Banco BPM SpA — Investor Presentation 2018

Aug 3, 2018

H1 2018 Group Results Presentation

3 August 2018

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

• The new accounting standard IFRS 9 on "Financial Instruments" has become effective beginning on 1 January 2018 and therefore the P&L and balance sheet results of H1 2018 have been prepared in compliance with the new accounting standard IFRS 9, while the 2017 P&L and balance sheet results had been prepared in compliance with the former accounting standard IAS 39.
• The final impact of the FTA in relation to IFRS 9 and IFRS 15 was defined as at 30 June 2018 with reference to 01 January 2018 data. A comparison with the preliminary data indicated in the presentation as at 31 March 2018 shows various insignificant differences. For details, please refer to the explanatory notes indicated in our press release dated 03 August 2018. Furthermore, it is noted that data as at 31/03/2018 have not been restated accordingly and remain unchanged vs. the historical reporting.
• To favor a more consistent comparison between the 2018 and 2017 P&L data, in this presentation, 2018 data is complemented with the main reclassifications on adoption of the new accounting standard IFRS 9. However, it should be pointed out that the new classification and measurement criteria and the new impairment model for financial assets do not allow a full comparability of the two sets of data under comparison.
• For a correct understanding of the Balance Sheet quarterly evolution, with accounting standards being equal, the balance sheet data as at 31/03/2018 and 30/06/2018 has been compared with the balance sheet data as at 01/01/2018, recalculated, whenever possible, based on the new accounting standard, with all the differences and reclassifications as at 01/01/2018 duly highlighted compared to IAS 39 compliant data at 31/12/2017 in appendix.
• It should be noted that starting from 31 March 2018 the reclassified Balance Sheet face has been changed to include the new accounting categories of financial instruments, and that for the reclassified income statement face, the adoption of IFRS 9 required that some aggregates be redefined (for more details please refer to the explanatory notes of the news release of 3 August 2018 on the approval of the consolidated results as at 30 June 2018).
• It is noted that starting from 30/06/2018 ordinary and extraordinary systemic charges related to SRF and DGS have been reclassified from Other Operating Expenses to a dedicated item "Systemic charges after tax". Historical P&L schemes have been reclassified accordingly.
• It is also reminded that 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". The sale of the Company was perfected in December 2017. For this reason, in the 2017 P&L statement, the contribution of Aletti Gestielle SGR and the gain realised from disposal are booked in line item "Income after tax from discontinued operation".
• Moreover, in February 2018, Banco BPM signed an agreement to sell the Custodian Banking activity. For this reason, starting from 31/03/2018, the Balance Sheet data related to this Business Unit (substantially CA and Deposits) have been classified according to IFRS 5 as a "discontinued operation". However, in this presentation, in order to ensure coherence with the historical reporting, the Direct Funding is reported including the data related to this Business Unit.

Agenda

1.	Derisking & Strategy Update	4
2.	Profitability Highlights	13
3.	Balance Sheet and Liquidity Highlights	25
4.	Credit Quality	33
5.	Capital Position	40
6.	Conclusions	43

Annexes 45

BANCO BPM DELIVERS STRONG DERISKING (1/2)

Note: 1. Based on new derisking plan revised in February 2018, with a total amount of Bad Loan disposals revised up from €8bn to €13bn, to be achieved by 2020.

BANCO BPM DELIVERS STRONG DERISKING (2/2)

1. Data restated excluding from the Nominal amount only the write-offs which remained off-balance sheet at the beginning of 2017

FOCUS ON DERISKING IN H1 2018

Note: 1. €13bn since the announcement of the merger.

EXODUS TRANSACTION

• Key milestone reached on time
• One of the largest transactions since the introduction of GACS
• Excellent pricing: 34.3% of GBV, notwithstanding the unexpected financial turmoil

Improvement of NPL ratio…	… and lower RWA
 Deconsolidation of €5.1bn of Bad Loans (nominal value at cut-off date1 )	 Decrease of RWA for Defaulted Assets of about €1.2bn
 Subscription of the €1.7bn Senior Notes (classified as Performing loans)	 Senior Notes, weighted at ~60% before the issuance of the GACS, are set to fall to a 0% weighting after the GACS guarantee in Q3 2018
 Only 5% of the €0.2bn of Mezzanine and Junior Notes maintained by Banco BPM	 Very limited impact at RWA level

SENIOR NOTES AND GACS ISSUANCE

• The senior notes will yield a coupon of 6M Euribor + 0.6%, accounted in NII
• The requirements underlying the State guarantee have been fulfilled: ready to receive the guarantee on the senior notes pursuant to the Decree Law 18/2016 (GACS)

Note:

1. Exodus portfolio as of September 2017 was equal to €5.1bn in terms of Nominal and Gross value, corresponding to €4.9bn of Nominal Value and €4.8bn of Gross Value in June 2018, due to the ongoing workout activity carried out on the portfolio.

BAD LOANS & UTP LOANS: KEY QUALITY INDICATORS

Bad Loan collateralisation analysis and Bad Loan coverage as at Strategic Plan starting point are based on Nominal amount.

9 1. Derisking & Strategy Update

1. Report PWC "The Italian NPL market – What's next?", June 2018.

DERISKING: WHAT'S NEXT?

• Increasing interest from several investors in a deal potentially involving huge NPL volumes
• Strong track record progressively consolidated in disposals as well as in internal workout
• Expectations for GACS scheme to be extended

Launch of "project ACE"

• Confirm the current level of ambition: disposal of €3.5bn to complete the €13bn program
• Analyze potentially more "aggressive" scenarios: explore the feasibility of any deal involving larger sizes

Prerequisites for final decision on the deal size:

• Detailed Due Diligence
• Submission of binding offers
• Thorough comparison of bidders' overall value propositions, including all financial and industrial elements

"PROJECT ACE" AT A GLANCE

INTEGRATION AND TRANSFORMATION PROJECTS WELL ON TRACK

Agenda

1.	Derisking & Strategy Update	4
2.	Profitability Highlights	13
3.	Balance Sheet and Liquidity Highlights	25
4.	Credit Quality	33
5.	Capital Position	40
6.	Conclusions	43

Annexes 45

H1 2018 "STATED" PERFORMANCE AT A GLANCE

STATED FIGURES

H1 2018 MAIN P&L ITEMS: COMPARISON EXCL. IFRS 9

For full details about the IFRS9 impact and PPA, please refer to slides 51 and 52 in the Annex.

