.0	-16.4	Adjustm ents on custom er and other conditions
Profit (loss) on the disposal of equity and other investments	336.8	0.0	336.8	Disposal of ProAgos, JV NPL platform , other
Income (loss) before tax from continuing operations	883.9	593.7	290.2
Tax on income from continuing operations	-115.4	-139.1	23.7	Extraordinary positive fiscal item s
Systemic charges after tax	-88.4	-73.1	-15.2	Additional contribution to Italian resolution fund
Income (loss) after tax from discontinued operations	0.0	0.0	0.0
Income (loss) attributable to minority interests	6.3	5.8	0.6	Other
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	686.5	387.2	299.3

9M 2019 ADJUSTED P&L: ANNUAL COMPARISON

Reclassified income statement	9M 2018	9M 2019	Chg. Y/Y	Chg. Y/Y
(in euro million)	Adjusted	Adjusted	Value	%
Net interest income	1,737.9	1,520.0	-217.8	-12.5%
Income (loss) from investments in associates carried at equity	108.8	97.3	-11.5	-10.5%
Net interest, dividend and similar income	1,846.7	1,617.4	-229.3	-12.4%
Net fee and commission income	1,386.6	1,332.3	-54.3	-3.9%
Other net operating income	55.1	30.9	-24.2	-43.9%
Net financial result	148.6	124.7	-23.9	-16.1%
Other operating income	1,590.2	1,487.9	-102.4	-6.4%
Total income	3,436.9	3,105.2	-331.7	-9.6%
Personnel expenses	-1,310.6	-1,259.5	51.1	-3.9%
Other administrative expenses	-600.3	-488.8	111.5	-18.6%
Amortization and depreciation	-144.9	-217.4	-72.4	50.0%
Operating costs	-2,055.9	-1,965.6	90.3	-4.4%
Profit (loss) from operations	1,381.0	1,139.6	-241.4	-17.5%
Net adjustments on loans to customers	-899.9	-558.0	341.8	-38.0%
Net adjustments on other assets	-0.7	4.2	4.8	n.m
Net provisions for risks and charges	36.2	8.0	-28.2	-78.0%
Profit (loss) on the disposal of equity and other investments	0.0	0.0	0.0	n.m
Income (loss) before tax from continuing operations	516.6	593.7	77.1	14.9%
Tax on income from continuing operations	-133.9	-139.1	-5.2	3.9%
Systemic charges after tax	-81.2	-73.1	8.0	-9.9%
Income (loss) after tax from discontinued operations	0.0	0.0	0.0	n.m
Income (loss) attributable to minority interests	3.7	5.8	2.1	55.5%
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	305.2	387.2	82.0	26.9%

Q3 2019 ADJUSTED P&L: QUARTERLY COMPARISON

Reclassified income statement	Q2 2019	Q3 2019	Chg. Y/Y	Chg. Y/Y
(in euro million)	Adjusted	Adjusted	Value	%
Net interest income	514.8	500.0	-14.8	-2.9%
Income (loss) from investments in associates carried at equity	32.6	28.0	-4.7	-14.3%
Net interest, dividend and similar income	547.5	528.0	-19.5	-3.6%
Net fee and commission income	453.7	444.1	-9.6	-2.1%
Other net operating income	8.3	8.0	-0.3	-3.6%
Net financial result	10.7	41.7	31.0	289.5%
Other operating income	472.7	493.7	21.1	4.5%
Total income	1,020.1	1,021.7	1.6	0.2%
Personnel expenses	-418.0	-415.6	2.4	-0.6%
Other administrative expenses	-163.1	-158.6	4.5	-2.8%
Amortization and depreciation	-73.9	-73.4	0.5	-0.6%
Operating costs	-655.0	-647.6	7.3	-1.1%
Profit (loss) from operations	365.2	374.1	8.9	2.4%
Net adjustments on loans to customers	-197.7	-208.4	-10.7	5.4%
Net adjustments on other assets	4.0	4.1	0.1	3.6%
Net provisions for risks and charges	5.2	-1.7	-6.9	n.m
Profit (loss) on the disposal of equity and other investments	0.0	0.0	0.0	n.m
Income (loss) before tax from continuing operations	176.7	168.1	-8.5	-4.8%
Tax on income from continuing operations	-44.3	-42.2	2.1	-4.7%
Systemic charges after tax	0.0	-31.5	-31.5	n.m
Income (loss) after tax from discontinued operations	0.0	0.0	0.0	n.m
Income (loss) attributable to minority interests	3.2	1.8	-1.4	-42.9%
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	135.6	96.2	-39.4	-29.0%

