Banco BPM SpA

Investor Presentation • May 11, 2017

Q1 2017 Results Presentation

11 May ²⁰¹⁷

DISCLAIMER

This presentation has been prepared by Banco BPM ("Banco BPM"); for the purposes of this notice, "presentation" means this document, any oral presentation, any question and answer session and any written or oral material discussed following the distribution of this document.

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This presentation does not constitute or form part of, and should not be construed as, any offer or invitation to subscribe for, underwrite or otherwise acquire, any securities of Banco BPM or any member of its group, 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 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. 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. Forwardlooking 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. You should not place undue reliance on forward-looking statements, which speak only as of the date of this presentation.

None of Banco BPM, its subsidiaries or any of their respective members. 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 fiancial 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 information contained in this presentation corresponds to the documentary evidence, corporate books and accounting records.

Agenda

1	i i i t S h l h t E H & e c e m m a r g g s x u v u y	3
2	l i f Q 2 0 l A 1 1 7 t n a y s s o r e s u s	2 1
	f i i i i d l d t d l F o c s o n n n g q a n o a n s u u u y ,	3 1
	i f i f l t A n a s s o o p e r a n g p e r o r m a n c e y	2 1
	i i f i d t l t d t k F o c s o n c r e q a a n c o s o r s u u y	2 9
	i t l F o c s o n c a p a u	3 5
A n	n e x e s	3 9

EXECUTIVE SUMMARY

(1/2)

Q1 2017 NET INCOME OF €117MLN1

SUPPORTED BY TOTAL INCOME (excl. Net Financial Result) (POSITIVE EFFECT FROM NET COMMISSION AND TLTRO 2)

GROWING CORE REVENUES2

TOTALLING €1.104M (+7.5% Y/Y)

CONTAINMENT OF OPERATING COSTS

-4.7% Y/Y EVEN THOUGH THE SYNERGIES UNDER THE PLAN HAVE NOT KICKED IN YET

EXCELLENT OPERATING PROFITABILITY TREND

OPERATING INCOME OF €438M (+19.4% Y/Y)

C/A AND SIGHT DEPOSITS: €71BN (+€6.9BN Y/Y)

Notes:

1. Net of badwill (about €3.1bn) which is the result of temporary PPA differences as at ¹st Jan. ²⁰¹⁷ (merger effective day). The figure includes €34m PPA 2. Aggregate NII ⁺ Net Commissions.

EXECUTIVE SUMMARY

CONSTANT GROWTH IN ASSETS UNDER MANAGEMENT

TOTALLING €60BN (+€4.3BN Y/Y)

GROWTH IN NEW LOANS GRANTED TO CORPORATES AND HOUSEHOLDS

NEW M/LT LOANS: €4.8BN (+14.8% Y/Y), o/w €3.7BN TO CORPORATES (+14.8% Y/Y)

CONTINUOUS IMPROVEMENT IN THE RISK PROFILE

NET NPLs DOWN: -€2.2BN Y/YNET NPL ON TOTAL LOANS DECREASED TO 13.6%, FROM 15.3% (-170bps Y/Y) NET FLOWS TO NPLs: - €213M (-42.5% Y/Y) INFLOWS TO BAD LOANS FROM OTHER IMPAIRED LOAN CATEGORIES: -€278M (-44.9% Y/Y)Y/44.9%

ROBUST LIQUIDITY POSITION CONFIRMED

LCR: >160%; NSFR: >100%¹; UNENCUMBERED ELIGIBLE ASSETS²: €22.1BN²

(CET1 PROFORMA PHASED-IN AT 11.66% AND CET1 PF FULLY PHASED AT 11.13%)³

IN SPITE OF TEMPORARY NEGATIVE EFFECTS FROM RWAs ON DEFAULTED ASSETS AND EAD RETAIL WHICH SHALL BE REMOVED FOLLOWING THE ROLLOUT OF AIRB MODELS ACROSS THE FORMER BPM SCOPE

Notes:

1. Management accounting data as at March 2017.

2. Figure as at 04/05/2017.

3. Figures include the entire quarterly income, dividends from associates distributed after 31/03/2017 as well as the effect of DTA transformation into tax credit.

Q1 2017 RESULTS¹: KEY HIGHLIGHTS (1/3)

NET INCOME OF €117M THANKS TO AN EXCELLENT PERFORMANCE OF OPERATING TRENDS

Q1 2017 RESULTS: KEY HIGHLIGHTS (2/3)

IMPROVED OVERALL RISK PROFILE AND CONFIRMED SOLID LIQUIDITY POSITION

€ ^m

%

Note:

501288-42.5%-€2.2bn -€213m

NET FLOWS TO NPL

1. Management accounting data as at March ²⁰¹⁷

Q1 2017 RESULTS: KEY HIGHLIGHTS (3/3)

POSITIVE COMMERCIAL PERFORMANCE

C/A AND DEPOSITS

INTEGRATION PROCESS WELL ON TRACK

-PROJECTS ON TRACK AND IN LINE WITH THE STRATEGIC PLAN 2016-2019

-FIRST THREE PROJECTS ANNOUNCED WERE ACHIEVED IN Q1 17

-KICK-OFF OF THE "COST OPTIMISATION PROJECT"

Analysis of all cost components expected to have a further positive effect on administrative expenses in the period of Strategic Plan .

-KICK-OFF OF THE "OMNICHANNEL AND DIGITAL BANKING PROJECT"

Inter-functional project for the development and integration of Digital Banking in the Group's commercial strategy.

Note:1. The Strategic Plan envisages the closure of 355 branches by 2019.

Note:

1. The Strategic Plan envisages the closure of 355 branches by 2019

HEADCOUNT EVOLUTION

Note:1. Including natural turnover.

