Banco BPM SpA — Investor Presentation 2017

Nov 9, 2017

9M 2017 Group Results Presentation

9 November 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.

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 companies 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, 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 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

• In this presentation, with a view to provide adequate information on the Group's balance sheet, financial and income statement position, reclassified accounting tables and comparative data have been prepared, on an aggregate basis, with reference to 31 December 2016 and 30 September 2016 for the balance sheet and to 30 September 2016 for the profit and loss account. Such data have been obtained through the aggregation of the data referring to the former Banco Popolare Group and to the former BPM Group as at 31/12/2016 and as at 30/09/2016, with the inclusion of appropriate adjustments.
• Comparative data calculated on an aggregate basis have not been subject to an external audit.

* * *

• In August 2017, Banco BPM signed a binding Memorandum of Understanding to sell 100% of Aletti Gestielle SGR's capital to Anima Holding. For this reason, starting from 30/09/2017, the contribution of Aletti Gestielle has been classified according to IFRS 5 as a "discontinued operation".
• In this presentation, in order to ensure coherence with the historical reporting, all the P&L data are stated accounting data, with the exception of Aletti Gestielle SGR which has remained line-by-line.
• In the Annex, slides on the P&L account where Aletti Gestielle is reported on a line-by-line basis are also referred to as 'Previous Perimeter' (from 46 to 51). At the same time, slides on the P&L account where Aletti Gestielle is classified according to IFRS 5 as a "discontinued operation" are also referred to as 'New Perimeter'(from 52 to 57)

Agenda

1.	Executive Summary and Highlights	4
2.	Analysis of 9M 2017 Group Results	13
	 Funding, Liquidity and Loans	14
	 Analysis of Operating Performance	21
	Credit Quality 	30
	Capital Update 	34
3.	Focus on NPL Unit	35
4.	Strategy Update: Bancassurance	40
5.	Conclusions	43
	Annexes	45

MAIN ACHIEVEMENTS: PROJECT TIMELINE

Note: 1. The Strategic Plan envisages the closure of 335 branches by 2019.

BUSINESS PLAN ROADMAP: WELL AHEAD

EXECUTIVE SUMMARY: MAIN P&L DATA

NET PROFIT AT €53M / €143M ADJUSTED¹ OPERATING COSTS DOWN €2,316m in 9M 2017 (-9.9% y/y) €2,290m Adjusted¹ in 9M 2017 (-2.5% y/y) €143M Y/Y «CORE²» REVENUES UP €3,162m in 9M 2017 (+5.3% y/y) €3,135m Adjusted¹in 9M 2017 (+4.4% y/y) +5.3% Y/Y

Notes:

1. Net of non-recurring items.

2. Net interest income + Net fees and commissions.

EXECUTIVE SUMMARY: MAIN BALANCE SHEET DATA

 C/A AND SIGHT DEPOSITS UP Reaching €74.7bn (+10.7% y/y)	+€7.2BN Y/Y
 AUM INCREASING Reaching €62.4bn (+8.7% y/y)	+€5.0BN Y/Y
 NEW LOANS GROWING €14.3bn (+17.6% y/y), o/w €11.5bn granted to Corporates/SMEs (+22.9% y/y) and €2.8bn to Households (flat y/y)1	+€2.1BN Y/Y
 CET1 FL pro-forma at 12.5%2 SOLID CAPITAL POSITION - (phase-in at 12.8%): Still not factoring in the positive impact expected from the AIRB model roll-out	12.5%

Notes:

1. See slide 20 for details.

2. For full details, see slide 34.

EXECUTIVE SUMMARY: RISK PROFILE IMPROVING FURTHER

 2016-19 BAD LOAN DISPOSALS AHEAD OF PLAN Total disposals already completed: €2.5bn (out of €8bn agreed with ECB) Beauty contest ongoing for ~€2bn Bad loan disposal in Q4 2017 Remaining ~€3.5bn to be sold in H1 2018 (with GACS)	56% TO BE COMPLETED BY YE 2017
 NET NPLs FURTHER DOWN To €14.0bn (-17.5% y/y), with a strong decrease in UTP (-€1.7bn: -19.9% y/y)	-€3.0BN Y/Y
 INCREASE IN WORKOUT RECOVERIES Workout recoveries of about €500m in 9M 2017 (with a decrease of around €1.4bn in GBV)	+43.5% Y/Y
 NET FLOWS TO NPLs SIGNIFICANTLY DOWN €641m as at Sept. 2017: -€1.3bn y/y	-66.2% Y/Y
 NPLs1 COVERAGE LEVELS STRENGTHENED NPLs: +244bps y/y 49.1% Bad Loans: +48bps y/y UTPs: +553bps y/y	1 Bad loans UTPs 60.0% 31.0%

Note:

1. Including write-offs, the coverage rises to 50.7% for NPLs (+400 bps y/y) and to 62.0% for Bad loans (+250bps y/y). See slide 32 for details.

HIGHLIGHTS: OPERATING RESULTS

1. Impairment forAtlante fund, Veneto Banks and FITD (€87m net of tax)

2. Net of non-recurring items.

10 1. Executive Summary and Highlights

HIGHLIGHTS: ASSET QUALITY

641

-€1.3bn

9M 2016 9M 2017

NET FLOWS TO NPLs

-66.2%

NPL COVERAGE RATIO

1,894

€ m

HIGHLIGHTS: SOUND CAPITAL AND LIQUIDITY POSITION

SOUND CAPITAL POSITION AS AT 30/09/2017

LIQUIDITY PROFILE ALLOWS FUNDING FLEXIBILITY

Note:

1. See slide 34 for more details on the proforma ratio.

2. Management accounting data as at 07 November 2017.

3. Latest available data.

12 1. Executive Summary and Highlights

Agenda

1.	Executive Summary and Highlights	4
2.	Analysis of 9M 2017 Group Results	13
	 Funding, Liquidity and Loans	14
	 Analysis of Operating Performance	21
	Credit Quality 	30
	Capital Update 	34
3.	Focus on NPL Unit	35
4.	Strategy Update: Bancassurance	40
5.	Conclusions	43
	Annexes	45

DIRECT FUNDING

Healthy growth in core deposits, with concurrent decline in more expensive sources of funding

CHANGES	In % 12M	In % 9M	In % 3M
C/A & Sight deposits	10.7%	5.4%	3.5%
Time deposits	-30.1%	-17.6%	-12.6%
Bonds	-28.0%	-18.6%	-4.4%
CDs & Others	-14.2%	-11.4%	-6.3%
Cap.-protected Certificates	-7.2%	-7.6%	-2.8%
Direct Funding (excl. Repos)	-3.2%	-2.4%	0.6%

• Direct funding trend (-3.2% y/y; -2.4% YTD; +0.6% q/q) driven by:
• Positive dynamic of C/A and sight deposits (+10.7% y/y; +5.4% YTD; +3.5% q/q)
• Decrease in more expensive components (bonds -28.0% y/y; -18.6% YTD; -4.4% q/q)
• Bond reduction continues to have a positive effect on cost of funding and on AuM growth

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 (€6.7bn at September 2017, basically transactions with Cassa di Compensazione e Garanzia), classified in the Accounting Report under 'Due to customers'.

ANALYSIS OF DIRECT FUNDING¹

Good progress in the cheapest sources of funding

Breakdown at 30/09/2016 (without Repos)

C/A & sight deposits 69.5% Time deposits 3.7% Bonds 19.5% Capitalprotected Certificates 3.9% CDs & other 3.4%

Increase in the share of C/A and sight deposits (to 69.5%; +8.7 p.p. y/y), in line with the strategy to reduce the cost of funding

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 (€6.7bn at September 2017, basically transactions with Cassa di Compensazione e Garanzia), classified in the Accounting Report under 'Due to customers'.

Breakdown at 30/09/2017 (without Repos)

INDIRECT FUNDING

Strong performance of AuM, driven by 'Funds and Sicav' sleeve

• Excellent growth in AuM (+€5.0bn y/y; +€4.3bn YTD; +0.5bn q/q), bringing the share on total Indirect Funding to 62.2%
• AuM growth mainly driven by 'Funds and Sicav' (+14.3% y/y)

Note:

1. Indirect Funding is reported net of capital-protected certificates (previously included in Assets under Custody), as they have been regrouped in extended Direct Funding (see previous two slides).

