Banco BPM SpA

Investor Presentation • Aug 6, 2019

H1 2019 Group Results Presentation

6 August 2019

DISCLAIMER

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

The distribution of this presentation in other jurisdictions may be restricted by law or regulation. Accordingly, persons who come into possession of this document should inform themselves of, and observe, these restrictions. To the fullest extent permitted by applicable law, Banco BPM and its subsidiaries disclaim any responsibility or liability for the violation of such restrictions by any person.

This presentation does not constitute or form part of, and should not be construed as, any offer or invitation to subscribe for, underwrite or otherwise acquire, any securities of Banco BPM or any member of its group or any advice or recommendation with respect to such securities, nor should it or any part of it form the basis of, or be relied on in connection with, any contract to purchase or subscribe for any securities in Banco BPM or any member of its group, or investment decision or any commitment whatsoever. This presentation and the information contained herein does not constitute an offer of securities in the United States or to any U.S. person (as defined in Regulation S under the U.S. Securities Act of 1933 (the "Securities Act"), as amended), Canada, Australia, Japan or any other jurisdiction where such offer is unlawful.

The information contained in this presentation is for background purposes only and is subject to amendment, revision and updating without notice. Certain statements in this presentation are forward-looking statements about Banco BPM. Forward-looking statements are statements that are not historical facts. These statements include financial projections and estimates and their underlying assumptions, statements regarding plans, objectives and expectations with respect to future operations, products and services, and statements regarding future performance. Forward-looking statements are generally identified by the words "expects", "anticipates", "believes", "intends", "estimates" and similar expressions. By their nature, forward-looking statements involve a number of risks, uncertainties and assumptions which could cause actual results or events to differ materially from those expressed or implied by the forward-looking statements.

Banco BPM does not undertake any obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by applicable law. You should not place undue reliance on forward-looking statements, which speak only as of the date of this presentation. All subsequent written and oral forward-looking statements attributable to Banco BPM or persons acting on its behalf are expressly qualified in their entirety by this disclaimer.

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

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

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

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

METHODOLOGICAL NOTES

• The new accounting standard IFRS 16 on Leasing contracts became effective beginning on 1 January 2019 and therefore the P&L and balance sheet results of H1 2019 have been prepared in compliance with the new accounting standard. Banco BPM has chosen to carry out the first-time adoption (FTA) through the modified retrospective approach, which provides the option, established by IFRS 16, of recognizing the cumulative effect of the adoption of the standard at the date of first-time adoption and not restating the comparative information of the financial statements of first-time adoption of IFRS 16. As a result, the figures for 2019 will not be comparable with regard to the valuation of the rights of use, lease payable and related economic effects. For more information and the related impacts, please refer to the Methodological Notes included in the News Release regarding the Half Yearly 2019 consolidated results of Banco BPM.
• Starting from 30/06/2018, ordinary and extraordinary systemic charges related to SRF and DGS have been reclassified from Other Operating Expenses to a dedicated item "Systemic charges after tax". Q1 2018 P&L schemes have been reclassified accordingly.
• Starting from 30/06/2019, upfront fees related to the placement of Certificates have been reclassified from Net Financial Results to Net Fees & Commissions. The previous quarters (2018 and Q1 2019) have been reclassified accordingly.
• It is also reminded that, on 16 April 2019, Banco BPM accepted the binding offer submitted by Illimity Bank S.p.A. and regarding the sale of a portfolio of Leasing Bad Loans. More in detail, the disposal concerns a portfolio for a nominal value of about €650 million at the cut-off date of 30th June 2018, mainly composed of receivables deriving from the active and passive legal relationships related to leasing contracts classified as bad loans, together with the related agreements, legal relationships, immovable or movable assets and the underlying contracts. The closure of the operation is subject to precedent conditions that are customary for transactions of this kind, including the notarial certification for the transferability of the assets, and shall be executed in various phases, with the conclusion expected by mid-2020. Starting from Q2 2019, the loans subject to this transaction (€607m GBV and €156m NBV as at 30/06/2019) have been reclassified as discontinued operations according to the IFRS5 standard.
• On 28 June 2019, Banco BPM sold the Profamily captive business to Agos (the company subject to the disposal was renamed ProAgos S.p.A.). The non-captive business was demerged prior to this transaction through a spin-off operation in favour of a new company which keeps the name of ProFamily S.p.A. and which is 100% held by Banco BPM. Moreover, starting from Q2 2019, the assets and liabilities (mainly composed by customer loans for an amount of €1,352m) referred to this non-captive business have been classified as discontinued operations according to IFRS5 standard. In this presentation, in order to allow a proper comparison, the historic data of Customer Loans (2018 and 31/03/2019) have been adjusted excluding all ex-Profamily volumes (captive and non-captive). It is also noted that, with reference to P&L, the ProFamily contribution continues to be represented line-by-line, under the relevant P&L items.
• In this presentation, data relating to the capital position of the Group defined as "pro-forma" are also shown. Please note that they do not represent pro-forma figures according to Consob rules, as specified above, but they are simply adjusted data calculated applying to stated figures the estimated impacts of the events described.