Agenda

1.	t i S i h l i h t E H & e c e m m a r g g s x u v u y	3
2	i f l Q 2 0 l t A 1 1 7 n a s s o r e s s y u	2 1
	f d i l i i d i d l F t o c u s o n u n n g q u y a n o a n s ,	3 1
	l i f i f A t n a y s s o o p e r a n g p e r o r m a n c e	2 1
	d i l i d f i k F t t t o c u s o n c r e q u a y a n c o s o r s	2 9
	i l F t o c u s o n c a p a	3 5
A n	n e e s x	3 9

DIRECT FUNDING

Time depositsBondsCDs & OthersCertificatesExtended Direct Funding (without Repos)64.1 70.9 71.0 4.8 4.8 4.4 30.4 25.7 23.7 3.4 4.2 4.1 4.0 4.6 4.5 31/03/2016 PF 31/12/2016 PF 31/03/2017 Extended direct funding¹ (without Repos) € bn 106.7 110.0 107.7 CA & Sight deposits Time deposits Bonds CDs & Others Certificates"Core" Direct Funding: €103.2bn as at 31/03/2017

Growth in deposits and decline in more expensive sources of funding

• Extended core direct funding stood at €107.7bn, up by €1bn in 12 months.
• On a yearly basis, the decline in the more expensive components (bonds and time deposits: -€7.1bn, 20.2%) was basically offset by the increase in core sight deposits (+€6.9bn, +10.7%) and Certificates (+€0.5bn, +12.3%).
• On a quarterly basis, the reduction of the more expensive funding components is confirmed, with a concurrent move in favor of indirect funding (in particular assets under management), in keeping with the strategy outlined in the Strategic Plan.

Note:

1. Including only Certificates with guaranteed capital, recognized under Held-for-trading financial liabilities.

nths.
$\mathsf{p}$ nds and time deposits: -€7.1bn, - 9bn, +10.7%) and Certificates
and the company of the first company of the company of the company of the company of the company of the company

DIRECT FUNDING BREAKDOWN

Analysis of extended Core direct funding¹ (withRepos)

• As at March 2017, Extended Direct Funding was €117.6bn, including Repos.
• Increase in the share of CA and sight deposits (from 51.8% to 60.4%; +8.6 p.p. y/y), a trend that highlights the ability to acquire new customers and deposits (more than 28k new c/a in Q1 2017).

Note:

1. Including only Certificates with guaranteed capital, recognized under Held-for-trading financial liabilities.

INDIRECT FUNDING

Strong growth in AUM which is increasing its share of indirect funding (from 57% in Mar '16 to 61% in Mar '17)

• Total indirect funding (net of guaranteed capital certificates) is basically stable y/y and up by 1.5% q/q.
• Asset Management reports an excellent growth (+7.6% y/y and +3.6% q/q), driving the rise in indirect funding .
• The Asset Management breakdown highlights the growth of the Funds and Sicav sleeve (+13.1% y/y and +5.4% q/q), and the good performance of the portfolio management GPM+GPF sleeve (+2.9% y/y and +3.5%q/q).

Note:

1. Starting from this quarter, Indirect Funding is calculated net of capital guaranteed certificates. This item, previously included in AuC, is nowclassified in the extended direct funding (see previous slide).

INSTITUTIONAL AND RETAIL BOND MATURITY PROFILE

Significant potential towards a reduction in the cost of funding

• €1.1bn institutional bonds and €0.9bn retail bonds matured in Q1 2017.
• The average spread of the outstanding securities maturing in 2017 (€4.9bn) is around 2.5%, slightly higher than maturities in the period 2018-2019.
• Thanks to the Group's strong liquidity position, the upcoming maturities over the next three years canbe managed with a view to optimizing the cost of funding and increasing assets under management.

Note: maturities include calls.

ROBUST LIQUIDITY POSITION

Net of haircuts. Inclusive of assets received as collateral.1. Management accounting data as at March 2017.

FOCUS ON SECURITIES PORTFOLIO

Analysis of the securities portfolio

€ b n					C hg / . y y		C hg / . q q
	3 / 0 3 / 1 1 7	3 / 2 / 6 1 1 1 P F	3 / 0 3 / 6 1 1 P F	lu Va e	%	lu Va e	%
G ie d C tra l Ba ks ov s a n en n	2 8. 9	2 6. 9	3 1. 0	-2 1	-6 8 %	2. 0	7. 3 %
ia ie / I ta l G - o w : n ov s	2 8 7.	2 6. 7	3 0. 7	-2 9	% -9 4	1. 2	% 4. 4
in ia F ls t he & an c o rs	5. 2	4. 7	4. 5	0. 7	% 1 6. 5	0. 6	% 1 2. 0
i ty i t ie Eq u se cu r s	8 1.	2 1.	0. 9	0. 8	9 0. % 5	0. 6	2. % 5 5
O d fu ds iv te i ty & p en -e n n p r a e q u	0. 8	1. 0	1. 0	-0 1	% -1 1. 7	-0 2	9. 3 % -1
T O T A L	3 6. 7	3 3. 8	3 7. 4	-0 6	% -1 6	2. 9	% 8. 7

Breakdown of Italian Govies portfolio

• Diversification of the government bond portfolio, which now has 4% of non-Italian securities (primarily France, followed by Germany and USA).
• The Italian Govies Portfolio is classified for 55.3% by AFS and 38.1% HTM. HFT accounts for only 6.6%.
• The modified duration of Italian govies classified as AFS is 2.5 years.

CUSTOMER LOANS

Performing loans up both q/q and y/y, thanks to €4.8bn of new loans granted

C H A N G E S	In % / y y	In % / q q
tg loa M or ag es ns	% 1. 1 +	2 % 1. +
C A	-4 3 %	8 % 5. +
Ca ds l loa r p er so na ns , ing d lea an s / lea ing o s w	% -5 9 % -1 5. 1	% -1 0 3 % -5
ic fo O t he te hn l r c a rm s	-4 % 5	-3 % 7
Re p os	% -4 5	% -7 7
T O T A L	-1 7 %	-0 2 %
/ fo in o w: p er rm g	0. 3 % +	0 % 1. +
/ N P Ls o w:	2. 8 % -1	2 % -7

N E W L O A N S ( € bn )	Q 1 2 0 1 7	Q 1 2 0 1 6 P F
O S O S H U E H L D	0 3 1, 5	9 1 5
C O O R P R A T E	3, 7 4 8	3, 2 6 5
T O T A L	4, 8 0 0	4, 1 8 0

• After a negative 2011-2016 CAGR (-4%), Q1 2017 net performing loans increased by 0.3% y/y and by 1.0% q/q.
• The decline in customer loans, be it y/y (-1.7%) or q/q (-0.2%), has been fully driven by the drop in nonperforming loans (-12.8% y/y and -7.2% q/q). Leasing loans were also down (-15.1% y/y and -5.3% q/q), as they are naturally running-off.
• Over the quarter, €4.8bn loans were granted, of which €1.1bn to Households (+15.0%) and €3.7bn to Corporates (+14.8%).