BOND MATURITIES: POSITIVE FOR FUNDING COST REDUCTION

• €5bn¹ of bond maturities in 9M 2017, with a positive effect on the cost of funding

• Average spread of bonds maturing in Q4 2017 and in FY 2018 (€8.3bn in total) is ~2.8%
• Thanks to the Group's strong liquidity position, the upcoming maturities can be managed to optimize the cost of funding and to further increase assets under management, while maintaining a robust funding structure and a balanced Assets & Liabilities profile

Maturities include calls.

Note: 1. Including also the two buy-backs completed in April and June.

STRONG LIQUIDITY POSITION

Unencumbered assets at 11% of total assets, with almost 90% composed of Government bonds

1. Management accounting data.

2. NSFR as at 30/06/2017, latest available data.

18 2. Analysis of 9M 2017 Group results

SECURITIES PORTFOLIO

Prudent diversification, support NII and solid liquidity level

Analysis of the Securities Portfolio
€ bn						Chg. 12M		Chg. 9M		Chg. 3M
	30/09/17	30/06/17	31/12/16	30/09/16	Value	%	Value	%	Value	%
Debt securities: Govies and Central Banks	28.6	28.6	26.9	29.3	-0.6	-2.2%	1.7	6.4%	0.0	-0.1%
- o/w: Italian Govies	24.6	26.0	26.7	29.2	-4.5	-15.5%	-2.0	-7.6%	-1.3	-5.1%
Debt securities: Financials & other	5.1	4.9	4.7	5.0	0.1	2.2%	0.4	9.0%	0.2	3.2%
Equity securities: Financials & other	1.8	1.7	1.2	0.9	0.9	96.0%	0.6	51.8%	0.1	6.2%
Open-end funds & private equity	0.6	0.7	1.0	1.0	-0.5	-44.1%	-0.5	-45.2%	-0.1	-11.6%
TOTAL	36.1	35.9	33.8	36.2	-0.1	-0.3%	2.3	6.7%	0.2	0.5%

Classification of Italian Government bonds at 30/09/2017

• Increased diversification of the government bond portfolio:
• Italian govies: -€4.5bn y/y and -€2.0bn YTD
• 14% of non-Italian govies (vs. 9% in June and 4% in March), primarily France (7%) and USA (4%), followed by Germany and Spain
• Italian govies : 51.2% in AFS, 42.2% in HTM and 6.6% in HFT (vs. 63.8% in AFS, 31.1% in HTM and 5.1% in HFT as at 31/12/2016)
• Modified duration of Italian govies in AFS: ~2.8 years¹
• Gross AFS reserve on debt securities at €84.9m. Increased to €275m as at 07 Nov. 2017, mainly thanks to the improvement in the reserve for Italian govies¹

Note: 1. Management accounting data, excluding Banca Akros perimeter.

CUSTOMER LOANS

Trend in customer loans driven by derisking process and leasing run-off

• Net customer loans mainly impacted by de-risking process: net NPLs -17.5% y/y; -13.7% YTD; -1.7% q/q
• Good performance of Mortgage loans (+1.1% y/y; +1.8% YTD; +0.3% q/q), while non-core components (leasing in run-off and REPOs) register a double digit decrease y/y and YTD
• Q3 trend impacted by seasonality, mainly on short-term lending
• €14.3bn of new mortgages and personal loans granted in 9M (+17.6% y/y), of which €11.5bn to Corporates (+22.9% y/y) and €2.8bn to Households (-0.3% y/y)

Notes:

1. Customer loan breakdown based on management accounting data.

2. Mortgages and personal loans.

3. Includes SMEs, Large Corporates, Institutionals and Third Sector.

NET INTEREST INCOME

• Net Interest Income fell by 1.6% y/y and 5.2% on a like-for-like basis (excluding PPA and one-offs), mainly driven by the declining contribution of financial income from the AFS portfolio (-€67m vs 9M 16), also due to the initial mark-to-market of the ex-BPM portfolio, and lower loan book contribution
• Net interest income was up 2.7% q/q. On a like-for-like basis, a growth was registered for the third consecutive quarter (+1.1% q/q), mainly driven by lower cost of funding

Note:

1. Includes approx. €32m TLTRO2 accrued in 2016 and booked in Q1 17 and a one-off interest expense of €4m linked to a tax litigation closed in Q2 2017.

NET INTEREST SPREAD

Customer spread (1.53%) basically stable q/q, thanks to the improvement in the liability spread

The liability spread improved by 8bps YTD and by 4bps q/q

NET FEES AND COMMISSIONS

• In 9M 2017, Net fees and commissions grew by 13.3% y/y, driven by increasing commissions from management, brokerage and advisory services (+30.7% y/y), mainly thanks to the growing asset management business
• In Q3 2017, commissions were up 8.2% y/y while q/q were down due to the typical seasonal effect
• Commissions were strongly supported also by performance fees related to Aletti Gestielle's fund management activities

NET FINANCIAL RESULT

• The nine-month performance is fully coherent with the assumptions of the Strategic Plan
• The y/y reduction was mainly due to strong one-off gains registered in 9M 2016 from the disposal of debt securities classified in the AFS portfolio, related to the merger (€29m in 9M 2017 vs. €198m in 9M 2016: - €168m)
• The quarterly decrease (-€51m) is mainly due to the combined effect of lower income from trading (-€16m), dividends from equity investments reflecting the seasonal effect (-€19m) and the disposal of debt securities (-14m)

OPERATING COSTS

Yearly comparison Quarterly comparison

• In 9M 2017, Operating costs dropped by 9.9% y/y, while on a like-for-like basis (excluding one-offs), they fell by 2.5%
• In the quarterly comparison, Operating costs were up 5.4% q/q, while when excluding non-recurring items and the ordinary contribution to the DGS in Q3 2017, they were down 0.2%

Notes:

* 9M 17 includes approx. €9.5m PPA (~€3m per quarter).

PERSONNEL EXPENSES

• On a like-for-like basis, Personnel expenses were down 3.5% y/y, mainly driven by headcount reduction
• Personnel expenses down by 1.2% t/t, mainly thanks to the partial effect of 373 exits linked to the Solidarity Fund (o/w 216 exits at 30 June 2017 and 157 exits at 31 August 2017). An additional 264 people left the Bank at the end of September 2017
• Total headcount stood at 23,975 at 30 September 2017, down from 24,680 in December 2016 (-705)
• Additional 542 exits are planned in Q4 2017 (linked to the Solidarity Fund)

HEADCOUNT EVOLUTION

Headcount evolution

Starting from 31/12/2015 (25,073 units), the headcount reduction expected by 2019 is ~2,570, equal to -10%

Notes:

1. Including natural turnover.

2. Including the 71 higher Solidarity Fund exits coming from the new agreement signed in June 2017.

OTHER ADMINISTRATIVE EXPENSES

• Other administrative expenses decreased 5.3% y/y and 2.6% on a like-for-like basis (net of DTA fee for 2015 and integration costs)
• In the quarterly comparison, Other administrative expenses increased 17.3% Q/Q, mainly due to the ordinary contribution to the DGS, not booked in Q2 17. On a like-for-like basis (net of DGS and integration costs), they are down 0.3%

LOAN LOSS PROVISIONS

Cost of credit

€ m

• At the conservative level of 122bps (broadly in line with 118bps in H1 2017), the cost of credit has allowed to strengthen the NPL coverage
• PPA reversal (+€44.1m in Q1, +€49.3m in Q2 +€41.2m in Q3) used to stabilize the Group's sound coverage levels, also in the light of accelerated disposal plans

STRONG NPL STOCK REDUCTION...