1. H1 2017 included €28m of one-off items (see slide 16 for further details)

NET INTEREST INCOME

Volume growth and cost of funding reduction supporting growth in Q2

• Stated Net Interest Income up 11.3% y/y, benefiting from the reversal of time value on bad loans (reclassified from LLPs under IFRS 9), which will be subject to volatility linked to the upcoming NPL disposals
• Net interest income was up 1.4% y/y on a like-for-like basis (excluding one-offs, IFRS 9 effect and PPA), mainly driven by lower cost of funding
• In the quarterly comparison, Net Interest Income was down 1.7%, mainly due to a lower PPA effect. On an underlying basis (net of PPA e IFRS9 effects) NII was up 1.8% q/q

Notes: 1. Includes approx. €32m related to TLTRO2 accrued in 2016 and booked in Q1 17.

STABLE NET INTEREST SPREAD

Customer spread basically stable at 1.53%: decrease in the asset spread (-4bps q/q and -16bps y/y) almost compensated by the improvement in the liability spread (+3bps q/q and +14bps y/y)

Notes: Quarterly spreads for 2017 have been adjusted to reflect the adoption of new customer portfolio perimeter and segments of the new commercial network

NET FEES AND COMMISSIONS

The reduction y/y of asset management-related commissions is based on three factors:

• H1 17 figures had been particularly strong due to the recovery after the merger-related slowdown of the commercial activities at the end of 2016, flanked also by a positive financial market trend which had sustained AUM fees
• Market turmoil in Q2 2018, with a sharp drop in market prices and a temporary slowdown in product placements
• Switch from product to portfolio advisory approach, resulting in a reduction of €71m in upfront fees, with running fees up by €35m, whereby the contribution of this latter component is expected to grow progressively
• The reduction y/y of other commissions is entirely attributable to the reorganisation of the network, in particular to the lending activities in the first months of the year. The performance registered in June/July is again showing a positive trend.

NET FINANCIAL RESULT

• Net Financial Result was €109m in H1 18 (+9.3% y/y), mainly thanks to higher gains from disposals of debt securities, also in light of the Group's strategy to reduce its Italian govies exposure
• Net Financial Result +€51m q/q thanks to both higher income from the disposal of fixed income assets and better trading results

OPERATING COSTS

• In H1 18, operating costs were down 4.4% y/y (stated) and 4.6% y/y on an underlying basis (excl. one-off items and PPA), thanks to the strict cost control
• Operating costs came in at €689m in Q2 2018, the best quarterly result reached since the creation of Banco BPM, down 1.8% q/q. When excluding one-off items and PPA, operating costs were down 1.9% q/q

OUTPERFORMANCE OF THE ORIGINAL COST SYNERGIES Better than original Strategic Plan quantitative targets and well ahead of schedule in terms of amount and timing: cost synergies at €400m Headcount evolution 25.001 22.719 22.400 -2,282 -319 31/12/2015 Net Reduction achieved in the period 30/06/2018 Planned Net Reduction Projection 2019 -2,601 Solidarity Fund 1 1 o/w: 544 in H1 2018 1.800 2.171 314 371 -1,857 2019 Strategic Plan Target Higher Exits 2019 Target Update Voluntary exits already achieved Remaining Exits (Dec 2018) 2 +21% vs Strategic Plan Adj. Op. costs: -4.6% y/y in H1 2018

Optimisation of Retail Network³ : 360 additional branch closures

Notes:

• 1. Including natural turnover.
• 1. Including 71 higher Solidarity Fund exits coming from the new agreement signed in June 2017. 3. The network, consistently with the perimeter underlying the Strategic Plan,
• 1. Profitability Highlights 21 does not include: WeBank, Akros, Aletti (Italy and Switzerland) and other minor. 4. Indicated in the Strategic Plan as a level that was potentially going

to be considered beyond 2019, but which had not been embedded in the Plan.

PERSONNEL EXPENSES

• Personnel expenses were down 3.8% y/y, mainly driven by the headcount reduction
• Personnel expenses were also down in the quarter, coming in at €437m (-1.1% q/q)
• Total headcount stood at 22,719 on 30 June 2018, down from 23,263 at year-end 2017 (-544, of which 375 on the basis of the Solidarity Fund done at the end of June 2018) and from 25,001 at the starting point of the Strategic Plan (-2,282)
• Additional 314 exits are planned in December 2018 as part of the already agreed Solidarity Scheme

OTHER ADMINISTRATIVE EXPENSES

• Other administrative expenses decreased 5.6% y/y on an underlying basis (excl. one-off items)
• Excluding one-offs (mainly restructuring costs), other administrative expenses were down 3.8% q/q

LOAN LOSS PROVISIONS

Loan Loss Provisions

Cost of credit

• H1 2018 LLPs of €686.5m include the impact of €128.9m coming from the application of the IFRS 9 accounting principle (€66m in Q1 and €63m in Q2)
• LLPs pre-IFRS 9 are down by 13.8% y/y , corresponding to an annualized cost of credit of 104bps. This level includes some seasonal effects concentrated in H1 2018 and the impact of Exodus
• In Q2 2018, LLPs (post IFRS 9) stood at €360m, up by 10.4% vs. Q1, including €54m of impact from the Exodus transaction, due to the unexpected turmoil registered in the financial markets, with a negative effect on the pricing of the Mezzanine & Junior notes

Notes:

1. The IFRS 9 impact is due to due to the reclassification to NII of +€78m of PPA reversal on Bad Loans and of +€51m of time value reversal of Bad Loans and Accrual interest on Net UTP.

Agenda

1.	Derisking & Strategy Update	4
2.	Profitability Highlights	13
3.	Balance Sheet and Liquidity Highlights	25
4.	Credit Quality	33
5.	Capital Position	40
6.	Conclusions	43

Annexes 45

CUSTOMER LOANS

Net Customer Loans¹

• Trend of total Net Customer Loans impacted by the solid derisking (disposal of Bad Loans and workout)
• Performing customer loans are up 2.9% vs. 01/01/2018 and 2.6% in Q2
• Even when excluding the subscription of €1.7bn on Exodus Senior Notes, performing loans are up by 1.1% YTD and 0.8% Q/Q, with a positive trend registered in "Core customer loans"² , especially in Q2 (+1.2%), thanks to Mortgage loans (+1.0%) and Other loans (+3.9%). In particular, a positive trend has been registered in Corporate (+3.9%)³
• €9.0bn of new mortgage and personal loans granted in the period (€1.8bn to Households and €7.2bn to Corporate)³
• Further acceleration in volume growth continued at the beginning of Q3, especially in the corporate area.