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

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Agenda

1. Key H1 2019 Performance Highlights	4
2. Performance Details:	20
- Profitability	21
- Balance Sheet	31
- Funding and Liquidity	32
- Customer Loans and Focus on Credit Quality	36
- Capital Position	40

H1 2019 HIGHLIGHTS: FROM DERISKING TO PROFITABILITY (1/2)

Key Achievements at a Glance

Notes: 1. Commission growth post reclassification of upfront fees on Certificates (+6.9%q/q pre-reclassification). 2. Net of non-recurring items. See slide 22 for details. 3. Customer Loans as at 31/03/19 adjusted excluding Profamily volumes; see Methodological Notes for details. 4. Ratios as at 31/03/2019 are calculated excluding Profamily and are here indicated post the estimated impact at that date of L-ACE transaction (signed in April); re-including Profamily, the Gross NPE ratio came in at 9.9% (as indicated in the Q1 2019 Results Presentation) and the Texas Ratio at 69.7%.

H1 2019 HIGHLIGHTS: FROM DERISKING TO PROFITABILITY (2/2)

Key Achievements at a Glance

LIQUIDITY & FIN. ASSETS

CAPITAL POSITION

• Balanced financial position: well diversified bond portfolio, contributing to solid liquidity
• Good performance of reserves and strong unrealised gains¹

Key capital actions, announced and finalized, are included in stated ratios

PF ratios also include the deconsolidation of RWA related to L-ACE

FOCUS ON COMMERCIAL ACTIONS ONGOING COST CONTROL NORMALIZATION IN THE COST OF RISK OUTLOOK:

Notes: 1. Securities measured at FVOCI correspond to the HTCS portfolio; Securities measured at AC correspond to the HTC portfolio. 2. PF ratios only exclude the RWA related to L-ACE bad loans, while they still include the RWA as at 30/06/2019 related to Profamily non–captive loans (classified as discontinued operation as at 30/06/2019); excluding also this latter component, ceteris paribus, the CET 1 FL ratio would increase by an additional 19bps.

GROUP H1 2019 QUARTERLY PERFORMANCE

€ m	Q1 2019	Q2 2019	Chg. q/q	Comments
NII	505.2	514.8	1.9%	 Fees & Commissions: includes upfront fees for the placements of Certificates (previously
FEES & COMMISSIONS	434.5	453.7	4.4%	under NFR); the growth came in at 6.9% q/q pre-reclassification
"CORE REVENUES"	939.7	968.5	3.1%
TOTAL INCOME	1,063.4	1,020.1	-4.1%	 Total Income: Q1 includes €60m of positive impact from the Nexi stake
OPERATING COSTS	-670.5	-675.0	0.7%	 Operating costs: -1.2% q/q, excluding -€20.0m of one-off D&A in Q2 (vs. -€7.5m in Q1)
PROFIT FROM OPERATIONS	392.9	345.2	-12.1%	 Pre-tax profit: Q2 includes €332.2m of capital gains from the sale of Profamily Captive and
LLPs	-152.0	-197.7	30.1%	from the JV on the NPL platform (€326.2m post-tax)
PRE-TAX PROFIT	241.6	478.0	97.9%	 Net Income in Q2 also includes: • €21.0m one-off positive fiscal items
NET INCOME	150.5	442.6	194.1%	• -€15.2m extraordinary systemic charges
1 NET ADJUSTED INCOME	155.4	135.6	-12.8%	 Net adjusted income: Q1 includes €55m of positive post-tax impact from the Nexi stake

Note: 1. All non-recurring elements excluded from the stated Net Income are shown in detail in slide 22.