		Chg. 12M		Chg. 9M		Chg. 3M
CHANGE €/m and %	Value	%	Value	%	Value	%
Bad Loans		-1,155 -14.4%	-931	-11.9%	-39	-0.6%
UTP		-1,726 -19.9%		-1,308 -15.8%	-254	-3.5%
Past Due	-90	-37.5%	25	19.8%	47	45.1%
TOTAL		-2,971 -17.5%		-2,214 -13.7%	-246	-1.7%

• Net NPL stock down by €3.0bn y/y (-17.5%), thanks to:
• decrease in net flows of NPLs (-66.2% y/y)
• internal workout recoveries (+43.5% y/y) and disposals (€2.1bn of gross BV since Oct. 2016)
• increase in coverage (+244bps)
• Net UTPs down by €1.7bn y/y (-19.9%), confirming a normalization in asset quality trends
• Organic Net NPL reduction confirmed also in Q3: -€246m, with no disposals
• Pipeline of Bad Loan disposals set to be completed by June 2018, i.e. 18 months ahead of the business plan target

…AND MATERIAL IMPROVEMENT IN NPL FLOWS

SIGNIFICANT INCREASE IN COVERAGE LEVELS

Coverage in line with Strategic Plan targets

Bad Loan coverage at 60%: +48bps y/y (62.0% nominal), in line with the Strategic Plan target

Coverage strengthened in all NPL classes, particularly for UTP (+553bps y/y) and Past Due (+594bps y/y)

Notes:

1. Starting from 31/03/2017, most write-offs, which had been included in the Nominal values in the past, have been brought back on-balance sheet. At the end of March 2017, write-offs of about €1bn were still recorded off-balance sheet (down to €0.9bn in September 2017).

2. 1. The December and September 2016 Nominal coverage includes all the write-offs that had been off-balance sheet at that time, in line with the values used in the Strategic Plan. For further details, please see slide 60.
3. 1. The twelve- and nine-month changes are measured against the nominal values in September and December 2016, respectively (i.e. inclusive of all write-offs).

FOCUS ON UNLIKELY-TO-PAY LOANS

Geographic breakdown of gross UTP	%
Northern Italy	72%
Central Italy	21%
Southern Italy and Islands	6%
ROW	1%

Breakdown of Net UTP Loans

	Total net UTP		6.9
	of which: Restructured
	- Secured		2.0
	- Unsecured		1.0
	of which:	Other UTP	3.9
		- Secured	3.3
	- Unsecured
coverage, which has risen from 27% at year-end 2016 to 31% as at 30/09/2017, stands at 45% for the unsecured portion Net Restructured loans (€3.0bn) account for 43% of total net UTP and are essentially related to formalised underlying restructuring plans and procedures (mainly under italian credit protection rules procedures)
Net unsecured UTP other than Restructured loans are limited to €0.6bn

• Gross UTPs have fallen 11.3% YTD. The coverage, which has risen from 27% at year-end 2016 to 31% as at 30/09/2017, stands at 45% for the unsecured portion
• Net Restructured loans (€3.0bn) account for 43% of total net UTP and are essentially related to formalised underlying restructuring plans and procedures (mainly under italian credit protection rules procedures)
• Net unsecured UTP other than Restructured

FULLY-LOADED CET1 RATIO: EVOLUTION DETAILS

• The proforma FL CET1 ratio of 12.49% (phase-in 12.82%) includes:
• the disposal of Aletti Gestielle together with the possible capital increase of Anima (+91bps)
• the expected impact from the reorganisation of the Bancassurance business (+126bps)
• … but still does not factor in the expected positive impact from the AIRB model roll-out

Notes:

• 1. As communicated to the market in the Q1 2017 Results presentation.
• 1. Preliminary impact estimated from the exercise of Unipol's put option, in line with the value indicated in the H1 2017 results presentation, pending the result from the closure of the arbitration under way.

Agenda

1.	Executive Summary and Highlights	4
2.	Analysis of 9M 2017 Group Results	13
	 Funding, Liquidity and Loans	14
	 Analysis of Operating Performance	21
	Credit Quality 	30
	Capital Update 	34
3.	Focus on NPL Unit	35
4.	Strategy Update: Bancassurance	40
5.	Conclusions	43
	Annexes	45

BAD LOANS: ANALYSIS AS OF 30 SEPTEMBER 2017

• Secured/Unsecured composition in terms of book value (59%/41%) well above industry average (48%/52%) 2
• Nominal exposure expected at year-end 2017: ~€16bn (of which ~66% secured and ~34% unsecured)

Notes:

• 1. For details regarding the write-offs, see slide 60.
• 1. Report PWC "The Italian NPL market the place to be", July 2017.
• 1. Collateral FV capped at nominal value.

2017 WORKOUT ACTIVITIES VS TARGET - YTD

In the first 9 months of 2017, recoveries were ~30% higher and cancellations were 48% higher when compared to the operational plan target. This dynamic, however, had a very limited impact on the cost of credit

NPL OUTLOOK: BASIC INERTIAL ASSUMPTIONS

39 3. Focus su NPL Unit

Agenda

1.	Executive Summary and Highlights	4
2.	Analysis of 9M 2017 Group Results	13
	 Funding, Liquidity and Loans	14
	 Analysis of Operating Performance	21
	Credit Quality 	30
	Capital Update 	34
3.	Focus on NPL Unit	35
4.	Strategy Update: Bancassurance	40
5.	Conclusions	43
	Annexes	45

STRATEGIC RATIONALE

The transaction will allow Banco BPM to:

Set up a JV with a leading national insurance player, sharing a common cultural background

2

1

Streamline the Bancassurance partnership setup of the Group and valorise Banco BPM's distribution network

3

Improve the synergies between the two joint-ventures on the former Banco Popolare network that will refer to a single partner

4

Maintain a significant pro-quota contribution from the expected earnings of the Insurance Companies

5

Maintain a capital buffer deemed sufficient to sustain the capital impacts expected from the repurchase of the stakes in the Insurance Companies currently held by Aviva and UnipolSAI

BANCASSURANCE TRANSACTION STRUCTURE

Scope of the Transaction and Tenor	Sell to Cattolica of a 65% stake in both Avipop Assicurazioni  and Popolare Vita  Total consideration: €853.4m, of which €544.6m for the 65% stake in Popolare Vita (including €89.6m as extraordinary dividend paid by Popolare Vita to Banco BPM ahead of the closing) and €308.8m for the 65% stake in Avipop Assicurazioni
Key Industrial Terms	 Establishment of a 15-year Life and Non-Life bancassurance partnership on the ex-BP franchise Management control of the Insurance Companies  transferred to Cattolica. Banco BPM will keep holding veto powers on significant strategic matters
Timing	Signing of the legal documentation on 9 November 2017   Closing of the transaction (subject to regulatory approvals) expected in H1 2018 and, in any case, subject to the purchase by Banco BPM of the remainder of the shares of Avipop Assicurazioni (sale and purchase agreement with Aviva signed on 28th October) and Popolare Vita (the Arbitration's process is pending: deadline 15th November)

Agenda

5.	Conclusions	43
4.	Strategy Update: Bancassurance	40
3.	Focus on NPL Unit	35
	Capital Update 	34
	Credit Quality 	30
	Analysis of Operating Performance 	21
	 Funding, Liquidity and Loans	14
2.	Analysis of 9M 2017 Group Results	13
1.	Executive Summary and Highlights	4

Annexes 45

CONCLUSIONS: ACHIEVEMENTS AT A GLANCE

Key achievements of Banco BPM Group since its inception on 01/01/2017:

• Integration/rationalisation/simplification
• Derisking, with solid results in terms of workout and disposals and with further progress under way
• Significant improvement in flows to NPL
• Cost efficiency actions, set to translate into stronger cost savings from FY 2018
• Capital strengthening, with a pro-forma CET 1 FL ratio of 12.5% (still excluding the AIRB model impact)
• Consolidation of core businesses and defintion of new commercial network model, paving the way for enhanced commercial effectiveness

The Group is positioning itself as a strong domestic player, with a sound risk profile, a solid capital base and with significant potential to build up its profitability