CUSTOMER LOANS ANALYSIS

Retail-oriented Banking group, with main franchise in Northern Italy

Breakdown of net loans by customer segment at 31/03/2017

Breakdown of net loans by geographical area at 31/03/2017

• 28% of customer loans hinge on households.
• SMEs represent 62% of the loan book and the average loan ticket is very small, coming in at €296K.
• 70% of the portfolio is concentrated in the wealthiest areas of the Country.

PURCHASE PRICE ALLOCATION: EFFECTS AT A GLANCE

PPA Concept

PPA is ^a process whereby the purchase price of the acquired assets and liabilities of the ex-BPMperimeter, are measured at fair value. The main assets are performing and non-performing loans, property, intangible indefinite assets (brand names) and definite (client relationships). The main liabilities are represented by outstanding bonds.

Badwill in ²⁰¹⁷

The difference between the purchase price (difference between the fair value of the new shares issued on ¹ January ²⁰¹⁷ and the fair value of net acquired assets and liabilities) is negative (badwill); it gives rise to ^a gain that must be posted to P&L. As at ³¹ March 2017, badwill was temporarily quantified as amounting to € 3,123.9m, which was added up to the net income of €116.8m, thus coming to ^a net income for the period of €3,240.7m. It is noted moreover that the capital effect stemming from the allocation of the badwill tied to the sum of the CET1 of BP and BPM is negative for about €81m.

PPA reversal in the income statement

The higher or lower values assigned to the above-mentioned net assets trigger "reversal" effects onto future income statements. For Q1 2017, the effect from said PPA "reversals" has been positive and it came in at ^a net figure of € 34m (see slide ³⁷ for more details).

Phasing of reversal

Based on preliminary estimates and assuming that the higher or lower values can be linearly spread throughout the residual life of the net assets they have been allocated to, the quarterly impact is expected to give rise to ^a positive pre-tax effect of roughly €40-45 million during the Strategic Plan period.

Notes:1. As known, accounting rules allow for ^a 12-month period of time for the final quantification of PPA.

NET INTEREST INCOME

• Net interest income remained fairly stable y/y (-0.4%), while it went up 12.1% q/q, mainly driven by the positive impact of interest earned on H2 2016 TLTRO2 (€31.7m).
• On a like-for-like basis, net interest income grew by 5.7% q/q, in spite of declining financial net interest income from the bond portfolio (also due to the mark-to-market measurement of the ex-BPM portfolio), offset by the Q1 2017 ordinary contribution of TLTRO2 (€18m).

QUARTERLY NET INTEREST SPREAD TREND

NET FEES AND COMMISSION

• Net fees and commission up by 16.9% y/y and by 7.0% q/q, driven by increasing commissions from the placement of savings products.
• In Q1 2017, performance fees amounted to €16m.
• Consumer credit fees showed a positive trend (+€7.6% y/y), which is reflected in the good performance of Agos Ducato, with an additional contribution to P&L (€32.4m) booked as "net income from associates carried at equity".

NET FINANCIAL RESULT

• The decrease in the Net financial result y/y was mainly driven by the decline in gains from the disposal of debt securities classified in the AFS portfolio (€4m in Q1 2017 vs €70m in Q1 2016) while net income from trading, hedging and dividends increased.
• The quarterly comparison had been affected by gains from the disposal of govies of the AFS portfolio, mainly in relation to ex-BPM.

OPERATING COSTS

• Operating costs are down both y/y (-4.7%) and q/q (-34.7%).
• On a like-for-like basis, operating costs are down 1.3% y/y, while they are up 9.3% q/q, mainly due to the ordinary contribution to the Single Resolution Fund (€62m), not booked in Q4 2016.

PERSONNEL EXPENSES

• Personnel expenses dropped by 4.5% y/y, driven by average headcount optimisation (already decreased by 200 people) and by lower variable remuneration components.
• Personnel expenses declined by 30.6% q/q and by 0.4% on a like-for-like basis (Q4 2016 included the one-off expense tied to the cost of the ex BP Redundancy Fund).

OTHER ADMINISTRATIVE EXPENSES

• Other administrative expenses went down by 7.2% y/y. This figure benefitted from the refund of the 2015 DTA fee (€27m) and it includes the higher ordinary contribution to the Resolution Fund (€62.4m in Q1 2017 vs. €58.8m in Q1 2016) and the 2017 DTA quota (€6.7m), which was not booked in Q1 2016.
• Other administrative expenses dropped by 29.3% (Q4 2016 included one-off expenses tied to the integration costs and non-recurring systemic contributions). Q1 2017 benefitted from the 2015 DTA fee refund (€27m), but includes about €62.4m ordinary contribution to the Resolution Fund and €14m integration costs.

LOAN LOSS PROVISIONS

Note:

1. Calculated net of the impact from bringing the coverage in line with the Plan targets reported in 2016 (about €1.6bn).

STRONG DECREASE IN NET NPLs

Significant improvement in new NPL flows and in stock trends

C G S H A N E	% / I n y y	% / I n q q
B d L a o a n s	% -3 9	% -6 3
U l i k l t P n e y- o- a y	% -1 9. 0	% -8 5
P t d a s e u	% -4 5. 6	% 1 7. 9 +
T O T A L N E T N P L s	-1 2. 8 %	-7 2 %

NPL net flows

The stock of net NPLs declined sharply both y/y (-€2.2bn; -12.8%) and q/q (-€1.2bn;-7.2%) thanks to:

• decline in NPLs net flows (-42.5% y/y);
• internal workout and disposals in the quarter;
• increase in coverage (also helped by the adoption of the IFRS 3 accounting principle on the ex BPM portfolio).

CREDIT QUALITY: FOCUS ON WRITE-OFFS

Accounting restatement of write-offs starting from Q1 2017: concept in a nutshell

• At 31/12/2016, Banco BPM's combined data included write-offs totalling € 5.2 billion.
• Ex-BP and Ex-BPM had different policies on «partial write-offs». The Merger has made it necessary to adopt one of the two criteria for the new Group. In coherence with the common practice used by the system, the Group has decided to adopt the policy of ex-BPM, which allows for the inclusion of provisions on-balance sheet, in line also with the preference of the financial industry.
• Moreover, it is noted that write-offs had previously been included in the nominal exposure and were taken into consideration when calculating the bad loan and non-performing loan coverage ratios, a policy also adopted in the Strategic Plan 2016-19.
• As at 31/03/2017, as a result of the afore-mentioned and considering disposals and/or cancellations, the residual write-offs that have been booked on-balance sheet totalled €3.5 billion, while €1.0 billion of write-offs still remain off-balance sheet.