Notes:

• 1. Customer loan data refer to Loans and advances to customers measured at Amortized Cost, including also the Exodus senior notes
• 1. Core customer loans include Mortgage Loans, Current Accounts, Cards & Personal Loans and Other technical forms.
• 1. Internal management data. 'Corporate' includes SMEs, Large Corporates, Institutional Customers and Third Sector.

DIRECT FUNDING

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

• Direct funding up by €0.4bn vs. 01/01/18 and substantially stable in Q2 (-€0.1bn)
• Positive dynamic of C/A and sight deposits (+5.2% vs. 01/01/18 and +4.0% in Q2), now representing 76% of Direct funding (up from 68% as at 30/06/17), also benefitting from retail bond maturities
• Decrease in more expensive components (bonds -7.6% vs. 01/01/18 and -1.9% in Q2), with no impact on total direct funding

Notes:

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 (€5.8bn at June 2018, basically transactions with Cassa di Compensazione e Garanzia).

Data include the volumes of the custodian banking activity, which is going to be sold in Q3 2018.

BOND MATURITIES

The Group will maintain a robust funding structure and a balanced ALM profile, while further optimizing the cost of funding and developing AUM

Retail bond maturities

Retail maturities will continue to sustain the growth of Deposits and AUM, supporting both NII and Commissions

Institutional bond maturities

Manageable amount of institutional bond maturities, considering both the issuance capacity of the Group and the strong liquidity position (~€19bn unencumbered assets)

Successful new issuance activity on wholesale markets:

• o Covered Bond issues of €750m in January and €500m in July 2018
• o Senior Bond issue of €500m in April 2018

Average spread of bonds maturing until 2020: ~2.6%

STRONG LIQUIDITY POSITION

€18.6bn at the end of June 2018 (+€2.7bn in H1), composed almost entirely of Government

bonds and increased to >€20bn at the

Relevant amount of unencumbered assets, almost entirely composed of Government bonds

beginning of August

LCR >135%; NSFR >100% ¹

• Notes: Management accounting data, net of haircuts. Inclusive of assets received as collateral. Eligible assets as at 30/06/2018 are net of €1.3bn of Government securities lending on the market unsecured and callable within 35days
• 1. Monthly LCR as at June 2018; Monthly NSFR based on management data as at June 2018.

INDIRECT FUNDING

Strong performance of 'Funds and Sicav' Big impact from market performance, especially on AuC

Funds & Sicav

Bancassurance + Managed Accounts and Funds of Funds

• Good growth in 'Funds and Sicav' confirmed at €38.3bn (+5.8% y/y and +0.9% q/q), corresponding to 65% of total AuM (62% at YE 2017)
• Decrease registered in 'Bancassurance + Managed Accounts and Funds of Funds', being also temporarily impacted by the reorganisation of the bancassurance JV and by market pricing
• Excluding the market price effect registered in H1 2018, AuM decrease by €0.7bn YTD (-1.1%)

Assets under Custody¹

• In Q1 2018, AuC registered the outflow of one big institutional client (€4.8bn as at 31/12/2017), with negligible margin contribution.
• On a like-for-like basis² and excluding the market pricing effect registered in H1 2018, AuC grew by 0.2bn YTD (+0.6%)

Note: 1. AuC net of capital-protected certificates , as they have been regrouped under Direct Funding (see slide 27).

1. Excluding the effect of the extraordinary €4.8bn outflow.

TOTAL CORE FUNDING: GROWTH DESPITE MARKET TURMOIL

Notes:

1. AUC excludes Capital-protected Certificates and, as from 01/01/2018, excludes also €4.8bn of volumes related to one big-Ticket position of an institutional client who left our Group in Q1 2018. See slide 30 for more details.

SECURITIES PORTFOLIO

Prudent diversification, support NII and solid liquidity level

	Analysis of the Securities Portfolio				01/01/18	Chg. vs.	Chg. vs. 31/03/18
Nominal amount including short positions down to	€ bn	30/06/18	31/03/18	01/01/18	Value	%	Value	%
€17.7bn, o/w €1.2bn	Debt securities	36,1	32,0	30,3	5,8	19,2%	4,1	12,8%
mainly short term trading positions –	- o/w Total Govies	30,4	26,3	25,3	5,1	20,3%	4,2	15,9%
average maturity less	- o/w: Italian Govies	18,9	19,0	20,8	-1,8	-8,8%	-0,1	-0,5%
than 12 months – in the portfolio of the investment bank	Equity securities and Open-end funds & Private equity	2,4	2,0	2,2	0,2	10,1%	0,3	16,0%
	TOTAL	38,5	34,0	32,4	6,0	18,6%	4,4	13,0%

• Increased diversification of the government bond portfolio:
• Italian Govies: -€1.8bn vs. 01/01/18 (-€7.7bn vs. YE 2016)
• Non-Italian Govies at 38% of total: primarily France (14%), USA (9%), Germany (8%), followed by Spain (6%)
• Italian Govies: 49% of total securities portfolio (vs 64% as at end-2017); 44% in HTCS, 47% in HTC and 8% in FVTPL
• Italian Govies in HTCS: -€0.8bn in Q2, at 56% of total Govies in HTCS (vs. 71% in as at 31/03/2018 and 99% at YE 2016), with a modified duration of ~3.45 years¹
• Gross HTCS reserve on debt securities at about -€200m, impacted mainly by the worsening of the spread of Italian Govies vs. about +€220m as at March 2018 and +€165m as at Dec. 2017.

Declining weight of Italian Govies on Total Govies in HTCS

Agenda

1.	Derisking & Strategy Update	4
2.	Profitability Highlights	13
3.	Balance Sheet and Liquidity Highlights	25
4.	Credit Quality	33
5.	Capital Position	40
6.	Conclusions	43

Annexes 45

NPL STOCK REDUCTION PROGRESSING WELL

Net NPLs reduced by more than €8bn vs. the Strategic Plan starting point: almost halved since then, with net Bad Loans more than halved

Net NPLs ¹

• Net NPL down by €2.1bn vs. 01/01/2018, thanks to the Exodus transaction, but also to UTPs reduction (-€0.5bn), confirming the good performance of NPL management and the normalization in asset quality trends 2018 Customer Loan data refer to Loans and advances to customers measured at Amortized Cost. 15.7% 13.0%
• Net NPL ratio at 8.9% and Net Bad Loan ratio at 3.4%, set to improve further after the completion of the revised derisking plan (remaining ~€3.5bn of €13bn)

Notes: 1. It is noted that, as at 01/01/2018, €0.2bn Net UTP loans were reclassified from Customer Loans measured at Amortized Cost to Other Financial Assets. The IFRS 9 FTA impact on net NPLs (specifically on Bad Loans) for new Impairment models has translated into a reduction of €1.2bn as at 01/01/2018.