Agenda

Annexes

ANNEXES PREVIOUS PERIMETER*: 9M 2017 RECLASSIFIED P&L Y/Y COMPARISON

Reclassified income statement	9M 2017	o/w	9M 2017	9M 2016	o/w	9M 2016 Aggregated	Chg. Y/Y	Chg. Y/Y
(in euro million)	Stated	PPA	without PPA	Aggregated	PPA	without PPA	with PPA	without PPA
Net interest income	1,585.1	30.1	1,555.0	1,611.5	0.0	1,611.5	-1.6%	-3.5%
Income (loss) from investments in associates carried at equity	120.9	0.0	120.9	111.2	0.0	111.2	8.7%	8.7%
Net interest, dividend and similar income	1,705.9	30.1	1,675.9	1,722.7	0.0	1,722.7	-1.0%	-2.7%
Net fee and commission income	1,577.0	0.0	1,577.0	1,391.9	0.0	1,391.9	13.3%	13.3%
Other net operating income	74.7	-34.7	109.4	98.5	-16.4	114.9	-24.2%	-4.8%
Net financial result	114.8	0.0	114.8	320.3	0.0	320.3	-64.2%	-64.2%
Other operating income	1,766.5	-34.7	1,801.2	1,810.7	-16.4	1,827.1	-2.4%	-1.4%
Total income	3,472.4	-4.7	3,477.1	3,533.5	-16.4	3,549.9	-1.7%	-2.1%
Personnel expenses	-1,369.4	0.0	-1,369.4	-1,584.1	0.0	-1,584.1	-13.6%	-13.6%
Other administrative expenses	-775.1	0.0	-775.1	-818.1	0.0	-818.1	-5.3%	-5.3%
Amortization and depreciation	-171.7	-9.5	-162.3	-168.3	-2.7	-165.6	2.1%	-2.0%
Operating costs	-2,316.2	-9.5	-2,306.7	-2,570.4	-2.7	-2,567.7	-9.9%	-10.2%
Profit (loss) from operations	1,156.3	-14.1	1,170.4	963.1	-19.1	982.1	20.1%	19.2%
Net adjustments on loans to customers	-987.8	134.5	-1,122.4	-1,928.6	0.0	-1,928.6	-48.8%	-41.8%
Net adjustments on other assets	-127.5	0.0	-127.5	-23.8	0.0	-23.8	434.8%	434.8%
Net provisions for risks and charges	-4.5	0.0	-4.5	-13.6	0.0	-13.6	n.s.	n.s.
Impairment of goodwill	0.0	0.0	0.0	0.0	0.0	0.0	n.s.	n.s.
Profit (loss) on the disposal of equity and other investments	13.6	-0.9	14.5	35.1	0.0	35.1	-61.2%	-58.8%
Income (loss) before tax from continuing operations	50.0	119.6	-69.5	-967.9	-19.1	-948.8	n.s.	n.s.
Tax on income from continuing operations	-6.3	-39.8	33.5	319.6	6.2	313.5	n.s.	n.s.
Income (loss) after tax from discontinued operations	0.2	0.0	0.2	-1.5	0.0	-1.5	n.s.	n.s.
Income (loss) attributable to minority interests	8.8	0.0	8.8	17.0	0.0	17.0	-48.4%	-48.4%
Net income (loss) for the period excluding Badwill	52.7	79.8	-27.0	-632.7	-12.9	-619.7	n.s.	n.s.
Badwill	3,076.1		3,076.1			0.0	n.s.	n.s.
Net income (loss) for the period	3,128.9	79.8	3,049.1	-632.7	-12.9	-619.7	n.s.	n.s.

* With Aletti Gestielle line-by-line

ANNEXES PREVIOUS PERIMETER*: ADJUSTED 9M 2017 RECLASSIFIED P&L Y/Y COMPARISON

Reclassified income statement	9M 2017	o/w	9M 2017	9M 2016 Aggregated	o/w	9M 2016 Aggregated	Chg. Y/Y
(in euro million)	Stated	One-off	Adjusted		One-off	Adjusted	Adjusted
Net interest income	1,585.1	27.6	1,557.5	1,611.5	0.0	1,611.5	-3.4%
Income (loss) from investments in associates carried at	120.9	-10.5	131.3				18.1%
equity				111.2	0.0	111.2
Net interest, dividend and similar income	1,705.9	17.1	1,688.8	1,722.7	0.0	1,722.7	-2.0%
Net fee and commission income	1,577.0	0.0	1,577.0	1,391.9	0.0	1,391.9	13.3%
Other net operating income	74.7	0.0	74.7	98.5	0.0	98.5	-24.2%
Net financial result	114.8	0.0	114.8	320.3	33.0	287.4	-60.1%
Other operating income	1,766.5	0.0	1,766.5	1,810.7	33.0	1,777.8	-0.6%
Total income	3,472.4	17.1	3,455.3	3,533.5	33.0	3,500.5	-1.3%
Personnel expenses	-1,369.4	-1.3	-1,368.1	-1,584.1	-165.7	-1,418.4	-3.5%
Other administrative expenses	-775.1	-15.5	-759.6	-818.1	-38.6	-779.5	-2.6%
Amortization and depreciation	-171.7	-9.0	-162.7	-168.3	-17.9	-150.3	8.2%
Operating costs	-2,316.2	-25.8	-2,290.3	-2,570.4	-222.2	-2,348.2	-2.5%
Profit (loss) from operations	1,156.3	-8.7	1,165.0	963.1	-189.2	1,152.3	1.1%
Net adjustments on loans to customers	-987.8	0.0	-987.8	-1,928.6	0.0	-1,928.6	-48.8%
Net adjustments on other assets	-127.5	-121.7	-5.8	-23.8	0.0	-23.8	-75.8%
Net provisions for risks and charges	-4.5	0.0	-4.5	-13.6	0.0	-13.6	n.s.
Impairment of goodwill	0.0	0.0	0.0	0.0	0.0	0.0	n.s.
Profit (loss) on the disposal of equity and other investments	13.6	13.6	0.0	35.1	15.4	19.8	n.s.
Income (loss) before tax from continuing operations	50.0	-116.8	166.9	-967.9	-173.9	-794.0	n.s.
Tax on income from continuing operations	-6.3	25.6	-31.8	319.6	67.7	251.9	n.s.
Income (loss) after tax from discontinued operations	0.2	0.0	0.2	-1.5	0.0	-1.5	n.s.
Income (loss) attributable to minority interests	8.8	0.5	8.3	17.0	1.9	15.1	-45.4%
Net income (loss) for the period excluding Badwill	52.7	-90.7	143.5	-632.7	-104.2	-528.4	n.s.

* With Aletti Gestielle line-by-line

ANNEXES PREVIOUS PERIMETER*: 9M 2017 RECLASSIFIED P&L NON RECURRING ITEMS

Reclassified income statement	9M 2017	9M 17	One- off	Non-recurring items and
(in euro million)	Stated	Adjusted	9M 17	extraordinary systemic charges
Net interest income	1,585.1	1,557.5	27.6	TLTRO2 interests accrued in 2H16 and tax litigation
Income (loss) from investments in associates carried at equity	120.9	131.3	-10.5	Selm aBipiem m e Leasing im pact
Net interest, dividend and similar income	1,705.9	1,688.8	17.1
Net fee and commission income	1,577.0	1,577.0	0.0
Other net operating income	74.7	74.7	0.0
Net financial result	114.8	114.8	0.0
Other operating income	1,766.5	1,766.5	0.0
Total income	3,472.4	3,455.3	17.1
Personnel expenses	-1,369.4	-1,368.1	-1.3	Early Retirem ent Plan
Other administrative expenses	-775.1	-759.6	-15.5	Refund of the 2015 DTA fee (+€27.2m ) and integration costs (-€42.7m )
Amortization and depreciation	-171.7	-162.7	-9.0	Software im pairm ents
Operating costs	-2,316.2	-2,290.3	-25.8
Profit (loss) from operations	1,156.3	1,165.0	-8.7
Net adjustments on loans to customers	-987.8	-987.8	0.0
Net adjustments on other assets	-127.5	-5.8	-121.7	Im pairm ent of Atlante,Vicenza bond and FITD
Net provisions for risks and charges	-4.5	-4.5	0.0
Impairment of goodwill	0.0	0.0	0.0
Profit (loss) on the disposal of equity and other investments	13.6	0.0	13.6	Real Estate investm ents and other investm ents
Income (loss) before tax from continuing operations	50.0	166.9	-116.8
Tax on income from continuing operations	-6.3	-31.8	25.6	Im pact linked to tax litigation and other fiscal effects on non-recurring item s
Income (loss) after tax from discontinued operations	0.2	0.2	0.0
Income (loss) attributable to minority interests	8.8	8.3	0.5
Net income (loss) for the period excluding Badwill	52.7	143.5	-90.7