GOOD INCREASE IN COVERAGE

Coverage in line with the Strategic Plan's targets

NPL coverage

		3 1 / 1 2	/ 1 6 P F	3 1 / 0 3	/ 1 6 P F		C hg Y / Y	C hg Q / Q
% i ing i 5 0. 0 de te co ns r r w f f n t re ta te d B S o o s on	1 3 1 / 0 3 / 1 7	S ta te d	2 ina No l m	S ta te d	2 ina No l m		ina No l m	ina l No m
To ta l N P Ls i t h l te w re a g ua ra n es -	4 8. 2 % % 1 0 2. 1	3 7. 5 % % 9 8. 8	4 7. 9 % % 9 9. 0	3 5. 4 % N d	4 5. 5 % N d		4 0 bp 5 + s	2 0 bp 1 + s	i -fo i L ke l ke r-
% i ing i 6 1. 2 de te co ns r r w	f f n t re ta -o o s	te d B S on
d Ba Lo an s i t h l te w re a g ua ra n es -	9. 0 % 5 1 0 7. 4 %	4 % 5. 7 1 0 6. 2 %	6 0. 0 % 1 0 4. 6 %	4 % 5. 7 N d	9. 9 % 5 N d		4 0 bp 1 + s	1 2 0 bp + s	L i ke -fo l i ke r-
l i ke ly- Un to -P Lo ay an s i t h l te w re a g ua ra n es -	3 2 % 1. 9 3. 7 %	2 2 % 7 8 9. 7 %	2 2 % 7. 8 9. 7 %	2 4. 2 % N d	2 4. 2 % N d		0 bp 7 1 + s	4 0 0 bp + s
Pa t Du Lo s e an s	0 % 1 5.	8. 2 % 1	8. 2 % 1	6. % 1 1	6. % 1 1		0 0 bp -1 s	-3 2 0 bp s
i t h l te re a g ua ra n es w -	9 2. 0 %	8. % 7 5	8. % 7 5	d n	d N
h T N P L e c o v e r a g ( i € 1. 7 b t h n s n c e t. p a c o m p o n e n y	i e n c r e a s i i b e e g n n n	d h e s a r f 2 0 1 g o	l ( 2 0 b 7 + p y 6, / € 6 o w	/ ), p s y y n i 4 1 Q m n	t i t h t o w s a n ), i 1 1 7 t h w	d i t h n g e i t l a p a r c u	d i l f s p o s a o u t t h a r s r e n g e	d B n s e c u r e i f t h n n g o e	d L a o a n s i U l k l t n e y o- -
No te s: 1. As t 3 1 / 0 3 / 2 0 1 7, t he a No ina l Va lue ( l i de 3 1 ). m s inc lu d ing lso t he f f- ba a o 2. T he No ina l c m ov er ag e	j i ty f w i te f fs w ta te d -b lan he t in t he Gr Ba d Lo h i le in t he t t he ha d be inc lu de d in t he m a or o r -o er e re s on a ce s e os s an s, w p as y en As f t he d f Ma h 2 0 1 7, € 1 bn i te f fs t i l l o f f- ba lan he t; fo ho t c iso o e n o rc w r -o ar e s ce s e r a mo g en eo us ma na g em en om p ar n, lan he t w i te f fs, t he ba d loa l d inc to 6 1. 2 % d to t he to ta l N P L c to 5 0. 0 %. ce s e r -o n c ov er ag e w ou re as e an ov er ag e inc lu de i te f fs t ha t w f f- ba lan he t be fo 3 1 / 0 3 / 2 0 1 7. s w r -o er e o ce s e re
Re l g te i de a ua ra n es c on s Va lor d i Pro to Re l izz ). e n a o	t he lue r va o	f c l la te l c o ra	d t t he ap p e a	i du l de re s a	b t. Fo Le r as	ing t he lue va ,	f a ts is c o sse ap	d t t he lva p e a sa	lue ( V P g e v a	R-
							2. An	ly is f Q 1 a s o	2 0 1 7 r l ts es u	3 2

FOCUS ON NPL UNIT

Strong performance in recoveries

Total recoveries on Bad Loans excluding disposals

UNLIKELY-TO-PAY BREAKDOWN

CAPITAL ADEQUACY: CAPITAL RATIOS

The ratios include ^a temporary negative buffer in order to take into account the RWAs tied to defaulted assets and Retail EAD, with ^a negative impact of:

-54bps at phase-in level

-52bps at fully loaded level

This component is set to be reabsorbed as soon as the newAIRB models are extended to the perimeter.

• The Group's capital position as at 31/03/2017 already incorporates ^a series of regulatory headwinds, whereas, in addition to the positive impacts indicated in the chart above, it does not include the positive effect stemming from the upcoming extension of the AIRB models to the ex-BPM perimeter.
• More specifically, the figures as at 31/03/2017 do not include the positive effects stemming from the distribution of dividends already approved by the participations² and from the transformation of DTAs into tax credits, with ^a combined positive impact estimated at 16bps on ^a phase-in basis and at 20bps at fully loaded level.
• The phase-in CET1 ratio as at 31/03/2017 (11.50%) highlights ^a wide buffer as compared to the SREP requirement (8.15%).
• After the closing of the quarter, an incremental trend in the AFS reserves has been registered.

Note:

1. The ratios are calculated including the full net income of the period, subject to authorisation by the ECB pursuant to art. 26, comma 2, Reg. UE 575/2013. 2. Estimate of positive impacts deriving from higher income through the P&L and lower values tied to deductions for investments.