Value % Value % Bad Loans -1,628 -31.1% -1,612 -30.9% UTP -465 -7.4% -257 -4.2% Past Due -9 -10.8% 5 7.4% TOTAL NPLs -2,102 -18.1% -1,865 -16.4% Chg. vs. CHANGE 01/01/18 €/m and % Chg. vs. 31/03/18

Evolution of Net NPL and Net Bad Loan ratios

1. Credit Quality 34

GOOD TREND IN NPL FLOWS CONFIRMED…

Inflows from UTP Loans to Bad Loans

• Good decrease in net flows to NPLs: -8.8% y/y
• Inflows from UTP Loans do Bad Loans down by 12.8% y/y, confirming the normalisation in asset quality trends

… AND EFFECTIVE WORKOUT ACTIVITY ON BAD LOANS

Delta GBV from Bad Loans Workout

In H12018, the recovery rate is materially higher than in H1 2017

The workout activities had only a very limited impact on the cost of credit

FOCUS ON BAD LOANS: DETAILED ANALYSIS

1. Report PWC "The Italian NPL market – What's next?", June 2018.

2. Collateral FV capped at nominal value.

FOCUS ON UTP LOANS: DETAILED ANALYSIS

UTP analysis

Breakdown of Net UTP Loans

		30/06/2018	01/01/2018	% Chg.
Total net UTP		5.8	6.3	-7.4%
o/w:	Restructured	2.6	2.6	-2.3%
	- Secured	1.6	1.6	-4.7%
	- Unsecured	1.0	1.0	1.7%
o/w:	Other UTP	3.2	3.6	-10.4%
	- Secured	2.7	3.1	-10.8%
	- Unsecured	0.5	0.5	-8.0%

• Solid level of coverage for the unsecured UTP: 47.0%
• Net Restructured loans (€2.6bn) account for 44.3% of total net UTP: they are essentially related to formalized underlying restructuring plans and procedures (mainly under Italian credit protection rules procedures)
• Net unsecured UTP other than Restructured loans are limited to €0.5bn

CONSERVATIVE COVERAGE LEVELS MAINTAINED

Coverage strengthened mainly thanks to the IFRS 9 FTA

• NPL coverage at 51.2% (+240bps vs. YE 2017), mainly leveraging on the IFRS 9 FTA on Bad Loans, which reach a coverage of 66.2% (+730bps vs. YE 2017), paving the way for the acceleration of the derisking plan
• The decrease in NPL coverage in Q2 reflects the strong reduction achieved in the Bad Loan category (55.0% of total gross NPLs as at 30/06/2018, down from 63.2% as at 31/03/2018), with a further increase registered in the coverage of UTP (+70bps q/q) and Past Due loans (+370bps q/q)

Notes:

2018 Customer Loan data refer to Loans and advances to customers measured at Amortized Cost.

The IFRS 9 FTA impact on NPLs coverage (specifically on Bad Loans) for new Impairment models has translated into an increase of NPL Adjustments of €1.2bn as at 01/01/2018.

Agenda

6.	Conclusions	43
5.	Capital Position	40
4.	Credit Quality	33
3.	Balance Sheet and Liquidity Highlights	25
2.	Profitability Highlights	13
1.	Derisking & Strategy Update	4

Annexes 45

CET1 RATIO: EVOLUTION DETAILS

Proforma CET 1 ratio at 13.5% phased-in and at 11.4% FL

	11.9% 11.9	11.5% 11.5	+18bps	-84bps	10.8% 10.9	+53bps	11.4% 11.4
CET 1 FL
	31/12/2017	31/03/2018	Transfer of the insurance	Variation of gross HTCS	30/06/2018 STATED	Capital Management	30/06/2018 PROFORMA
	RWA: €75.8bn	RWA: €65.7bn	reserves mgmt. + Q2 performance	reserves and other related impact1	RWA: €66.6bn	Actions already signed and to be finalised	RWA: €65.6bn
						in Q3 2018:
CET 1 phased-in	11.9%	13.5%			12.9%	 SALE OF CUSTODIAN BANK  GACS ON SENIOR	13.5%
	01/01/2018	STATED			STATED	NOTES OF THE EXODUS TRANSACTION	PROFORMA

• Satisfactory capital position, with Proforma CET 1 ratio FL at 11.4%, notwithstanding the full impact of the IFRS 9 FTA and the recent financial market turmoil (impacting the HTCS reserves), benefitting from a series of capital management actions
• Temporary negative impact from the change in value of the HTCS reserve, resulting from the sovereign spread crisis (-84bps in Q2) 1
• Proforma CET 1 phased-in at 13.5% (Stated at 12.9%), benefitting from the 5-year phasing of the IFRS 9 impact

VARIATION IMPACT OF HTCS RESERVES

€ m	Q2 2018 (absolute values)	Q2 2018 (in bps)
Variation of HTCS reserves gross of tax	-489.8	-72 bps
of which (main elements): - Government bonds	-370.5	-54 bps
- Other bonds	-63.6	- 9 bps
- Anima equity investment	-35.2	- 5 bps
Tax effects deriving from the recognition of new DTA	147.4	+22 bps
Variation of HTCS reserves net of tax	-324.4	-50 bps	Theoretical impact not considering the CRR threshold (17.65% of CET1 capital FL), which limits the aggregate amount of DTA and investments in financial institutions
DTA to be deducted from CET1 as exceeding the threshold	-147.4	- 22 bps	The aggregate amount of DTA and investments in financial institutions was above the indicated threshold already before the variation of HTCS reserves. As a consequence, new DTAs recognized in the balance sheet as a result of the variation in the HTCS reserves do not allow to reduce the negative impact on CET1 capital
Lowering of the threshold	-86.5	-12 bps	Moreover, the negative variation of the HTCS reserves gives rise to a reduction in the threshold itself, given that the latter is calculated on the CET1 capital
TOTAL IMPACT AT CET 1 FL	-576.3	-84bps	including the negative variation of the HTCS reserves

Agenda

6.	Conclusions	43
5.	Capital Position	40
4.	Credit Quality	33
3.	Balance Sheet and Liquidity Highlights	25
2.	Profitability Highlights	13
1.	Derisking & Strategy Update	4