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

		(A-C)		(A-C-F)
	A	B	C	E	F
Reclassified income statement	9M 19	9M 19	9M 19	9M 19	9M 19
(in euro million)	Stated	CE ex PPA	TOTAL PPA	CE ex PPA and IFRS 9	Ricl. IFRS 9
Net interest income	1,520.0	1,507.1	12.9	1,504.5	2.6
Income (loss) from investments in associates carried at equity	97.3	97.3	-	97.3
Net interest, dividend and similar income	1,617.4	1,604.4	12.9	1,601.9	2.6
Net fee and commission income	1,332.3	1,332.3	-	1,332.3
Other net operating income	30.9	59.9	-29.0	59.9
Net financial result	124.7	124.7	-	124.7
Other operating income	1,487.9	1,516.9	-29.0	1,516.9	-
Total income	3,105.2	3,121.3	-16.1	3,118.7	2.6
Personnel expenses	-1,259.5	-1,259.5	-	-1,259.5
Other administrative expenses	-488.8	-488.8	-	-488.8
Amortization and depreciation	-247.6	-239.3	-8.3	-239.3
Operating costs	-1,995.8	-1,987.5	-8.3	-1,987.5	-
Profit (loss) from operations	1,109.4	1,133.8	-24.4	1,131.2	2.6
Net adjustments on loans to customers	-558.0	-558.0	-	-555.5	-2.6
Net adjustments on other assets	4.2	4.2	-	4.2
Net provisions for risks and charges1	-8.4	-8.4	-	-8.4
Profit (loss) on the disposal of equity and other investments	336.8	336.8	-	336.8
Income (loss) before tax from continuing operations	883.9	908.3	-24.4	908.3	-
Tax on income from continuing operations	-115.4	-123.2	7.8	-123.2
Systemic charges after tax	-88.4	-88.4	-	-88.4
Income (loss) after tax from discontinued operations			-	-
Income (loss) attributable to minority interests	6.3	6.3	-	6.3
Net income for the period	686.5	703.0	-16.5	703.0	-

9M 2019 RESULTS: NET INTEREST INCOME

Q/Q comparison Y/Y comparison

Details of Other (Non-Core Components)

€ m	Q1 19	Q2 19	Q319
Reversal PPA	6.0	2.7	4.2
o/w Bad loans (IFRS 9)	4.3	3.4	2.6
o/w Unlikely to pay	16.3	16.5	14.8
o/w Performing loans	-14.6	-17.2	-13.3
Other IFRS 9	2.7	1.0	-1.1
Reversal time value on bad loans	9.4	7.6	4.8
Adjustment on UTP & PD interests	-6.7	-6.6	-5.9
IFRS 16	-2.5	-2.5	-2.4
Total 'OTHER'	6.2	1.2	0.7

Details of Other (Non-Core Components)

€ m	9M 18	9M 19
Reversal PPA	122.9	12.9
o/w Bad loans (IFRS 9)	98.4	10.3
o/w Unlikely to pay	84.6	47.6
o/w Performing loans	-60.0	-45.0
Other IFRS 9	62.5	2.6
Reversal time value on bad loans	92.1	21.7
Adjustment on UTP & PD interests	-29.7	-19.2
IFRS 16	0.0	-7.4
Total 'OTHER'	185.4	8.1

9M 2019 RESULTS: Y/Y COMPARISON

Operating Costs

Notes:

1. Fees & Commissions include the restatement of the upfront components for the placements of Certificates (previously booked under NFR) 2. Net adjustments on tangible and intangible assets (mostly Real Estate) in 9M19 and mainly integration costs in 9M18