RECLASSIFIED P&L – Y/Y COMPARISON

ci de l c ico ric las sifi €m Vo to te	1T 20 17	di i cu	1T 20 17	1T 20 16	di i cu	1T 20 16	Va /a r. a
( ln) on ec on om ca		PP A	a P PA se nz	PF	PP A	a P PA se nz	a P PA se nz
Ne t in te t in res co me	55 6.2	21 .6	53 4.6	55 8.5	0.0	55 8.5	-4. 3%
e ( los s) fro inv t. i cia te ied at uit Inc om m es n a sso s c arr eq y	41 .6	0.0	41 .6	44 .6	0	44 .6	-6. 8%
Ne t in ter t, div ide nd d s im ila r in es an co me	59 7.8	21 .6	57 6.2	60 3.1	0.0	60 3.1	-4. 5%
Ne t fe nd iss ion in e a co mm co me	54 7.4	0.0	54 7.4	46 8.1	0.0	46 8.1	16 .9%
Ot he et tin inc r n op era g om e	30 .2	1.9 -1	42 .1	33 .1	-5. 5	38 .5	9.2 %
t fi ial sul t ( clu din O) Ne FV na nc re ex g	37 .7	0.0	37 .7	75 .6	0.0	75 .6	-50 .1%
ing in Ot he rat r o pe co me	61 5.3	-1 1.9	62 7.1	57 6.8	-5. 5	58 2.3	% 7.7
tal in To co me	21 3.1 1,	9.7	20 3.3 1,	9.9 1, 17	-5. 5	18 5.4 1,	% 1.5
Pe el rso nn ex pe nse s	-45 8.7	0.0	-45 8.7	-48 0.6	0.0	-48 0.6	-4. 5%
Ot he dm ini str at ive r a ex pe nse s	-26 3.2	0.0	-26 3.2	-28 3.5	0.0	-28 3.5	-7. 2%
Am ort iza tio nd de cia tio n a pre n	-53 .0	-3. 3	-49 .8	-48 .8	-0. 9	-47 .9	3.8 %
Op tin ts era g c os	4.9 -77	-3. 3	-77 1.7	-81 2.8	-0. 9	-81 2.0	0% -5.
fit ( los s) fro tio Pro m op era ns	43 8.1	6.5	43 1.7	36 7.1	-6. 4	37 3.4	.6% 15
dju Ne t a stm ts lo s t ust en on an o c om ers	-29 1.4	45 .1	-33 6.6	-74 9.6	0.0	-74 9.6	.1% -55
Ne t a dju stm ts ot he ts en on r a sse	-8. 4	0.0	-8. 4	-4. 9	0.0	-4. 9	69 .3%
isio for ris Ne t p ks d c ha rov ns an rge s	0.5	0.0	0.5	-3. 1	0.0	-3. 1	n.s
irm f g ill a uit inv Im t o dw nd tm ts pa en oo eq y es en	0.0	0.0	0.0	0.0	0.0	0.0	-
fit ( s) o di of uit r in Pro los n t he al nd ot he stm ts sp os eq y a ve en	17 .1	0.0	17 .1	1.6	0.0	1.6	n.s
Inc e ( los s) be for e t fro nti ing tio om ax m co nu op era ns	15 5.9	.6 51	10 4.3	-38 9.0	-6. 4	-38 2.6	n.s
n i e f nti ing tio (ex din O) Ta clu FV x o nc om rom co nu op era ns g	-38 .6	-17 .6	-21 .0	11 1.4	2. 1	10 9.4	n.s
e ( los s) a fte x f di tin d o ion Inc r ta rat om rom sc on ue pe s	-0. 0	0.0	0.0	-1. 5	0.0	-1. 5	n.s
e ( s) a ibu ino rity in Inc los ttr ta ble to te ts om m res	3.1	0.0	3.1	2.2	0.0	2.2	.5% 41
Ne t in ( los s) for th eri od clu din FV O co me e p ex g	12 0.4	34 .0	86 .4	-27 6.8	-4. 3	-27 2.5	n.s
ir V alu e O tio ult ( O) Fa FV p n r es	-3. 6	0.0	-3. 6	10 .1	0.0	10 .1	n.s
Ne t in ( los s) for th eri od clu din Ba dw ill co me e p ex g	11 6.8	34 .0	82 .9	-26 6.7	-4. 3	-26 2.4	n.s
r d iffe s ( dw ill) Te Ba mp ora ry me rge ren ce	3, 12 3.9
t in ( s) for eri Ne los th od co me e p	3, 24 0.7

RECLASSIFIED P&L – Q/Q COMPARISON

ci de l c ico ric las sifi €m Vo to te	1T 20 17	di i cu	1T 20 17	4T 20 16	di i cu	4T 20 16	Va r. t / t
( ln) on ec on om ca		PP A	a P PA se nz	PF	PP A	a P PA se nz	a P PA se nz
t in te t in Ne res co me	6.2 55	21 .6	53 4.6	49 6.2	0.0	49 6.2	% 7.7
e ( los s) fro inv t. i cia ied uit Inc te at om m es n a sso s c arr eq y	41 .6	0.0	41 .6	36 .6	0	36 .6	13 .5%
Ne t in ter t, div ide nd d s im ila r in es an co me	59 7.8	21 .6	57 6.2	53 2.9	0.0	53 2.9	8.1 %
Ne t fe nd iss ion in e a co mm co me	54 7.4	0.0	54 7.4	51 1.5	0.0	51 1.5	7.0 %
Ot he et tin inc r n op era g om e	30 .2	1.9 -1	42 .1	40 .7	-5. 6	46 .3	-9. 1%
t fi ial t ( din O) Ne sul clu FV na nc re ex g	37 .7	0.0	37 .7	11 9.8	0.0	11 9.8	.5% -68
ing in Ot he rat r o pe co me	61 5.3	-1 1.9	62 7.1	67 2.0	-5. 6	67 7.5	4% -7.
in To tal co me	1, 21 3.1	9.7	1, 20 3.3	1, 20 4.9	-5. 6	1, 21 0.4	6% -0.
Pe el rso nn ex pe nse s	-45 8.7	0.0	-45 8.7	-66 1.4	0.0	-66 1.4	-30 .6%
Ot he dm ini str at ive r a ex pe nse s	-26 3.2	0.0	-26 3.2	-37 2.4	0.0	-37 2.4	-29 .3%
Am ort iza tio nd de cia tio n a pre n	-53 .0	-3. 3	-49 .8	-15 2.7	-0. 9	-15 1.8	-67 .2%
Op tin ts era g c os	4.9 -77	-3. 3	-77 1.7	18 6.5 1, -	-0. 9	18 5.6 1, -	-34 .9%
fit ( los s) fro tio Pro m op era ns	43 8.1	6.5	43 1.7	18 .4	-6. 5	24 .8	16 38 .7%
dju Ne t a stm ts lo s t ust en on an o c om ers	-29 1.4	45 .1	-33 6.6	1, 02 9.5 -	0.0	1, 02 9.5 -	.3% -67
Ne t a dju stm ts ot he ts en on r a sse	-8. 4	0.0	-8. 4	-88 .6	0.0	-88 .6	-90 .6%
Ne t p isio for ris ks d c ha rov ns an rge s	0.5	0.0	0.5	-41 .5	0.0	-41 .5	n.s
irm f g ill a uit inv Im t o dw nd tm ts pa en oo eq y es en	0.0	0.0	0.0	-27 9.0	0.0	-27 9.0	-
fit ( s) o di of uit r in Pro los n t he al nd ot he stm ts sp os eq y a ve en	17 .1	0.0	17 .1	12 2.8	0.0	12 2.8	n.s
Inc e ( los s) be for e t fro nti ing tio om ax m co nu op era ns	15 5.9	.6 51	10 4.3	1, 29 7.4 -	-6. 5	1, 29 0.9 -	n.s
n i e f nti ing tio (ex din O) Ta clu FV x o nc om rom co nu op era ns g	-38 .6	-17 .6	-21 .0	31 0.0	2. 1	30 7.9	n.s
e ( s) a fte x f di tin ion Inc los r ta d o rat om rom sc on ue pe s	-0. 0	0.0	0.0	4.0	0.0	4.0	n.s
e ( s) a ibu ino rity in Inc los ttr ta ble to te ts om m res	3.1	0.0	3.1	2.3	0.0	2.3	.8% 35
Ne t in ( los s) for th eri od clu din FV O co me e p ex g	12 0.4	34 .0	86 .4	-98 1.1	-4. 4	-97 6.7	n.s
ir V tio ( O) Fa alu e O ult FV p n r es	-3. 6	0.0	-3. 6	-1. 7	0.0	-1. 7	n.s
Ne t in ( los s) for th eri od clu din Ba dw ill co me e p ex g	11 6.8	34 .0	82 .9	-98 2.7	-4. 4	-97 8.3	n.s
r d iffe s ( dw ill) Te Ba mp ora ry me rge ren ce	3, 12 3.9
t in ( s) for eri Ne los th od co me e p	3, 24 0.7