Annexes 45

CONCLUSIONS

Integration/rationalisation/simplification:

• Effective achievement delivered at a fast pace in all key areas (IT, business integration, new commercial model, streamlining)
• New goals set for the further strengthening of operational effectiveness (e.g. merger of BPM S.p.A. into the parent bank in Q3 2018; 214 additional branch closures in H2 2018 within a digital and omnichannel transformation approach)

Derisking:

• Net Bad Loan ratio at 3.4% as at 30/06/2018 (vs. original Strategic Plan target of 4.2% for YE 2019)
• Cumulative Bad Loan disposals of ~€9.5bn already achieved ahead of schedule: 73% of target (raised to €13bn)
• Additional remaining disposals of at least ~€3.5bn (with shortlist of three bidding consortia)

Sound balance sheet strategy:

• Diversification of the financial portfolio (share of Italian govies down to 56% of total govies classified in HTCS)
• Enhanced low-cost funding strategy (C/A & sight deposits up at 76% of total direct customer funds)
• Satisfactory capital position: CET 1 proforma ratios at 13.5% phased-in and at 11.4% FL (notwithstanding the significant negative impact from the variation of HTCS reserves in Q2 2018)

Strong delivery in cost efficiency:

• Adjusted Operating Costs: -4.6% y/y, leveraging on the achievement of higher cost synergies: new target of €400m expected to be achieved fully from 2019
• Headcount reduction of 2,282 already achieved since the starting point of the Strategic Plan (more than 9% of the total), with additional exits of 314 to be achieved in Dec. 2018, via the Solidarity Fund

Building a new profile in terms of competitive strength, with a sound profile in terms of balance sheet, risk and capital, with significant room to strengthen the Group's underlying core profitability.

Agenda

Annexes

ANNEXES RECLASSIFIED BALANCE SHEET AS AT 30/06/2018

	A	B	C	MEMO	Chg. A/C		Chg. A/B
Reclassified assets (€ m)	30/06/2018	31/03/2018	01/01/2018 restated	31/12/2017 (IAS39)	Value	%	Value	%
Cash and cash equivalents	796	830	977	977	-180	-18.5%	-33	-4.0%
Loans and advances measured at AC	112,041	111,839	111,045	112,682	996	0.9%	202	0.2%
- Loans and advances to banks	5,310	5,670	4,937	4,939	373	7.6%	-360	-6.4%
- Loans and advances to customers (*)	106,731	106,168	106,108	107,743	623	0.6%	563	0.5%
Other financial assets	41,049	36,280	34,885	34,533	6,164	17.7%	4,768	13.1%
- Assets measured at FV through PL	7,977	6,251	6,417	5,185	1,560	24.3%	1,726	27.6%
- Assets measured at FV through OCI	19,018	16,712	16,750	17,129	2,268	13.5%	2,306	13.8%
- Assets measured at AC	14,054	13,317	11,718	12,220	2,336	19.9%	736	5.5%
Equity investments	1,355	1,369	1,257	1,349	98	7.8%	-14	-1.0%
Property and equipment	2,733	2,756	2,735	2,735	-2	-0.1%	-22	-0.8%
Intangible assets	1,295	1,304	1,297	1,297	-2	-0.2%	-9	-0.7%
Tax assets	4,904	4,852	4,897	4,520	6	0.1%	51	1.1%
Non-current assets held for sale and discont. operations	45	5	106	106	-61	-57.7%	40	859.0%
Other assets	2,811	3,018	3,007	3,007	-196	-6.5%	-208	-6.9%
Total	167,029	162,253	160,206	161,207	6,823	4.3%	4,776	2.9%
	A	B	C	MEMO	Chg. A/C		Chg. A/B
Reclassified liabilities (€ m)	30/06/2018	31/03/2018	01/01/2018 restated	31/12/2017 (IAS39)	Value	%	Value	%
Due to banks	31,551	29,555	27,199	27,199	4,351	16.0%	1,995	6.8%
Direct Funding	109,718	107,056	107,525	107,510	2,193	2.0%	2,662	2.5%
- Deposits from customers (**)	91,872	88,683	87,848	87,848	4,024	4.6%	3,189	3.6%
- Debt securities and financial liabilities desig. at FV	17,846	18,373	19,677	19,662	-1,831	-9.3%	-527	-2.9%
Other financial liabilities designated at FV	8,964	8,414	8,704	8,708	260	3.0%	550	6.5%
Liability provisions	1,532	1,563	1,617	1,580	-85	-5.3%	-31	-2.0%
Tax liabilities	606	663	692	669	-85	-12.4%	-57	-8.6%
Liabilities associated with assets held for sale	0	0	0	0	0	-100.0%	0	-100.0%
Other liabilities	3,771	3,872	3,576	3,576	195	5.5%	-101	-2.6%
Minority interests	53	55	58	63	-5	-8.8%	-2	-4.3%
Shareholders' equity	10,834	11,074	10,835	11,900	-1	0.0%	-240	-2.2%

* "Customer loans" include Exodus Senior Notes.

** "Deposits from customers" include also Custodian Bank, which is going to be disposed.

ANNEXES RECLASSIFIED BALANCE SHEET AS AT 01/01/2018 (IFRS 9) VS. 31/12/2017 (IAS 39)

Reconciliation statement between balances at 31.12.2017 and balances at 01.01.2018 restated in compliance with IFRS 9 and IFRS 15