NET INTEREST INCOME: HIGHLIGHTS ON Q2 2019

CORE NII: EVOLUTION BREAKDOWN

• Resilient Core NII, thanks to a good combination of loan growth (average volumes) and lower cost of wholesale funding
• Asset spread down 3bps q/q reflecting the competitive environment, in particular on highly-rated customers and on ST lending, as well as the impact of the back-book amortisation with higher underlying spreads
• Y/Y Core NII down 1.4% (see slide 26 for details)

Note: 1. Other NII includes PPA as well as impacts from IFRS 9 and IFRS 16, see slide 26 for more details. 2. Non-Commercial Banking includes: financial activities, Hedging, interest on Bonds (Retail and Institutional) and other elements.

GROUP VOLUMES: CUSTOMER LOANS AND DIRECT FUNDING

Robust volume growth, confirming a solid client base and successful access to wholesale markets for direct funding

Notes: 1. Exclude GACS senior notes, REPOs and Leasing. 2. Restated excluding REPOs and including Capital Protected Certificates. 3. Include MLT Mortgages (Secured and Unsecured),Personal Loans, Pool, ST/MLT Structured Finance. Exclude Agos and Profamily volumes sold by the network (aggregate amount of €0.6bn in both H1 19 and H1 18), but not consolidated by the Group.

NET FEES & COMMISSIONS: HIGHLIGHTS ON Q2 2019

Resilient AUM & AUC running fees, thanks to the new commercial approach

AUM & AUC Upfront (management data of the commercial network)

Other Management & Advisory fees 2

	Q1 2019	Q2 2019	Chg.	% Chg.
Total Fees and commissions pre-reclassification	420.0	449.0	+29.0	+6.9%
Reclassification of distribution upfront for Certificates	14.5	4.6	-9.9	-68.1%
TOTAL FEES AND COMMISSIONS post-reclassification1	434.5	453.7	+19.2	+4.4%

Note: 1. Fees & Commissions include the restatement of the upfront components for the placements of Certificates (previously booked under NFR). 2. Include AUM & AUC running fees, distribution and maintenance of Non-life insurance & Third-party products, Advisory and Other.

AUM & AUC: RESILIENT SELLING ACTIVITY

• After the decline registered in quarterly AUM & AUC placements during 2018, H1 2019 shows a good recovery, especially in Q2, reaching €3.3bn (+15.6% q/q)
• Following the adoption of a new customer-based commercial approach in 2018, the Group has rebalanced the composition of Management & Advisory fees, registering a resilient contribution from the AUM & AUC upfront component

INDIRECT CUSTOMER FUNDING AT €89.1BN

• Managed Accounts and Funds of Funds
• Bancassurance
• Funds & Sicav
• Total Indirect Customer Funding at €89.1bn: +0.6% y/y, +2.8% YTD
• Good performance in Funds & Sicav: +2.7% y/y and +4.7% YTD
• Assets under Custody are stable in Q2, registering a growth of 4.4% y/y and of 4.6% YTD

Historic adjusted data exclude the volumes of the Custodian banking activity sold in September 2018 and other commercial adjustments. Management data of the commercial network.

Notes: 1. AuC data are net of capital-protected certificates, as they have been regrouped under Direct Funding (see slide 32).

Assets under Management

DEBT SECURITIES PORTFOLIO & LIQUIDITY POSITION

Increased diversification of securitites portfolio, keeping risk under control

Note: 1. Monthly LCR of June 2019. Q2 NSFR based on management data.

OPERATING COSTS: FURTHER STRONG CONTROL

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

DERISKING: MATERIAL AND ONGOING IMPROVEMENT IN RATIOS

Customer Loans as at 30/06/18, 31/12/18 and 31/03/19 are adjusted excluding Profamily volumes. Refer to Methodological Notes for details.

NPE as at 30/06/2019 exclude €607m of Leasing Bad Loans (€156m net book value) to be disposed with the L-ACE transaction (agreement signed in April 2019), as they have been reclassified under Discontinued Operations.