GROUP 9M 2019 COMPREHENSIVE NET INCOME

Resilient capital generation also from financial portfolio not directly impacting P&L

€	m	6M 2019	9M 2019	Q1 2019	Q2 2019	Q3 2019
A.	P&L NET INCOME o/w: ADJUSTED	593.1 291.0	686.5 387.2	150.5 155.4	442.6 135.6	93.3 96.2
B	OTHER NET INCOME DIRECTLY ACCOUNTED TO EQUITY1	124.0	283.2	110.5	13.5	159.2
	o/w Reserves of Debt Securities at FVOCI (net of tax)	155.8	281.8	91.5	64.3	126.0
	o/w Reserves of Equity Securities at FVOCI (net of tax)	-12.3	14.0	19.5	-31.9	26.3
A.+B.	COMPREHENSIVE NET INCOME OF THE GROUP	717.2	969.7	261.0	456.2	252.5

Note:

1. Other Comprehensive Income components, excluded from the distributable amount available for dividends.

RECLASSIFIED BALANCE SHEET AS AT 30/09/2019

OFFICIAL BALANCE SHEET, WITH PROFAMILY NON CAPTIVE BUSINESS CLASSIFIED LINE-BY-LINE AS AT 31/12/2018 AND CLASSIFIED AS DISCONTINUED OPERATIONS AS AT 30/06/2019 AND 30/09/2019. SEE SLIDE 40 FOR CUSTOMER LOAN TREND ON A LIKE-FOR-LIKE BASIS

	C		A	Chg. A/B		Chg. A/C
Reclassified assets (€ m)	31/12/2018	30/06/2019	30/09/2019	Value	%	Value	%
Cash and cash equivalents	922	795	808	13	1.7%	-114	-12.4%
Loans and advances measured at AC	108,208	112,408	114,967	2,559	2.3%	6,760	6.2%
- Loans and advances to banks	4,193	7,308	9,305	1,997	27.3%	5,112	n.m.
- Loans and advances to customers (*)	104,015	105,100	105,662	563	0.5%	1,648	1.6%
Other financial assets	36,853	39,184	39,548	364	0.9%	2,695	7.3%
- Assets measured at FV through PL	5,869	7,496	8,428	932	12.4%	2,559	43.6%
- Assets measured at FV through OCI	15,352	13,764	13,112	-652	-4.7%	-2,240	-14.6%
- Assets measured at AC	15,632	17,925	18,008	83	0.5%	2,376	15.2%
Equity investments	1,434	1,320	1,354	34	2.6%	-80	-5.6%
Property and equipment	2,776	3,526	3,442	-83	-2.4%	667	24.0%
Intangible assets	1,278	1,261	1,262	1	0.0%	-16	-1.3%
Tax assets	5,012	4,859	4,810	-49	-1.0%	-203	-4.0%
Non-current assets held for sale and discont. operations	1,593	1,545	1,562	17	1.1%	-31	-1.9%
Other assets	2,389	2,920	2,616	-304	-10.4%	227	9.5%
Total	160,465	167,819	170,370	2,551	1.5%	9,905	6.2%
Reclassified liabilities (€ m)	31/12/2018	30/06/2019	30/09/2019	Value	%	Value	%
Due to banks	31,634	31,189	29,613	-1,575	-5.1%	-2,020	-6.4%
Direct Funding	105,220	110,185	111,312	1,126	1.0%	6,092	5.8%
- Deposits from customers	90,198	95,698	96,880	1,182	1.2%	6,682	7.4%
- Debt securities and financial liabilities desig. at FV	15,022	14,487	14,432	-55	-0.4%	-590	-3.9%
Debts for Leasing	-	782	753	-28	-3.6%	753	n.m.
Other financial liabilities designated at FV	7,229	8,104	8,087	-17	-0.2%	858	11.9%
Liability provisions	1,705	1,552	1,475	-77	-5.0%	-230	-13.5%
Tax liabilities	505	483	521	38	7.9%	16	3.2%
Liabilities associated with assets held for sale	3	40	50	10	24.6%	47	n.m.
Other liabilities	3,864	4,174	6,997	2,824	67.7%	3,133	81.1%
Minority interests	46	41	39	-2	-4.5%	-6	-14.1%
Shareholders' equity	10,259	11,270	11,522	253	2.2%	1,263	12.3%
Total	160,465	167,819	170,370	2,551	1.5%	9,905	6.2%
Note:

* "Customer loans" include the Senior Notes of the two GACS transactions (Exodus and ACE).