			FTA IFRS 9
(€/000)	31/12/2017	Classification (a)	Measurement impacts (b)	ECL impacts (c)	FTA IFRS 9 impacts	FTA IFRS 15 impact	01/01/2018 Restated
Cash and cash equivalents	976,686				-		976,686
Financial assets at amortised cost	112,681,902	-314,696	-	-1,322,458	-1,637,154		111,044,748
- Due from banks	4,939,223			-2,716	-2,716		4,936,507
- Customer loans	107,742,679	-314,696		-1,319,742	-1,634,438		106,108,241
Financial assets and hedging derivatives	34,533,172	314,696	50,405	-13,475	351,626		34,884,798
- Financial assets designated at FV through P&L	5,184,586	1,251,406	-18,909		1,232,497		6,417,083
- Financial assets designated at FV through other comprehensive income	17,128,622	-430,150	51,600		-378,550		16,750,072
- Financial assets at amortised cost	12,219,964	-506,560	17,714	-13,475	-502,321		11,717,643
Equity investments	1,349,191		-92,348		-92,348		1,256,843
Property and equipment	2,735,182				-		2,735,182
Intangible assets	1,297,160				-		1,297,160
Tax assets	4,520,189		923	370,675	371,598	5,610	4,897,397
Non-current assets held for sale and discontinued operations	106,121				-		106,121
Other assets	3,007,162				-		3,007,162
Total ASSETS	161,206,765	-	-41,020	-965,258	-1,006,278	5,610	160,206,097
Due to banks	27,199,304				-		27,199,304
Direct funding	107,509,849		15,254		15,254		107,525,103
- Due to customers	87,848,146				-		87,848,146
- Debt securities issued and financial liabilities designated at fair value	19,661,703		15,254		15,254		19,676,957
Other financial liabilities designated at fair value	8,707,966		-3,618		-3,618		8,704,348
Liability provisions	1,580,461			16,451	16,451	20,400	1,617,312
Tax liabilities	669,494		21,037	1,192	22,229		691,723
Liabilities associated with assets held for sale	35				-		35
Other liabilities	3,576,116				-		3,576,116
Total LIABILITIES	149,243,225	-	32,673	17,643	50,316	20,400	149,313,941
Minority interests	63,310			-5,743	-5,743		57,567
Shareholders' equity	11,900,230	-	-73,693	-977,158	-1,050,851	-14,790	10,834,589
CONSOLIDATED SHAREHOLDERS' EQUITY	11,963,540	-	-73,693	-982,901	-1,056,594	-14,790	10,892,156

a) Reclassification of the IAS 39 balances according the new items of the financial assets and liabilities.

b) IFRS 9 FTA impacts from the new measurement criteria of the financial assets and liabilities (excluding ECL).

c) IFRS 9 FTA impacts from the new Expected Credit Loss (ECL) model

ANNEXES IFRS 9 FTA FINAL IMPACT: OPPORTUNITY TO ACCELERATE DERISKING ON BAD LOANS & STRENGTHEN FUTURE PROFITABILITY

IFRS 9 First Time Application (FTA) impact: -€1,406m pre-tax (€1,057m post-tax), mainly due to the application of the new impairment model as detailed below:

- application of	new impairment	model to non-performing exposures:	-€1,246 m
------------------------	-------------------	---------------------------------------------	--------------

• - application of new impairment model to performing exposures: -€107m
• - application of new classification and measurement rules: +€39m - application of IFRS 9 by associates: -€92m
• The new FTA impairment model to non-performing exposures has been applied exclusively on bad loans cluster coherent with the accounting rules

The resulting impact on the fully phased CET1 ratio as of 1 January 2018 is -182 bps

The Group has adopted the transitional arrangements to phase-in the IFRS 9 FTA impact in five years (5% for 2018)

IFRS 9 FTA provided a good opportunity to further increase the Bad Loan coverage in a meaningful way, thereby allowing the Group to:

• Accelerate the path of derisking: higher recovery rates and more disposal opportunities (disposal target increased from €8bn to €13bn)
• Pave the way for a normalisation of the cost of risk, with positive implications for the bottom line result

ANNEXES QUARTERLY ANALYSIS OF STATED RECLASSIFIED P&L Including PPA line-by-line

Due to the application of the IFRS9 principle, 2018 figures are only partially comparable with 2017

Reclassified income statement	Q2 2018	Q1 2018	Q4 2017		Q3 2017	Q2 2017	Q1 2017
(in euro million)	(IFRS 9)	(IFRS 9)	(IAS 39)		(IAS 39)	(IAS 39)	(IAS 39)
Net interest income	585.0	595.1		528.8	524.9	511.1	548.6
Income (loss) from investments in associates carried at
equity	33.4	42.6		45.2	38.9	40.4	41.6
Net interest, dividend and similar income	618.4	637.7		573.9	563.9	551.5	590.2
Net fee and commission income	451.0	476.5		472.1	458.9	503.6	515.8
Other net operating income	130.0	24.2		24.7	29.4	14.4	30.3
Net financial result	80.2	29.3		41.9	13.0	63.3	36.9
Other operating income	661.2	530.0		538.7	501.3	581.3	582.9
Total income	1279.6	1167.7		1112.7	1065.1	1132.8	1173.1
Personnel expenses	-437.1	-442.1		-420.8	-450.6	-456.7	-456.7
Other administrative expenses	-203.1	-211.5		-204.7	-236.3	-233.1	-198.3
Amortization and depreciation	-49.0	-47.9		-95.5	-62.2	-56.4	-52.9
Operating costs	-689.2	-701.5		-721.0	-749.1	-746.2	-707.9
Profit (loss) from operations	590.4	466.2		391.7	316.1	386.6	465.2
Net adjustments on loans to customers	-360.2	-326.2		-673.1	-340.8	-354.5	-292.5
Net adjustments on other assets	-1.6	2.2		-12.7	-48.3	-70.8	-8.4
Net provisions for risks and charges	-20.7	-25.0		-9.2	4.6	-9.6	0.5
Profit (loss) on the disposal of equity and other investments	-1.1	179.7		12.1	0.3	-3.8	17.1
Income (loss) before tax from continuing operations	206.8	296.9		-291.3	-68.1	-52.1	182.0
Tax on income from continuing operations	-61.3	-25.9		101.8	34.8	1.1	-44.9
Systemic charges after tax	-18.4	-49.0		-6.2	-26.1	0.0	-45.0
Income (loss) after tax from discontinued operations	0.0	0.0		700.0	16.5	25.8	20.0
Income (loss) attributable to minority interests	2.2	1.4		0.9	1.4	4.3	3.1
Net income (loss) for the period excluding Badwill &	129.3	223.3		505.1	-41.5	-21.0	115.2
Impairment of goodwill and client relationship

ANNEXES QUARTERLY ANALYSIS OF STATED RECLASSIFIED P&L Excluding PPA line-by-line

Due to the application of the IFRS9 principle, 2018 figures are only partially comparable with 2017