* With Aletti Gestielle line-by-line

ANNEXES PREVIOUS PERIMETER*: Q3 2017 RECLASSIFIED P&L Q/Q COMPARISON

Reclassified income statement	Q3 2017	o/w	Q3 2017	Q2 2017	o/w	Q2 2017	Chg. Q/Q	Chg. Q/Q
(in euro million)	Stated	PPA	without PPA	Stated	PPA	without PPA	with PPA	without PPA
Net interest income	525.1	10.0	515.1	511.3	5.9	505.3	2.7%	1.9%
Income (loss) from investments in associates carried at equity	38.9	0.0	38.9	40.4	0	40.4	-3.5%	-3.5%
Net interest, dividend and similar income	564.0	10.0	554.0	551.6	5.9	545.7	2.2%	1.5%
Net fee and commission income	486.3	0.0	486.3	543.4	0.0	543.4	-10.5%	-10.5%
Other net operating income	30.0	-11.6	41.6	14.5	-11.2	25.7	107.4%	62.1%
Net financial result	13.3	0.0	13.3	63.8	0.0	63.8	-79.2%	-79.2%
Other operating income	529.5	-11.6	541.2	621.7	-11.2	632.9	-14.8%	-14.5%
Total income	1,093.6	-1.6	1,095.2	1,173.3	-5.3	1,178.6	-6.8%	-7.1%
Personnel expenses	-452.3	0.0	-452.3	-458.4	0.0	-458.4	-1.3%	-1.3%
Other administrative expenses	-276.3	0.0	-276.3	-235.6	0.0	-235.6	17.3%	17.3%
Amortization and depreciation	-62.3	-3.2	-59.1	-56.5	-3.1	-53.4	10.2%	10.6%
Operating costs	-790.9	-3.2	-787.7	-750.4	-3.1	-747.4	5.4%	5.4%
Profit (loss) from operations	302.7	-4.8	307.5	422.9	-8.3	431.2	-28.4%	-28.7%
Net adjustments on loans to customers	-340.8	41.2	-382.0	-354.5	49.3	-403.8	-3.9%	-5.4%
Net adjustments on other assets	-48.3	0.0	-48.3	-70.8	0.0	-70.8	-31.8%	-31.8%
Net provisions for risks and charges	4.6	0.0	4.6	-9.6	0.0	-9.6	n.s.	n.s.
Impairment of goodwill	0.0	0.0	0.0	0.0	0.0	0.0	-	-
Profit (loss) on the disposal of equity and other investments	0.3	0.1	0.2	-3.8	-1.0	-2.8	-108.8%	-107.4%
Income (loss) before tax from continuing operations	-81.5	36.5	-118.0	-15.9	40.0	-55.8	n.s.	n.s.
Tax on income from continuing operations	38.8	-12.2	51.0	-9.8	-13.3	3.5	n.s.	n.s.
Income (loss) after tax from discontinued operations	-0.2	0.0	-0.2	0.4	0.0	0.4	n.s.	n.s.
Income (loss) attributable to minority interests	1.4	0.0	1.4	4.3	0.0	4.3	-67.2%	-67.2%
Net income (loss) for the period excluding Badwill	-41.5	24.3	-65.8	-21.0	26.7	-47.7	n.s.	n.s.

ANNEXES PREVIOUS PERIMETER*: ADJUSTED Q3 2017 RECLASSIFIED P&L Q/Q COMPARISON

Reclassified income statement	Q3 2017	o/w	Q3 2017	Q2 2017	o/w	Q2 2017	Chg. Q/Q
(in euro million)	Stated	one-off	Adjusted	Stated	one-off	Adjusted	Adjusted
Net interest income	525,1	0,0	525,1	511,3	-4,1	515,4	1,9%
Income (loss) from investments in associates carried at equity	38,9	0,0	38,9	40,4	-10,5	50,8	-23,4%
Net interest, dividend and similar income	564,0	0,0	564,0	551,6	-14,6	566,2	-0,4%
Net fee and commission income	486,3	0,0	486,3	543,4	0,0	543,4	-10,5%
Other net operating income	30,0	0,0	30,0	14,5	0,0	14,5	107,4%
Net financial result	13,3	0,0	13,3	63,8	0,0	63,8	-79,2%
Other operating income	529,5	0,0	529,5	621,7	0,0	621,7	-14,8%
Total income	1.093,6	0,0	1.093,6	1.173,3	-14,6	1.187,9	-7,9%
Personnel expenses	-452,3	0,0	-452,3	-458,4	-1,3	-457,1	-1,0%
Other administrative expenses	-276,3	-17,7	-258,7	-235,6	-13,0	-222,6	16,2%
Amortization and depreciation	-62,3	-5,5	-56,8	-56,5	-3,5	-53,0	7,1%
Operating costs	-790,9	-23,2	-767,7	-750,4	-17,8	-732,6	4,8%
Profit (loss) from operations	302,7	-23,2	325,9	422,9	-32,4	455,3	-28,4%
Net adjustments on loans to customers	-340,8	0,0	-340,8	-354,5	0,0	-354,5	-3,9%
Net adjustments on other assets	-48,3	-45,5	-2,8	-70,8	-67,5	-3,3	n.s.
Net provisions for risks and charges	4,6	0,0	4,6	-9,6	0,0	-9,6	n.s.
Impairment of goodwill	0,0	0,0	0,0	0,0	0,0	0,0	n.s.
Profit (loss) on the disposal of equity and other investments	0,3	0,3	0,0	-3,8	-3,8	0,0	n.s.
Income (loss) before tax from continuing operations	-81,5	-68,3	-13,2	-15,9	-103,7	87,8	-115,0%
Tax on income from continuing operations	38,8	28,2	10,6	-9,8	9,8	-19,6	n.s.
Income (loss) after tax from discontinued operations	-0,2	0,0	-0,2	0,4	0,0	0,4	n.s.
Income (loss) attributable to minority interests	1,4	0,5	0,9	4,3	0,0	4,3	-79,8%
Net income (loss) for the period excluding Badwill	-41,5	-39,5	-2,0	-21,0	-93,9	72,9	-102,7%

ANNEXES PREVIOUS PERIMETER*: Q3 2017 RECLASSIFIED P&L NON RECURRING ITEMS

	Q3 2017	Q3 2017
Reclassified income statement (in euro million)	Stated	Adjusted	One-off	Non-recurring items and extraordinary systemic charges
Net interest income	525.1	525.1	0.0
Income (loss) from investments in associates carried at equity	38.9	38.9	0.0
Net interest, dividend and similar income	564.0	564.0	0.0
Net fee and commission income	486.3	486.3	0.0
Other net operating income	30.0	30.0	0.0
Net financial result	13.3	13.3	0.0
Other operating income	529.5	529.5	0.0
Total income	1,093.6	1,093.6	0.0
Personnel expenses	-452.3	-452.3	0.0
Other administrative expenses	-276.3	-258.7	-17.7	Integration Costs
Amortization and depreciation	-62.3	-56.8	-5.5	Software writedowns
Operating costs	-790.9	-767.7	-23.2
Profit (loss) from operations	302.7	325.9	-23.2
Net adjustments on loans to customers	-340.8	-340.8	0.0
Net adjustments on other assets	-48.3	-2.8	-45.5	Im pairm ent of FITD
Net provisions for risks and charges	4.6	4.6	0.0
Impairment of goodwill	0.0	0.0	0.0
Profit (loss) on the disposal of equity and other investments	0.3	0.0	0.3
Income (loss) before tax from continuing operations	-81.5	-13.2	-68.3
Tax on income from continuing operations	38.8	10.6	28.2	Fiscal effects on non-recurring item s
Income (loss) after tax from discontinued operations	-0.2	-0.2	0.0
Income (loss) attributable to minority interests	1.4	0.9	0.5
Net income (loss) for the period excluding Badwill	-41.5	-2.0	-39.5