SIGNIFICANT IMPROVEMENT IN ALL ASSET QUALITY KPIs

Cost of Risk at 65bps, thanks to the solid trend in all key asset quality drivers

Note: 1. Customer Loans as at 31/12/18 and 31/03/19 are adjusted excluding Profamily volumes. Refer to the Methodological Notes for details. 2. CoR calculated including also loans classified at IFRS 5, for coherence with related LLPs

STRONG CAPITAL POSITION WITH KEY ANNOUNCED CAPITAL ACTIONS FINALIZED

• Strong capital position, already including the TRIM impact
• Optimized capital structure through €300m AT1 issue in April 2019

Note: 1. PF ratios only exclude the RWA related to L-ACE bad loans, while they still include the RWA as at 30/06/2019 related to Profamily non–captive loans (classified as discontinued operation as at 30/06/2019); excluding also this latter component, ceteris paribus, the CET 1 FL ratio would increase by an additional 19bps (+21bps Phased-in). 2. The TRIM impact would have been higher, but is partially offset by the removal of a market risk-related RWA add-on, for around 5bps.

Total Capital Ratio 12.4% 13.1% 14.5% 14.5%

RWA (€m) 64,034 63,942 64,971 64,769

CAPITAL OUTLOOK: CONFIDENCE IN FUTURE SCENARIOS

• New EU rules (CRD IV art. 500) confirming that massive NPL disposals will not materially impact LGD
• AIRB perimeter currently lower compared with competitors (45.2% vs. : pre-application in August related to Specialized Lending
• The new AIRB models validated by the ECB in 2018 had already incorporated most of the TRIM effects; the TRIM impact registered in , represents the final quantification based on latest available official information
• SME supporting factor allowing to sustain the real economy with a positive potential impacts on capital ratios (~20/30 bps, based on
• Significant room for a further increase in CET1 acting on nonstrategic participations in financial companies
• Stable return to profitability set to progressively "unleash" DTAs
• Additional potential buffers embedded in other assets (e.g. Real Estate assets and Debt Securities at AC)

VARIOUS POTENTIAL CAPITAL SOURCES ALLOW THE GROUP TO FACE THE CHALLENGES OF THE REGULATORY ENVIRONMENT WITH A SOLID LEVEL OF CONFIDENCE

Note: 1. RWA AIRB on total credit RWA as of 31/03/2019. Sample composed by UCG, ISP, MPS, UBI, BPER, CE, CREVAL. 2. See note 2 on the previous slide.

FY 2019 PERFORMANCE OUTLOOK IN COMPARISON WITH 2016/2019 STRATEGIC PLAN

	Outperforming plan targets on:	2019 Plan	Achieved
OVERDELIVERY ON:		Target	(as at 30/06/2019)
DERISKING 	• NPE stock (gross)	€23.2bn	€10.7bn
RESTRUCTURING 	Staff Reduction (#) •	-1,888	-3,037
	Branches (#) •	2,082	1,727
	Significantly different macro-scenario:	EPS ADJUSTED3 EXPECTED FOR FY 2019: >€0.3
REVENUES AFFECTED BY:  ADVERSE MARKET	Euribor3M •	+0.10%	-0.35%
CONDITIONS	• GDP	+1.0%	+0.0%1
CHANGE IN PERIMETER 	• BTP/Bund spr.	81bps	205bps2
	Capital strengthening through the rationalisation of the Group's structure, implying a reduction in the perimeter

Notes: 1. Source: ISTAT preliminary estimate July 31st 2019. 2. Average BTP-Bund spread since 1 January 2017. 3. Excluding non recurrent items. EPS Adjusted expected for FY 2019 is substantially aligned with market consensus.