CONCLUSIONS

• Excellent operating performance: increase in core operating income, with costs under control
• Integration process well on track
• Strong improvement in the risk profile
• Robust liquidity and capital position
• Net income amounting to €117m

Agenda

A n	n e e s x	3 9
	i t l F o c s o n c a p a u	3 5
	i i f i d t l t d t k F o c s o n c r e q a a n c o s o r s u u y	2 9
	i f i f A l t n a s s o o p e r a n g p e r o r m a n c e y	2 1
	f i i i i F d l d t d l o c s o n n n g q a n o a n s u u u y ,	1 3
2	Q 2 0 l t l i 1 1 7 r e s s a n a s s u y	2 1
1.	i i i E t S H h l h t & x e c u v e u m m a r y g g s	3

RECLASSIFIED BALANCE SHEET AS AT 31/03/2017

	A	B	C	C hg A	/ B	C hg	A / C
las i f ie d ( € m ) Re ts c s as se	3 / 0 3 / 2 0 1 1 7	3 / 2 / 2 0 6 1 1 1 P F	3 / 0 3 / 2 0 6 1 1 P F	Va lue	%	Va lue	%
Ca h a d h e iva len ts s n ca s q u	8 0 7	8 9 8	8 4 5	-1 1 7	3. % -1 1	4 -7	-8. 6 %
ina ia l a ts d he dg ing de iva t ive F nc sse an r s	3 9, 2 0 1	3 6, 8 0 5	4 4 6 1, 5	2, 6 3 0	2 % 7.	-2, 3 3 5	6 % -5.
fro ba ks Du e m n	6 9 2 5,	6, 6 8 7	8 5, 7 1	-9 8 6	4. 8 % -1	-8 9	% -1. 5
Cu to loa s me r ns	1 1 0, 3 4 1	1 1 0, 5 5 1	1 1 2, 2 6 5	-2 0 9	-0. 2 %	-1, 9 2 4	-1. 7 %
i inv Eq ty tm ts es en u	1, 4 5 5	1, 5 9 5	1, 7 1 6	-1 3 9	% -8. 7	-2 6 1	% -1 5. 2
ip Pro ty d t p er an eq u me n	3, 0 0 4	2, 6 9 6	2, 8 4 4	3 0 8	% 1 1. 4	1 6 0	% 5. 6
i In ta b le ts ng as se	2, 4 0 0	1, 8 3 4	2, 1 8 9	5 6 6	% 3 0. 9	2 1 1	% 9. 7
he l d fo le d d isc inu d No t a ts t n-c urr en sse r s a an on e ion t op era s	1 0	7 7	8 0	-6 8	-8 7. 4 %	-7 1	-8 7. 9 %
O t he ts r a sse	2 0 7, 5	3 4 6 7,	3 6 7, 1	-9 6	3 % -1.	4 1 1	6 % 1.
To ta l	1 7 0, 1 4 3	1 6 8, 2 5 5	1 7 4, 4 1 1	1, 8 8 8	% 1. 1	-4, 2 6 8	% -2. 4
	A	B	C	C hg A	/ B	C hg	/ A C
las i f ie d l ia b i l i ies ( € m ) Re t c s	3 / 0 3 / 2 0 1 1 7	3 / 2 / 2 0 6 1 1 1 P F	3 / 0 3 / 2 0 6 1 1 P F	Va lue	%	Va lue	%
to ba ks Du e n	2 6, 0 8 7	2 3, 2 6 7	2 2, 6 2 0	3, 4 3 1	4. % 1 7	4, 0 8 7	8. % 1 1
i ies iss Du to to de b t s t d d e cu s me rs, ec ur ue an f ina ia l l ia b i l i t ies de te d a t fa ir v lue nc s na a	3, 0 8 6 1 1	6, 3 1 1 7 7	9, 8 3 1 1 5	-3, 6 8 8	-3. 2 %	-6, 6 7 7	6 % -5.
ig ina ia l l ia b i l i t ies d he dg ing de iva t ive F nc a n r s	0, 6 9 1	0, 6 8 3 1	2 0 1 1, 1	7	0. % 1	-4 3 0	-3. 9 %
L ia b i l i ty is ion p rov s	0 1, 6 4 3	1, 7 0 6	1, 7 3 3	-6 3	-3. 7 %	-9 0	-5. 2 %
L ia b i l i t ies ia te d w i t h a ts he l d fo le a sso c sse r s a	1	1		0	n.s	1	n.s
O t he l ia b i l i t ies r	5, 6 5 2	3, 8 1 6	0 5, 6 3 1	1, 8 3 6	4 8. 1 %	2 1	0. 4 %
ino i in M ty te ts r res	5 8	5 8	6 3	0	% -0. 7	-5	% -8. 0
S ha ho l de ' e i ty re rs q u	2, 3 0 1 7	9 4 1 1, 1	3, 3 9 2 1	3 6 6	3. % 1	0 8 -1, 5	-8. % 1