ANNEXES NEW PERIMETER: 9M 2017 RECLASSIFIED P&L Y/Y COMPARISON

Reclassified income statement	9M 2017	o/w	9M 2017	9M 2016	o/w	9M 2016 Aggregated	Chg. Y/Y	Chg. Y/Y
(in euro million)	Stated	PPA	without PPA	Aggregated	PPA	without PPA	with PPA	without PPA
Net interest income	1,584.7	30.1	1,554.6	1,610.8	0.0	1,610.8	-1.6%	-3.5%
Income (loss) from investments in associates carried at equity	120.9	0.0	120.9	111.2	0.0	111.2	8.7%	8.7%
Net interest, dividend and similar income	1,705.5	30.1	1,675.5	1,722.0	0.0	1,722.0	-1.0%	-2.7%
Net fee and commission income	1,478.3	0.0	1,478.3	1,346.7	0.0	1,346.7	9.8%	9.8%
Other net operating income	74.1	-34.7	108.8	97.2	-16.4	113.6	-23.8%	-4.3%
Net financial result	113.1	0.0	113.1	319.5	0.0	319.5	-64.6%	-64.6%
Other operating income	1,665.5	-34.7	1,700.2	1,763.5	-16.4	1,779.9	-5.6%	-4.5%
Total income	3,371.1	-4.7	3,375.7	3,485.5	-16.4	3,501.9	-3.3%	-3.6%
Personnel expenses	-1,364.1	0.0	-1,364.1	-1,578.0	0.0	-1,578.0	-13.6%	-13.6%
Other administrative expenses	-766.9	0.0	-766.9	-810.5	0.0	-810.5	-5.4%	-5.4%
Amortization and depreciation	-171.4	-9.5	-162.0	-168.0	-2.7	-165.3	2.1%	-2.0%
Operating costs	-2,302.4	-9.5	-2,293.0	-2,556.5	-2.7	-2,553.8	-9.9%	-10.2%
Profit (loss) from operations	1,068.6	-14.1	1,082.8	929.0	-19.1	948.0	15.0%	14.2%
Net adjustments on loans to customers	-987.8	134.5	-1,122.4	-1,928.6	0.0	-1,928.6	-48.8%	-41.8%
Net adjustments on other assets	-127.5	0.0	-127.5	-23.8	0.0	-23.8	434.8%	434.8%
Net provisions for risks and charges	-4.5	0.0	-4.5	-13.6	0.0	-13.6	n.s.	n.s.
Impairment of goodwill	0.0	0.0	0.0	0.0	0.0	0.0	n.s.	n.s.
Profit (loss) on the disposal of equity and other investments	13.6	-0.9	14.5	35.1	0.0	35.1	-61.2%	-58.8%
Income (loss) before tax from continuing operations	-37.6	119.6	-157.1	-1,002.0	-19.1	-982.9	n.s.	n.s.
Tax on income from continuing operations	19.2	-39.8	59.0	330.3	6.2	324.1	n.s.	n.s.
Income (loss) after tax from discontinued operations	62.3	0.0	62.3	21.9	0.0	21.9	n.s.	n.s.
Income (loss) attributable to minority interests	8.8	0.0	8.8	17.0	0.0	17.0	-48.4%	-48.4%
Net income (loss) for the period excluding Badwill	52.7	79.8	-27.0	-632.7	-12.9	-619.7	n.s.	n.s.
Badwill	3,076.1	0.0	3,076.1	0.0		0.0	n.s.	n.s.
Net income (loss) for the period	3,128.9	79.8	3,049.1	-632.7	-12.9	-619.7	n.s.	n.s.

ANNEXES NEW PERIMETER: ADJUSTED 9M 2017 RECLASSIFIED P&L Y/Y COMPARISON

Reclassified income statement	9M 2017	o/w	9M 2017	9M 2016 Aggregated	o/w	9M 2016 Aggregated	Chg. Y/Y
(in euro million)	Stated	One-off	Adjusted		One-off	Adjusted	Adjusted
Net interest income	1,584.7	27.6	1,557.1	1610.8	0.0	1,610.8	-3.3%
Income (loss) from investments in associates carried at	120.9	-10.5	131.3				18.1%
equity				111.2	0.0	111.2
Net interest, dividend and similar income	1,705.5	17.1	1,688.4	1722.0	0.0	1,722.0	-1.9%
Net fee and commission income	1,478.3	0.0	1,478.3	1346.7	0.0	1,346.7	9.8%
Other net operating income	74.1	0.0	74.1	97.2	0.0	97.2	-23.8%
Net financial result	113.1	0.0	113.1	319.5	33.0	286.6	-60.5%
Other operating income	1665.5	0.0	1,665.5	1763.5	33.0	1,730.5	-3.8%
Total income	3,371.1	17.1	3,354.0	3,485.5	33.0	3,452.5	-2.9%
Personnel expenses	-1,364.1	-1.3	-1,362.7	-1578.0	-165.7	-1,412.3	-3.5%
Other administrative expenses	-766.9	-15.5	-751.4	-810.5	-38.6	-772.0	-2.7%
Amortization and depreciation	-171.4	-9.0	-162.4	-168.0	-17.9	-150.1	8.2%
Operating costs	-2302.4	-25.8	-2,276.6	-2556.5	-222.2	-2,334.3	-2.5%
Profit (loss) from operations	1068.6	-8.7	1,077.4	929.0	-189.2	1,118.2	-3.7%
Net adjustments on loans to customers	-987.8	0.0	-987.8	-1928.6	0.0	-1,928.6	-48.8%
Net adjustments on other assets	-127.5	-121.7	-5.8	-23.8	0.0	-23.8	-75.8%
Net provisions for risks and charges	-4.5	0.0	-4.5	-13.6	0.0	-13.6	n.s.
Impairment of goodwill	0.0	0.0	0.0	0.0	0.0	0.0	n.s.
Profit (loss) on the disposal of equity and other investments	13.6	13.6	0.0	35.1	15.4	19.8	n.s.
Income (loss) before tax from continuing operations	-37.6	-116.8	79.2	-1002.0	-173.9	-828.1	n.s.
Tax on income from continuing operations	19.2	25.6	-6.3	330.3	67.7	262.6	n.s.
Income (loss) after tax from discontinued operations 62.3		0.0	62.3	21.9	0.0	21.9	n.s.
Income (loss) attributable to minority interests	8.8	0.5	8.3	17.0	1.9	15.1	-45.4%
Net income (loss) for the period excluding Badwill	52.7	-90.7	143.5	-632.7	-104.2	-528.4	n.s.

ANNEXES NEW PERIMETER: 9M 2017 RECLASSIFIED P&L NON RECURRING ITEMS

	9M 2017	9M 17
Reclassified income statement			One- off	Non-recurring items and
(in euro million)	Stated	Adjusted		extraordinary systemic charges
Net interest income	1,584.7	1557.1	27.6	TLTRO2 interests accrued in 2H16 and tax litigation
Income (loss) from investments in associates carried at equity	120.9	131.3	-10.5	Selm aBipiem m e Leasing im pact
Net interest, dividend and similar income	1,705.5	1688.4	17.1
Net fee and commission income	1,478.3	1478.3	0.0
Other net operating income	74.1	74.1	0.0
Net financial result	113.1	113.1	0.0
Other operating income	1665.5	1665.5	0.0
Total income	3,371.1	3,354.0	17.1
Personnel expenses	-1,364.1	-1362.7	-1.3	Early Retirem ent Plan
Other administrative expenses	-766.9	-751.4	-15.5	Refund of the 2015 DTA fee (+€27.2m ) and integration costs (-€42.7m )
Amortization and depreciation	-171.4	-162.4	-9.0	Software writedowns
Operating costs	-2302.4	-2276.6	-25.8
Profit (loss) from operations	1068.6	1077.4	-8.7
Net adjustments on loans to customers	-987.8	-987.8	0.0
Net adjustments on other assets	-127.5	-5.8	-121.7	Im pairm ent of Atlante,Vicenza bond and FITD
Net provisions for risks and charges	-4.5	-4.5	0.0
Impairment of goodwill	0.0	0.0	0.0
Profit (loss) on the disposal of equity and other investments	13.6	0.0	13.6	Real Estate investm ents and other investm ents
Income (loss) before tax from continuing operations	-37.6	79.2	-116.8
Tax on income from continuing operations	19.2	-6.3	25.6	Im pact linked to tax litigation and other fiscal effects on non-recurring item s
Income (loss) after tax from discontinued operations	62.3	62.3	0.0
Income (loss) attributable to minority interests	8.8	8.3	0.5
Net income (loss) for the period excluding Badwill	52.7	143.5	-90.7