Reclassified income statement	Q2 2018	Q1 2018	Q4 2017	Q3 2017	Q2 2017	Q1 2017
(in euro million)	(IFRS 9)	(IFRS 9)	(IAS 39)	(IAS 39)	(IAS 39)	(IAS 39)
Net interest income	541.7	536.0	527.7	514.9	505.2	534.5
Income (loss) from investments in associates carried at equity	33.4	42.6	45.2	38.9	40.4	41.6
Net interest, dividend and similar income	575.1	578.6	572.8	553.8	545.6	576.1
Net fee and commission income	451.0	476.5	472.1	458.9	503.6	515.8
Other net operating income	140.5	34.6	36.4	41.0	25.6	42.2
Net financial result	80.2	29.3	41.9	13.0	63.3	36.9
Other operating income	671.7	540.4	550.4	512.9	592.5	594.8
Total income	1246.8	1119.0	1123.2	1066.8	1138.1	1170.9
Personnel expenses	-437.1	-442.1	-420.8	-450.6	-456.7	-456.7
Other administrative expenses	-203.1	-279.5	-204.7	-236.3	-233.1	-198.3
Amortization and depreciation	-46.1	-45.1	-91.7	-59.0	-53.3	-49.7
Operating costs	-686.3	-766.6	-717.2	-745.9	-743.1	-704.7
Profit (loss) from operations	560.5	352.4	406.0	320.8	395.0	466.2
Net adjustments on loans to customers	-360.2	-326.4	-735.8	-382.0	-403.8	-336.6
Net adjustments on other assets	-1.6	2.2	-12.7	-48.3	-70.8	-8.4
Net provisions for risks and charges	-20.7	-25.0	-9.2	4.6	-9.6	0.5
Profit (loss) on the disposal of equity and other investments	-1.1	179.7	12.2	0.2	-2.8	17.1
Income (loss) before tax from continuing operations	176.9	183.0	-339.6	-104.7	-92.1	138.9
Tax on income from continuing operations	-51.4	8.3	117.9	47.0	14.4	-30.6
Systemic charges after tax	-18.4		-6.2	-26.1	0.0	-45.0
Income (loss) after tax from discontinued operations	0.0	0.0	700.0	16.5	25.8	20.0
Income (loss) attributable to minority interests	2.2	1.4	0.9	1.4	4.3	3.1
Net income (loss) for the period excluding PPA, Badwill &	109.3	192.6	472.9	-65.8	-47.7	86.4
Impairment of goodwill and client relationship
Purchase Price Allocation (PPA) after tax	19.9	30.6	32.2	24.3	26.7	28.8
Net income excluding Badwill & Impairment of goodwill and
client relationship	129.2	223.2	505.1	-41.5	-21.0	115.2

ANNEXES H1 2018 RECLASSIFIED P&L – IFRS 9 AND PPA IMPACTS

	A	B	C	(B+C)	A-(B+C)	D	A-(B+C+D)
	H1 2018		o/w IFRS 9		H1 2018	o/w	H1 2018
Reclassified income statement (in euro million)	Stated	PPA Bad loans	Reclassification net impact		pre-IFRS 9	PPA	pre-FRS9 and without PPA line by line
Net interest income	1,180.1	78.1	50.9	128.9	1,051.2	24.3	1,026.8
Income (loss) from investments in associates carried at equity	76.0				76.0	0.0	76.0
Net interest, dividend and similar income	1,256.1	78.1	50.9	128.9	1,127.2	24.3	1,102.8
Net fee and commission income	927.5				927.5	0.0	927.5
Other net operating income	154.2	0.0			154.2	-21.0	175.1
Net financial result	109.5				109.5	0.0	109.5
Other operating income	1,191.2	0.0	0.0	0.0	1,191.2	-21.0	1,212.1
Total income	2,447.3	78.1	50.9	128.9	2,318.4	3.4	2,315.0
Personnel expenses	-879.1				-879.1	0.0	-879.1
Other administrative expenses	-414.6				-414.6	0.0	-414.6
Amortization and depreciation	-96.9	0.0			-96.9	-5.8	-91.2
Operating costs	-1,390.7	0.0	0.0	0.0	-1,390.7	-5.8	-1,384.9
Profit (loss) from operations	1,056.6	78.1	50.9	128.9	927.7	-2.4	930.1
Net adjustments on loans to customers	-686.5	-78.1	-50.9	-128.9	-557.5	78.1	-635.6
Net adjustments on other assets	0.6				0.6	0.0	0.6
Net provisions for risks and charges	-45.7				-45.7	0.0	-45.7
Profit (loss) on the disposal of equity and other investments	178.6				178.6	0.0	178.6
Income (loss) before tax from continuing operations	503.7	0.0	0.0	0.0	503.7	75.7	428.0
Tax on income from continuing operations	-87.3	0.0			-87.3	-25.2	-62.1
Systemic charges after tax	-67.4				-67.4	0.0	-67.4
Income (loss) after tax from discontinued operations	0.0				0.0	0.0	0.0
Income (loss) attributable to minority interests	3.6				3.6	0.0	3.6
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	352.6	0.0	0.0	0.0	352.6	50.5	302.1

352.6 post PPA

ANNEXES Q2 2018 RECLASSIFIED P&L – IFRS 9 AND PPA IMPACTS

	A	B	C	(B+C)	A-(B+C)	D	A-(B+C+D)
	Q2 2018		o/w IFRS 9		Q2 2018	o/w	Q2 2018
Reclassified income statement (in euro million)	Stated	PPA Bad loans	Reclassification net impact		Pre-IFRS9	PPA	pre-IFRS9 and without PPA line by line
Net interest income	585.0	39.8	23.4	63.2	521.8	3.6	518.3
Income (loss) from investments in associates carried at equity	33.4				33.4	0.0	33.4
Net interest, dividend and similar income	618.4	39.8	23.4	63.2	555.2	3.6	551.7
Net fee and commission income	451.0				451.0	0.0	451.0
Other net operating income	130.0				130.0	-10.5	140.5
Net financial result	80.2				80.2	0.0	80.2
Other operating income	661.2	0.0	0.0	0.0	661.2	-10.5	671.7
Total income	1279.6	39.8	23.4	63.2	1216.4	-6.9	1223.4
Personnel expenses	-437.1				-437.1	0.0	-437.1
Other administrative expenses	-203.1				-203.1	0.0	-203.1
Amortization and depreciation	-49.0				-49.0	-2.9	-46.1
Operating costs	-689.2	0.0	0.0	0.0	-689.2	-2.9	-686.3
Profit (loss) from operations	590.4	39.8	23.4	63.2	527.3	-9.8	537.1
Net adjustments on loans to customers	-360.2	-39.8	-23.4	-63.2	-297.0	39.6	-336.7
Net adjustments on other assets	-1.6				-1.6	0.0	-1.6
Net provisions for risks and charges	-20.7				-20.7	0.0	-20.7
Profit (loss) on the disposal of equity and other investments	-1.1				-1.1	0.0	-1.1
Income (loss) before tax from continuing operations	206.8	0.0	0.0	0.0	206.8	29.8	177.0
Tax on income from continuing operations	-61.3				-61.3	-9.9	-51.4
Systemic charges after tax	-18.4				-18.4	0.0	-18.4
Income (loss) after tax from discontinued operations	0.0				0.0	0.0	0.0
Income (loss) attributable to minority interests	2.2				2.2	0.0	2.2
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	129.3	0.0	0.0	0.0	129.3	19.8	109.4