QUARTERLY RECLASSIFIED P&L

i f ie i Re las d P & L te €m	Q 1 2 0 1 7	Q 4 2 0 1 6	Q 3 2 0 1 6	Q 2 2 0 1 6	Q 1 2 0 1 6
( ) c s ms		P F	P F	P F	P F
Ne t in te t inc re s om e	5 5 6. 2	4 9 6. 2	5 1 7. 2	5 3 5. 8	5 5 8. 5
( ) fro inv in ia ie i Inc los t. te d a t e ty om e s m es as so c s c ar r q u	4 1. 6	3 6. 6	3 3. 8	3 2. 8	4 4. 6
Ne t in te t, d iv i de d a d s im i lar inc re s n n om e	5 9 7. 8	5 3 2. 9	5 5 1. 0	5 6 8. 6	6 0 3. 1
fe iss io inc Ne t d c e a n om m n om e	5 4 7. 4	5 1 1. 5	4 4 9. 3	4 7 4. 5	4 6 8. 1
ing inc O t he t o t r n e p er a om e	3 0. 2	4 0. 7	3 2. 6	3 2. 8	3 3. 1
t f ina ia l re l t ( lu d ing O ) Ne F V nc su ex c	3 7. 7	9. 8 1 1	2. 0 1 1	3 2. 1 7	6 7 5.
ing inc O t he t r o p er a om e	6 1 5. 3	6 7 2. 0	5 9 3. 9	6 4 0. 0	5 7 6. 8
inc To ta l om e	1, 2 1 3. 1	1, 2 0 4. 9	1 1 4 4. 9	1 2 0 8. 7	1 1 7 9. 9
Pe l e rso nn e xp en se s	-4 5 8. 7	-6 6 1. 4	-6 2 0. 3	-4 8 3. 2	-4 8 0. 6
O t he dm in is tra t ive r a ex p en se s	-2 6 3. 2	-3 7 2. 4	-2 6 9. 1	-2 6 5. 5	-2 8 3. 5
Am t iza t io d de ia t io or n a n p re c n	-5 3. 0	-1 5 2. 7	-6 7. 3	-5 2. 2	-4 8. 8
Op t ing ts er a c os	-7 7 4. 9	-1 1 8 6. 5 ,	-9 5 6. 7	-8 0 0. 9	-8 1 2. 8
Pro f i t ( los ) fro t io s m op er a ns	4 3 8. 1	1 8. 4	1 8 8. 2	4 0 7. 8	3 6 7. 1
j Ne t a d tm ts loa to to us en on ns c us me rs	-2 9 1. 4	-1 0 2 9. 5 ,	-7 9 3. 1	-3 8 5. 9	-7 4 9. 6
t a d j tm ts t he ts Ne us en on o r a sse	-8 4	-8 8. 6	9 -5	3. 0 -1	-4 9
t p is io fo is ks d c ha Ne ro v ns r r an rg es	0. 5	-4 1. 5	6. 4 -1	9 5.	-3 1
Im irm t o f g dw i l l a d e i ty inv tm ts p a en oo n q u es en	0. 0	-2 7 9. 0	0. 0	0. 0	0. 0
Inc ( los ) be fo ta fro t inu ing t io om e s re x m co n o p er a ns	1 7. 1	1 2 2. 8	2. 7	3 0. 9	1. 6
( los ) be fo fro inu ing io Inc tax t t om e s re m co n o p er a ns	9 1 5 5.	2 9 4 -1 7. ,	-6 2 4. 6	4 5. 7	-3 8 9. 0
Ta inc fro t inu ing t io ( lu d ing F V O ) x o n om e m co n o p er a ns ex c	-3 8. 6	3 1 0. 0	2 0 9. 1	-0 9	1 1 1. 4
Inc ( los ) f te ta fro d isc t inu d o t io om e s a r x m on e p er a ns	-0 0	4. 0	0. 0	-0 1	-1 5
( ) i ino i in Inc los t tr bu ta b le to ty te ts om e s a m r re s	3. 1	2. 3	1 2. 8	2. 0	2. 2
Ne t inc ( los ) fo t he io d e lu d ing F V O om e s r p er xc	1 2 0. 4	-9 8 1. 1	-4 0 2. 6	4 6. 7	-2 7 6. 8
ir lue Op t io l t ( O ) Fa Va F V n r es u	-3 6	-1 7	2 -1	-3 0	0. 1 1
inc ( ) fo io ing i Ne t los t he d e lu d Ba dw l l om e s r p er xc	1 1 6. 8	-9 8 2. 7	-4 0 3. 8	4 3. 7	-2 6 6. 7
Te d i f fe ( Ba dw i l l ) mp or ar y re nc es	3, 1 2 3. 9
inc ( los ) fo he io d Ne t t om e s r p er	3, 2 4 0. 7

Annexes41

NET FEES AND COMMISSION

€ ^m

S S O G O G A N A L Y I F M A N A E M E N T, B R K E R A E A N D A D V I S O R Y S E R V I C E S	1 Q 1 1 7 T	Q 1 1 6	% C h g	Q 1 1 7	Q 1 1 6	% C h g
l f i d P t t a c e m e n o s a n g p r o c s : v u	2 6 4	1 6 5	% 5 9. 6	2 6 4	1 8 8	% 4 0. 2
S i t i l d i t i b t i & e c r e s s a e s r o n u u -	4	0	n s.	4	1	n s.
A t M t s s e a n a g e m e n -	2 2 7	1 1 5	9 8. 3 %	2 2 7	4 9 1	2 8 % 5
B a n c a s s r a n c e u -	3 3	5 1	3 % 5. 1 -	3 3	3 8	4 2 % 1 -
C d i t o n s m e r c r e u	9	8	% 7. 6	9	4	% 1 1 2. 5
C d i t d r e c a r s	6	5	6 % 1 7.	6	9	2 8. 6 % -
C t d i b k i i s o a n a n n g s e r c e s u v	5	4	8. 6 %	5	5	% 1. 1
t d i t i i t i f b h t F X & r a n g a c v e s o r a n c c u s o m e r s	2 0	2 2	6. 8 % -	2 0	9 1	8. 9 %
O t h e r s	0	9	9 4 % 5. -	0	3	8 6. % 1 -
l T t o a	3 0 4	2 4 1	4 2. 2 %	3 0 4	2 2 8	3 3. % 7