ANNEXES NEW PERIMETER: Q3 2017 RECLASSIFIED P&L Q/Q COMPARISON

Reclassified income statement	Q3 2017	o/w	Q3 2017	Q2 2017	o/w	Q2 2017	Chg. Q/Q	Chg. Q/Q
(in euro million)	Stated	PPA	without PPA	Stated	PPA	without PPA	with PPA	without PPA
Net interest income	524.9	10.0	514.9	511.1	5.9	505.2	2.7%	1.9%
Income (loss) from investments in associates carried at equity	38.9	0.0	38.9	40.4	0	40.4	-3.5%	-3.5%
Net interest, dividend and similar income	563.9	10.0	553.8	551.5	5.9	545.6	2.2%	1.5%
Net fee and commission income	458.9	0.0	458.9	503.6	0.0	503.6	-8.9%	-8.9%
Other net operating income	29.4	-11.6	41.0	14.4	-11.2	25.6	104.7%	60.4%
Net financial result	13.0	0.0	13.0	63.3	0.0	63.3	-79.5%	-79.5%
Other operating income	501.3	-11.6	512.9	581.3	-11.2	592.5	-13.8%	-13.4%
Total income	1,065.1	-1.6	1,066.8	1,132.8	-5.3	1,138.1	-6.0%	-6.3%
Personnel expenses	-450.6	0.0	-450.6	-456.7	0.0	-456.7	-1.3%	-1.3%
Other administrative expenses	-273.2	0.0	-273.2	-233.1	0.0	-233.1	17.2%	17.2%
Amortization and depreciation	-62.2	-3.2	-59.0	-56.4	-3.1	-53.3	10.2%	10.6%
Operating costs	-786.0	-3.2	-782.8	-746.2	-3.1	-743.1	5.3%	5.3%
Profit (loss) from operations	279.2	-4.8	284.0	386.6	-8.3	395.0	-27.8%	-28.1%
Net adjustments on loans to customers	-340.8	41.2	-382.0	-354.5	49.3	-403.8	-3.9%	-5.4%
Net adjustments on other assets	-48.3	0.0	-48.3	-70.8	0.0	-70.8	-31.8%	-31.8%
Net provisions for risks and charges	4.6	0.0	4.6	-9.6	0.0	-9.6	n.s.	n.s.
Impairment of goodwill	0.0	0.0	0.0	0.0	0.0	0.0	-	-
Profit (loss) on the disposal of equity and other investments	0.3	0.1	0.2	-3.8	-1.0	-2.8	-108.8%	-107.4%
Income (loss) before tax from continuing operations	-105.0	36.5	-141.5	-52.1	40.0	-92.1	n.s.	n.s.
Tax on income from continuing operations	45.6	-12.2	57.8	1.1	-13.3	14.4	n.s.	n.s.
Income (loss) after tax from discontinued operations	16.5	0.0	16.5	25.8	0.0	25.8	n.s.	n.s.
Income (loss) attributable to minority interests	1.4	0.0	1.4	4.3	0.0	4.3	-67.2%	-67.2%
Net income (loss) for the period excluding Badwill	-41.5	24.3	-65.8	-21.0	26.7	-47.7	n.s.	n.s.

ANNEXES NEW PERIMETER: ADJUSTED Q3 2017 RECLASSIFIED P&L Q/Q COMPARISON

Reclassified income statement	Q3 2017	o/w	Q3 2017	Q2 2017	o/w	Q2 2017	Chg. Q/Q
(in euro million)	Stated	one-off	Adjusted	Stated	one-off	Adjusted	Adjusted
Net interest income	524.9	0.0	524.9	511.1	-4.1	515.3	1.9%
Income (loss) from investments in associates carried at equity	38.9	0.0	38.9	40.4	-10.5	50.8	-23.4%
Net interest, dividend and similar income	563.9	0.0	563.9	551.5	-14.6	566.1	-0.4%
Net fee and commission income	458.9	0.0	458.9	503.6	0.0	503.6	-8.9%
Other net operating income	29.4	0.0	29.4	14.4	0.0	14.4	104.7%
Net financial result	13.0	0.0	13.0	63.3	0.0	63.3	-79.5%
Other operating income	501.3	0.0	501.3	581.3	0.0	581.3	-13.8%
Total income	1,065.1	0.0	1,065.1	1,132.8	-14.6	1,147.4	-7.2%
Personnel expenses	-450.6	0.0	-450.6	-456.7	-1.3	-455.4	-1.0%
Other administrative expenses	-273.2	-17.7	-255.5	-233.1	-13.0	-220.1	16.1%
Amortization and depreciation	-62.2	-5.5	-56.7	-56.4	-3.5	-52.9	7.1%
Operating costs	-786.0	-23.2	-762.8	-746.2	-17.8	-728.3	4.7%
Profit (loss) from operations	279.2	-23.2	302.3	386.6	-32.4	419.0	-27.8%
Net adjustments on loans to customers	-340.8	0.0	-340.8	-354.5	0.0	-354.5	-3.9%
Net adjustments on other assets	-48.3	-45.5	-2.8	-70.8	-67.5	-3.3	n.s.
Net provisions for risks and charges	4.6	0.0	4.6	-9.6	0.0	-9.6	n.s.
Impairment of goodwill	0.0	0.0	0.0	0.0	0.0	0.0	n.s.
Profit (loss) on the disposal of equity and other investments	0.3	0.3	0.0	-3.8	-3.8	0.0	n.s.
Income (loss) before tax from continuing operations	-105.0	-68.3	-36.7	-52.1	-103.7	51.5	-171.2%
Tax on income from continuing operations	45.6	28.2	17.4	1.1	9.8	-8.7	-300.4%
Income (loss) after tax from discontinued operations	16.5	0.0	16.5	25.8	0.0	25.8	n.s.
Income (loss) attributable to minority interests	1.4	0.5	0.9	4.3	0.0	4.3	-79.8%
Net income (loss) for the period excluding Badwill	-41.5	-39.5	-2.0	-21.0	-93.9	72.9	-102.7%

ANNEXES NEW PERIMETER: Q3 2017 RECLASSIFIED P&L NON RECURRING ITEMS

	Q3 2017	Q3 2017
Reclassified income statement (in euro million)	Stated	Adjusted	One-off	Non-recurring items and extraordinary systemic charges
Net interest income	524.9	524.9	0.0
Income (loss) from investments in associates carried at equity	38.9	38.9	0.0
Net interest, dividend and similar income	563.9	563.9	0.0
Net fee and commission income	458.9	458.9	0.0
Other net operating income	29.4	29.4	0.0
Net financial result	13.0	13.0	0.0
Other operating income	501.3	501.3	0.0
Total income	1,065.1	1,065.1	0.0
Personnel expenses	-450.6	-450.6	0.0
Other administrative expenses	-273.2	-255.5	-17.7	Integration Costs
Amortization and depreciation	-62.2	-56.7	-5.5	Software writedowns
Operating costs	-786.0	-762.8	-23.2
Profit (loss) from operations	279.2	302.3	-23.2
Net adjustments on loans to customers	-340.8	-340.8	0.0
Net adjustments on other assets	-48.3	-2.8	-45.5	Im pairm ent of FITD
Net provisions for risks and charges	4.6	4.6	0.0
Impairment of goodwill	0.0	0.0	0.0
Profit (loss) on the disposal of equity and other investments	0.3	0.0	0.3
Income (loss) before tax from continuing operations	-105.0	-36.7	-68.3
Tax on income from continuing operations	45.6	17.4	28.2	Fiscal effects on non-recurring item s
Income (loss) after tax from discontinued operations	16.5	16.5	0.0
Income (loss) attributable to minority interests	1.4	0.9	0.5
Net income (loss) for the period excluding Badwill	-41.5	-2.0	-39.5