DIRECT FUNDING

Healthy further growth in core deposits, which account for 80% 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 (€8.0bn at September 2019 vs. €9.0 at September 2018), mainly transactions with Cassa di Compensazione e Garanzia.

STRONG LIQUIDITY POSITION

€ bn - Internal management data, net of haircuts

1. Includes assets received as collateral .

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

3. Monthly LCR of September 2019; NSFR for Q3 2019.

SECURITIES PORTFOLIO

€ bn
---------

	30/09/18	31/12/18	30/06/19	30/09/19	Chg. y/y	Chg. YTD	Chg. in Q3
Debt securities	34.0	32.9	34.5	34.2	0.9%	4.2%	-0.8%
- o/w Total Govies	28.4	27.5	29.9	29.7	4.6%	7.7%	-0.8%
- o/w: Italian Govies IT Govies in % on Debt Securities	18.2 53.7%	17.7 53.7%	19.4 56.2%	19.3 56.5%	6.2%	9.6%	-0.3%
Equity securities, Open-end funds & Private equity	2.3	1.8	2.3	2.2	-3.7%	21.3%	-5.8%
TOTAL SECURITIES	36.2	34.7	36.9	36.4	0.6%	5.1%	-1.1%

€ bn	30/09/18	31/12/18	30/06/19	30/09/19	Chg. y/y	Chg. YTD	Chg. in Q3
Govies at FVOCI	11.9	11.7	10.7	10.0	-15.9%	-14.5%	-6.1%
- Italian	6.5	6.6	6.2	5.9	-9.8%	-10.3%	-4.3%
- Non Italian	5.4	5.1	4.5	4.1	-23.4%	-19.8%	-8.6%
Govies at AC	14.3	15.1	16.5	16.5	15.3%	9.5%	0.4%
- Italian	10.1	10.3	11.0	10.9	8.2%	5.8%	-0.9%
- Non Italian	4.2	4.7	5.4	5.6	32.4%	17.6%	3.1%
Govies at FVTPL	2.1	0.8	2.8	3.1	47.1%	317.6%	12.0%
- Italian	1.6	0.8	2.2	2.5	59.2%	235.9%	13.8%
- Non Italian	0.5	0.0	0.6	0.6	12.3%	n.m.	4.9%

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €15.3bn in 9M 2019¹

Net Customer Loans²

Customer Loans as at 30/09/18 and 31/12/18 are adjusted excluding Profamily volumes. Refer to 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	30/09/2018	31/12/2018			Chg. y/y			Chg. YTD	Chg. in Q3
€/m and %	(excl. Profamily)	(excl. Profamily)	30/06/2019	30/09/2019	Value	%	Value	%	Value	%
Bad Loans	10,050	3,915	3,309	3,364	-6,686	-66.5%	-552	-14.1%	54	1.6%
UTP	8,290	7,765	7,254	6,945	-1,345	-16.2%	-820	-10.6%	-309	-4.3%
Past Due	109	101	100	126	17	15.7%	25	24.2%	26	25.7%
NPE	18,449	11,782	10,663	10,434	-8,014	-43.4%	-1,348	-11.4%	-229	-2.1%
Performing Loans	96,550	96,359	99,273	100,056	3,505	3.6%	3,697	3.8%	782	0.8%
TOTAL CUSTOMER LOANS	114,999	108,141	109,936	110,490	-4,509	-3.9%	2,349	2.2%	554	0.5%