129.3 post PPA

ANNEXES IFRS9 RECLASSIFICATION OF ITEMS IN H1 2018

ANNEXES H1 2018 RECLASSIFIED P&L - NON RECURRING ITEMS

Adjusted figures indicated in this slide simply exclude one-off items from stated figures, while they include the IFRS9 and PPA effects line-by-line

H1 2018	H1 2018		Non-recurring items and
Stated	Adjusted		extraordinary systemic charges
1,180.1	1,180.1	0.0
76.0	76.0	0.0
1,256.1	1,256.1	0.0
927.5	927.5	0.0
154.2	40.6	113.6	Transfer of insurance reserves to Anim a (in Q2 2018)
109.5	109.5	0.0
1,191.2	1,077.6	113.6
2,447.3	2,333.7	113.6
-879.1	-879.1	0.0
-414.6	-409.4	-5.1	Integration costs (in Q1 and Q2 2018)
-96.9	-95.3	-1.7	Adjustm ents on Software writedowns (in Q2 2018)
-1,390.7	-1,383.8	-6.8
1,056.6	949.8	106.8
-686.5	-686.5	0.0
0.6	0.6	0.0
-45.7	-45.7	0.0
178.6	0.0	178.6	Disposal of stake in Avipop and Popolare Vita (in Q1 2018) and BPM Custodian Bank( in Q2 2018)
503.7	218.3	285.3
-87.3	-58.4	-28.9	Im pact linked to fiscal effects on non-recurring item s
-67.4	-49.0	-18.4	Contribution to Italian resolution fund
0.0	0.0	0.0
3.6	3.4	0.2
352.6	114.3	238.3
			One- off

ANNEXES CUSTOMER LOAN ANALYSIS

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

Breakdown of net loans by customer segment at 30/06/2018

Breakdown of net loans by geographical area at 30/06/2018

• 28.1% of customer loans in relation to the Household segment.
• Corporates¹ , excluding Large Corporates, account for 62.4% of the loan book and the average loan ticket is small, coming in at about €260K.
• Roughly 70% of the portfolio is concentrated in the wealthiest areas of the Country.

Note:

This analysis of Total Net Customer Loans excludes the Exodus Senior Notes.

1. Non-financial companies (mid-corporate and small business) and financial companies. Includes also €7.1bn of Repos, mainly with Cassa di Compensazione e Garanzia.

ANNEXES FOCUS ON PERFORMING CUSTOMER LOANS

Net Performing Loan breakdown by Product as at 30/06/2018

Net Performing Loan breakdown by Product as at 31/03/2018

Core performing customer loans at €87.3mld, +1.2% in Q2 2018.

ANNEXES CREDIT QUALITY DETAILS

€ m

		30/06/2018 (IFRS 9)
	Gross exposure	Adjustments	Coverage	Net exposure
Bad Loans	10,691	7,077	66.2%	3,613
Unlikely to pay	8,659	2,851	32.9%	5,808
Past Due	89	17	19.0%	72
Non-performing Loans	19,438	9,945	51.2%	9,493
Performing Loans	97,635	397	0.4%	97,238
Total Customer Loans	117,073	10,343	8.8%	106,731

		31/03/2018 (IFRS 9)
	Gross exposure	Adjustments	Coverage	Net exposure
Bad Loans	15,538	10,312	66.4%	5,226
Unlikely to pay	8,950	2,885	32.2%	6,065
Past Due	79	12	15.3%	67
Non-performing Loans	24,567	13,209	53.8%	11,358
Performing Loans	95,199	388	0.4%	94,810
Total Customer Loans	119,766	13,597	11.4%	106,168

		01/01/2018 (IFRS 9) restated
	Gross exposure	Adjustments	Coverage	Net exposure
Bad Loans	15,794	10,552	66.8%	5,242
Unlikely to pay	9,223	2,950	32.0%	6,273
Past Due	95	15	15.7%	80
Non-performing Loans	25,112	13,517	53.8%	11,595
Performing Loans	94,889	376	0.4%	94,513
Total Customer Loans	120,002	13,893	11.6%	106,108

	31/12/2017 (IAS 39) - EXCLUDING CUSTOMER DEBT SECURITIES
	Gross exposure	Adjustments	Coverage	Net exposure
Bad Loans	15,794	9,306	58.9%	6,488
Unlikely to pay	9,546	3,087	32.3%	6,459
Past Due	95	15	15.7%	80
Non-performing Loans	25,435	12,408	48.8%	13,027
Performing Loans	95,018	303	0.3%	94,716
Total Customer Loans	120,453	12,710	10.6%	107,743

Notes: 2018 data refer to Loans and advances to customers measured at Amortized Cost. Starting from 30/06/2018, Performing loans include also the Exodus Senior Notes. 2017 data restated for the exclusion of Customer Debt Securities.

ANNEXES CAPITAL POSITION IN DETAIL (STATED)

PHASED IN CAPITAL POSITION (€/m and %)	30/06/2018	31/03/2018
CET 1 Capital	8,701	8,917
T1 Capital Total Capital	8,835 10,611	9,245 11,141
RWA	67,312	66,136
CET 1 Ratio	12.93%	13.48%
T1 Ratio	13.13%	13.98%

RWA BREAKDOWN (€/bn)	30/06/2018	31/03/2018
CREDIT & COUNTERPARTY RISK of which: Standard	58.7 28.0	58.4 29.0
MARKET RISK	2.6	1.9
OPERATIONAL RISK	5.8	5.6
CVA	0.2	0.2 0.2
TOTAL	67.3	66.1

FULLY PHASED CAPITAL POSITION (€/m and %)	30/06/2018	31/03/2018
CET 1 Capital T1 Capital Total Capital	7,213 7,217 8,966	7,542 7,546 9,393
RWA	66,576	65,662
CET 1 Ratio	10.83%	11.49%
T1 Ratio	10.84%	11.49%
Total Capital Ratio	13.47%	14.31%

RWA BREAKDOWN (€/bn)	30/06/2018	31/03/2018
CREDIT & COUNTERPARTY RISK of which: Standard	58.0 28.0	58.0 29.0
MARKET RISK	2.6	1.9
OPERATIONAL RISK	5.8	5.6
CVA	0.2	0.2
TOTAL	66.6	65.7

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)