ANNEXES RECLASSIFIED BALANCE SHEET OF BANCO BPM GROUP AS AT 30/09/2017

Reclassified assets (€ m)	A	B	C	D	Chg. A/B		Chg. A/C		Chg. A/D
	30/09/17 *	30/06/17	31/12/16	30/09/16	Value	%	Value	%	Value	%
Cash and cash equivalents	812	790	898	812	22	2.7%	-86	-9.6%	0	0.0%
Financial assets and hedging derivatives	38,135	38,146	36,580	39,643	-11	0.0%	1,554	4.2%	-1,509	-3.8%
Due from banks	4,622	4,898	6,678	5,674	-276	-5.6%	-2,057	-30.8%	-1,052	-18.5%
Customer loans	107,900	109,441	110,551	112,440	-1,541	-1.4%	-2,651	-2.4%	-4,540	-4.0%
Equity investments	1,384	1,344	1,595	1,675	39	2.9%	-211	-13.2%	-291	-17.4%
Property and equipment	2,894	2,986	2,696	2,724	-92	-3.1%	198	7.3%	170	6.2%
Intangible assets	2,383	2,395	1,834	2,191	-12	-0.5%	549	30.0%	192	8.8%
Non-current assets held for sale and discontinued operations	257	7	77	84	250	3719.2%	179	231.8%	172	204.2%
Other assets	7,495	7,714	7,346	7,001	-220	-2.8%	148	2.0%	494	7.1%
Total	165,880	167,720	168,255	172,243	-1,840	-1.1%	-2,375	-1.4%	-6,363	-3.7%
	A	B	C	D		Chg. A/B	Chg. A/C		Chg. A/D
Reclassified liabilities (€ m)	30/09/17 *	30/06/17	31/12/16	30/09/16	Value	%	Value	%	Value	%
Due to banks	27,571	26,286	23,276	22,139	1,284	4.9%	4,294	18.4%	5,431	24.5%
Due to customers, debt securities issued and financial liabilities designated at fair value	109,901	110,240	116,773	117,795	-340	-0.3%	-6,872	-5.9%	-7,895	-6.7%
Financial liabilities and hedging	9,811	10,009	10,683	11,995	-198	-2.0%	-872	-8.2%	-2,184	-18.2%
derivatives Liability provisions	1,531	1,601	1,706	1,554	-71	-4.4%	-175	-10.3%	-23	-1.5%
Liabilities associated with assets held for sale	21	0	1	0	21	20682.2%	20	2086.5%	21	ns
Other liabilities	4,577	7,140	3,816	5,768	-2,563	-35.9%	761	19.9%	-1,191	-20.6%
Minority interests	52	53	58	67	-1	-2.6%	-7	-11.2%	-16	-23.3%
Shareholders' equity	12,417	12,390	11,941	12,923	27	0.2%	476	4.0%	-506	-3.9%
Total	165,880	167,720	168,255	172,243	-1,840	-1.1%	-2,375	-1.4%	-6,363	-3.7%

Note: (*) As at 30/09/2017 Aletti Gestielle is classified within the Non-current assets held for sale as well as within the associated liabilities, having signed an agreement with Anima for the sale of this subsidiary.

ANNEXES CUSTOMER LOAN ANALYSIS

Retail and SME-oriented banking group, with franchise concentrated in Northern Italy

Breakdown of net loans by customer segment at 30/09/2017

Breakdown of net loans by geographical area at 30/09/2017

• Roughly 29% of customer loans in relation to the Household segment.
• Corporates¹ , excluding Large Corporates, account for roughly 61% of the loan book and the average loan ticket is small, coming in at about €250K.
• More than 70% of the portfolio is concentrated in the wealthiest areas of the Country.

Note:

1. Non-financial companies (mid-corporate and small business) and financial companies. Includes €6.0bn of Repos, mainly with Cassa di Compensazione e Garanzia.

ANNEXES DETAILED CREDIT QUALITY

€ m		30/09/2017
	Gross exposure	Adjustments	Coverage	Net exposure
Bad Loans	17,230	10,339	60.0%	6,891
Unlikely to pay	10,069	3,120	31.0%	6,949
Past Due	192	43	22.1%	150
Non-performing Loans	27,491	13,501	49.1%	13,990
Performing Loans	94,301	391	0.4%	93,910
Total Customer Loans	121,792	13,892	11.4%	107,900
		30/06/2017
	Gross exposure	Adjustments	Coverage	Net exposure
Bad Loans	17,264	10,334	59.9%	6,930
Unlikely to pay	10,511	3,308	31.5%	7,203
Past Due	128	25	19.6%	103
Non-performing Loans	27,903	13,667	49.0%	14,237
Performing Loans	95,596	392	0.4%	95,204
Total Customer Loans	123,500	14,059	11.4%	109,441

					31/12/2016
	Nominal	Off-balance	Gross		Adjustments	Coverage	Coverage without
	exposure	sheet Write-offs	exposure	Adjustments	with write-offs	with write-offs	write-offs	Net exposure
Bad Loans	19,578	5,166	14,413	6,590	11,756	60.0%	45.7%	7,822
Unlikely to Pay	11,349		11,349	3,092	3,092	27.2%	27.2%	8,257
Past Due	153		153	28	28	18.2%	18.2%	125
Non-performing Loans	31,080	5,166	25,914	9,710	14,876	47.9%	37.5%	16,204
Performing Loans	94,754		94,754	408	408	0.4%	0.4%	94,346
Total Customer Loans	125,834	5,166	120,669	10,118	15,284	12.1%	8.4%	110,551

	30/09/2016
	Nominal exposure	Off-balance sheet Write-offs	Gross exposure	Adjustments	Adjustments with write-offs	Coverage with write-offs	Coverage without write-offs	Net exposure
Bad Loans	19,882	5,222	14,660	6,614	11,835	59.5%	45.1%	8,047
Unlikely to Pay	11,638		11,638	2,963	2,963	25.5%	25.5%	8,675
Past Due	286		286	46	46	16.2%	16.2%	239
Non-performing Loans	31,806	5,222	26,584	9,623	14,845	46.7%	36.2%	16,961
Performing Loans	95,918		95,918	440	440	0.5%	0.5%	95,479
Total Customer Loans	127,724	5,222	122,503	10,063	15,284	12.0%	8.2%	112,440

Restatement of write-offs as of Q1 2017:

Starting from 31/03/2017, most write-offs, which had been included in the Nominal values in the past, have been brought back on-balance sheet. At the end of March 2017, writeoffs of about €1bn were still recorded off-balance sheet (down to €0.9bn in September 2017).

ANNEXES PHASE-IN CAPITAL RATIOS

The Group's capital position as at 30/09/2017 includes two negative headwinds:

• RWAs on defaulted assets and Retail EAD (-54bps registered in Q1 at CET 1 phase-in level)²
• Aviva's put option (-26bps at CET 1 phase-in level) and Unipol's put option (-37bps at CET 1 phasein level³ )
• At pro-forma level, the phase-in ratios (12.82% CET1 and 15.84% Total capital), even without factoring in yet the expected positive impact from the AIRB model roll-out, feature a wide positive buffer over SREP requirements (8.15% for CET1 and 11.65% for Total capital)

Notes:

^3. Preliminary impact estimated from the exercise of Unipol's put option, in line with the value indicated in the H1 2017 results presentation, pending the result from the closure of the arbitration under way.

^1. Includes the disposal of Aletti Gestielle together with the possible capital increase of Anima, and the expected impact from the reorganisation of the Bancassurance business.

^2. As communicated to the market in the Q1 2017 Results presentation.

ANNEXES BRANCH EVOLUTION

Branch evolution: backward and forward view

Other branches, non included in the perimeter of the rationalisation considered in the Strategic Plan: Webank, Banca Akros, Banca Aletti (Italy and Switzerland) and other minor companies

• A review of the distribution strategy is well under way:
• leading to the optimization of our footprint guaranteed by the branch network…
• … with expected benefits at operational efficiency level…
• … flanked by the strengthening of the competitive position thanks to alternative channels (Digital Banking/Financial Advisors/Corporate Product Specialists/ Development Task Force etc.).
• Of the total 335 branch closures targeted in the Strategic Plan, 171 outlets have already been closed
• The second wave of branch closures is scheduled in H1 2018

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	+39-02-7700.2574
Tom Lucassen	+39-045-867.5537
Arne Riscassi	+39-02-7700.2008
Silvia Leoni	+39-045-867.5613
Andrea Agosti	+39-02-7700.7848

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)