NET EXPOSURES	30/09/2018	31/12/2018			Chg. y/y			Chg. YTD	Chg. in Q3
€/m and %	(excl. Profamily)	(excl. Profamily)	30/06/2019	30/09/2019	Value	%	Value	%	Value	%
Bad Loans	3,526	1,591	1,428	1,488	-2,038	-57.8%	-104	-6.5%	59	4.1%
UTP	5,503	5,047	4,679	4,372	-1,131	-20.5%	-675	-13.4%	-307	-6.6%
Past Due	91	85	82	104	14	15.0%	19	22.9%	22	26.4%
NPE	9,119	6,723	6,190	5,964	-3,155	-34.6%	-759	-11.3%	-226	-3.7%
Performing Loans	96,179	95,996	98,910	99,699	3,519	3.7%	3,703	3.9%	789	0.8%
TOTAL CUSTOMER LOANS	105,298	102,719	105,100	105,662	364	0.3%	2,943	2.9%	563	0.5%

COVERAGE	30/09/2018	31/12/2018
%	(excl. Profamily)	(excl. Profamily)	30/06/2019	30/09/2019
Bad Loans	64.9%	59.4%	56.8%	55.8%
UTP	33.6%	35.0%	35.5%	37.0%
Past Due	16.8%	16.4%	17.8%	17.3%
NPE	50.6%	42.9%	41.9%	42.8%
Performing Loans	0.38%	0.38%	0.37%	0.36%
TOTAL CUSTOMER LOANS	8.4%	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 30/09/18 and 31/12/18 adjusted excluding Profamily volumes. Refer to Methodological Notes for details.

UTP LOANS: HIGH SHARE OF RESTRUCTURED AND SECURED POSITIONS

• Solid level of coverage for unsecured UTP: 51.9%
• Net Restructured loans (€2.0bn) account for 45.4% 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 €0.4bn
• 92% of Net UTPs are located in the northern & central parts of Italy

UTP Loans as at 31/12/18 are adjusted excluding Profamily volumes. Refer to Methodological Notes for details.

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL POSITION (€/m and %)	31/03/2019	30/06/2019	30/09/2019
CET 1 Capital	8.144	8.972	9.254
T1 Capital	8.278	9.404	9.686
Total Capital	9.729	10.765	10.966
RWA	64.218	65.236	67.278
CET 1 Ratio	12,68%	13,75%	13,75%
AT1	0,21%	0,66%	0,64%
T1 Ratio	12,89%	14,42%	14,40%
Tier 2	2,26%	2,09%	1,90%
Total Capital Ratio	15,15%	16,50%	16,30%

RWA COMPOSITION (€/bn)	31/03/2019	30/06/2019	30/09/2019
CREDIT & COUNTERPARTY RISK	55,4	57,2	59,3
of which: Standard	29,6	30,5	29,5
MARKET RISK	2,6	2,1	2,0
OPERATIONAL RISK	6,0	5,7	5,7
CVA	0,2	0,2	0,3
TOTAL	64,2	65,2	67,3

FULLY PHASED CAPITAL
POSITION (€/m and %)	31/03/2019	30/06/2019	30/09/2019	RWA COMPOSITION
CET 1 Capital	6.892	7.742	8.097	(€/bn)	31/03/2019	30/06/2019	30/09/2019
T1 Capital Total Capital	6.896 8.347	8.044 9.404	8.399 9.679	CREDIT & COUNTERPARTY RISK	55,1	56,9	59,2
RWA	63.942	64.968	67.165	of which: Standard	29,6	30,2	29,4
CET 1 Ratio	10,78%	11,92%	12,06%	MARKET RISK	2,6	2,1	2,0
AT1	0,01%	0,46%	0,45%	OPERATIONAL RISK	6,0	5,7	5,7
T1 Ratio	10,78%	12,38%	12,51%	CVA	0,2	0,2	0,3
Tier 2	2,27%	2,09%	1,91%	TOTAL	63,9	65,0	67,2
Total Capital Ratio	13,05%	14,48%	14,41%

Ratios as at 31/03/2019 and 30/09/2019 include also the Net Income of the pertinent quarter.

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)