CREDIT QUALITY OF GRUPPO BANCO BPM: DETAILS

Starting from Q1 17 €3.5bn write-offs have been booked on Gross exposures and bad laans' adjustments. As of end March 2017, €1bn write-offs remain off-balance sheet

Inc lu de t he € s o n m
ba lan he ce s e	t 3 1 / 0 3 / 2 0 1 7
f ta te t o € 3. re s me n	5 bn							Ne t
f w i te f fs o r -o	Gr	os s e xp os	ure	d j A	tm ts us en	Co	ve ra g e	ex p os ure
d Ba Lo an s		1 7, 8 6 5		1	0, 5 3 8	5	% 9. 0	3 2 7, 7
Un l i ke ly to p ay		1 0, 9 9 3		3,	4 3 5	3	1. 2 %	7, 5 5 8
Pa t Du s e		1 7 3			2 6	1	5. 0 %	1 4 7
fo ing No Lo n- p er rm an s		2 9, 0 3 2		1	3, 9 9 9	4	8. 2 %	0 3 3 1 5,
fo ing Pe Lo r rm an s		9 5, 7 1 7			4 0 8	0.	4 %	9 3 0 8 5,
ta l Cu to To Lo s m er an s		2 4, 4 8 1 7		1	4, 4 0 7	1	% 1. 5	0, 3 4 1 1 1
	3 / 2 / 2 0 6 p f 1 1 1
						Co ve ra g e	Co ve ra g e
	No ina l m	Wr i te	Gr os s	A d j tm us en	A d j tm ts us en	i t h w i te w r	i t ho t w i te w u r	Ne t
	ex p os ure	f fs o	ex p os ure	t s	i h w i f fs t te w r -o	f fs o	f fs o	ex p os ure
d Ba Lo an s	9, 8 1 5 7	6 6 5, 1	4, 4 3 1 1	6, 9 0 5	6 1 1, 7 5	6 0. 0 %	4 % 5. 7	8 2 2 7,
Un l i ke ly to Pa y	1 1, 3 4 9		1 1, 3 4 9	3, 0 9 2	3, 0 9 2	2 7. 2 %	2 7. 2 %	8, 2 5 7
Pa t Du s e	1 5 3		1 5 3	2 8	2 8	1 8. 2 %	1 8. 2 %	1 2 5
fo ing No Lo n- p er rm an s	3 1, 0 8 0	5, 1 6 6	2 5, 9 1 4	9, 7 1 0	1 4, 8 7 6	% 4 7. 9	% 3 7. 5	1 6, 2 0 4
fo ing Pe Lo r rm an s	9 4, 7 5 4		9 4, 7 5 4	4 0 8	4 0 8	% 0. 4	% 0. 4	9 4, 3 4 6
To ta l Cu to Lo s m er an s	1 2 5, 8 3 4	5, 1 6 6	1 2 0, 6 6 9	1 0, 1 1 8	1 5, 2 8 4	% 1 2. 1	% 8. 4	1 1 0, 5 5 1
				/ / f 3 1 0 3 2 0 1 6 p
						Co ve ra g e	Co ve ra g e
	ina No l m	i Wr te	Gr os s	j A d t s tm us en	j A d tm ts us en	i i t h w te r w	i i t ho t w te r w u	Ne t
	ex p os ure	f fs o	ex p os ure		i i f fs t h w te r -o w	f fs o	f fs o	ex p os ure
d Ba Lo an s	9, 0 0 3 1	4, 9 5 5	4, 0 4 1 7	6, 4 2 3	3 8 1 1, 7	9. 9 % 5	4 % 5. 7	6 2 7, 5
l i ke ly to Un Pa y	2, 3 1 1 1		2, 3 1 1 1	2, 9 7 5	2, 9 7 5	2 4. 2 %	2 4. 2 %	9, 3 3 6
Pa t Du s e	3 2 2		3 2 2	5 2	5 2	1 6. 1 %	1 6. 1 %	2 7 1
fo ing loa No n- p er rm ns	3 6 3 6 1,	4, 9 5 5	2 6, 6 8 1	9, 4 0 5	4, 4 0 1 5	4 % 5. 5	3 4 % 5.	2 3 1 7, 1
fo ing Pe Lo r rm an s	9 2 2 5, 5		9 2 2 5, 5	4 8 7	4 8 7	0. % 5	0. % 5	9 0 3 4 5,
ta l Cu to To Lo s m er an s	2 1 7, 1 5 7	4, 9 5 5	2 2, 2 0 2 1	9, 9 3 7	4, 8 9 2 1	% 1 1. 7	8. % 1	2, 2 6 1 1 5

CAPITAL ADEQUACY: RWA DETAILS

Composition of RWAs as at al 31/03/2017

( € ) m
R is k W ig h te d As ts e se	P ha	-in se	Fu l ly Lo de d a
	Va lue	% to ta l on	Va lue	% to ta l on
i is Cr d t R k e	6 9, 1 3 7	8 8. 9 %	6 8, 6 8 9	8 8. 9 %
M ke t R is k ar	3, 0 4 5	3. 9 %	3, 0 4 5	3. 9 %
O t io l R is k p er a na	4 4 5, 5	% 7. 1	4 4 5, 5	2 % 7.
O T T A L	7 7, 7 2 7	% 1 0 0	7 7, 2 7 8	% 1 0 0
Me RW As t 3 1 / 1 2 / 1 6 mo as a	7 4, 6 7 9	% 1 0 0	7 4, 1 8 7	% 1 0 0
RW As t h q /q g row	% 4. 1	-	% 4. 2	-

• In the first quarter, the RWAs registered an increase of about 4%.
• The growth is concentrated in the credit risk component, primarily stemming from ^a temporary negative buffer in order to take into account RWAs tied to defaulted assets and Retail EAD, which is set to be reabsorbed as soon as the new AIRB models are extended to the ex-BPM perimeter (amounting to about €3.5bn).

BRANCH EVOLUTION

Branch evolution: backward and forward outlook

The distribution strategy revision process continues:

• leading to the optimization of our footprint guaranteed by the branch network…
• … with expected benefits at operational efficiency level…
• … backed by a stronger competitive position thanks to alternative channels

(Digital Banking/Financial Advisors/Corporate Product Specialists/ Development Task Force etc.)