Agenda

1. Key H1 2019 Performance Highlights 4

2. Performance Details:	20
- Profitability	21
- Balance Sheet	31
- Funding and Liquidity	32
- Customer Loans and Focus on Credit Quality	36
- Capital Position	40

RECLASSIFIED P&L: QUARTERLY EVOLUTION

Reclassified income statement	Q1 2018	Q2 2018	Q3 2018	Q4 2018	Q1 2019	Q2 2019
(in euro million)	Stated	Stated	Stated	Stated	Stated	Stated
Net interest income	595.1	585.0	557.8	554.7	505.2	514.8
Income (loss) from investments in associates carried at	42.6	33.4	32.8	50.7	36.8	32.6
equity
Net interest, dividend and similar income	637.7	618.4	590.6	605.4	541.9	547.5
Net fee and commission income	477.9	457.3	451.4	474.4	434.5	453.7
Other net operating income	24.2	130.0	214.5	21.1	14.6	8.3
Net financial result	27.9	73.9	46.8	-78.4	72.3	10.7
Other operating income	530.0	661.2	712.7	417.0	521.5	472.7
Total income	1,167.7	1,279.6	1,303.2	1,022.4	1,063.4	1,020.1
Personnel expenses	-442.1	-437.1	-431.5	-422.2	-425.9	-418.0
Other administrative expenses	-211.5	-203.1	-196.2	-205.7	-167.0	-163.1
Amortization and depreciation	-47.9	-49.0	-49.5	-97.1	-77.6	-93.8
Operating costs	-701.5	-689.2	-677.1	-725.0	-670.5	-675.0
Profit (loss) from operations	466.2	590.4	626.1	297.4	392.9	345.2
Net adjustments on loans to customers	-326.2	-360.2	-267.4	-987.3	-152.0	-197.7
Net adjustments on other financial assets	2.2	-1.6	-1.3	4.0	-4.0	4.0
Net provisions for risks and charges	-25.0	-20.7	-71.9	-227.8	4.4	-10.1
Profit (loss) on the disposal of equity and other	179.7	-1.1	-10.3	5.1	0.2	336.6
investments
Income (loss) before tax from continuing operations	296.9	206.8	275.2	-908.6	241.6	478.0
Tax on income from continuing operations	-25.9	-61.3	-72.3	322.4	-50.7	-23.4
Systemic charges after tax	-49.0	-18.4	-32.1	-0.7	-41.6	-15.2
Income (loss) after tax from discontinued operations	0.0	0.0	0.9	0.0	0.0	0.0
Income (loss) attributable to minority interests	1.4	2.2	0.3	5.8	1.2	3.2
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	223.3	129.3	171.9	-581.0	150.5	442.6

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

Q2 2019 ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement	Q2 2019	Q2 2019		Non-recurring items and
(in euro million)	Stated	Adjusted	One- off	extraordinary systemic charges
Net interest income	514.8	514.8	0.0
Income (loss) from investments in associates carried at equity	32.6	32.6	0.0
Net interest, dividend and similar income	547.5	547.5	0.0
Net fee and commission income	453.7	453.7	0.0
Other net operating income	8.3	8.3	0.0
Net financial result	10.7	10.7	0.0
Other operating income	472.7	472.7	0.0
Total income	1,020.1	1,020.1	0.0
Personnel expenses	-418.0	-418.0	0.0
Other administrative expenses	-163.1	-163.1	0.0
Amortization and depreciation	-93.8	-73.9	-20.0	Adjustm ents on tangible and intangible assets
Operating costs	-675.0	-655.0	-20.0
Profit (loss) from operations	345.2	365.2	-20.0
Net adjustments on loans to customers	-197.7	-197.7	0.0
Net adjustments on other assets	4.0	4.0	0.0
Net provisions for risks and charges	-10.1	5.2	-15.3	Adjustm ents on custom er conditions and other
Profit (loss) on the disposal of equity and other investments	336.6	0.0	336.6	Disposal of Profam ily, JV NPL platform , other
Income (loss) before tax from continuing operations	478.0	176.7	301.4
Tax on income from continuing operations	-23.4	-44.3	21.0	Extraordinary positive fiscal item s
Systemic charges after tax	-15.2	0.0	-15.2	Additional contribution to Italian resolution fund
Income (loss) attributable to minority interests	3.2	3.2	0.0
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	442.6	135.6	307.1

RECLASSIFIED P&L: ANNUAL COMPARISON

Reclassified income statement	H1 2018	H1 2019	Chg. Y/Y	Chg. Y/Y
(in euro million)	Stated	Stated		%
Net interest income	1,180.1	1,020.0	-160.1	-13.6%
Income (loss) from investments in associates carried at
equity	76.0	69.4	-6.6	-8.7%
Net interest, dividend and similar income	1,256.1	1,089.4	-166.7	-13.3%
Net fee and commission income	935.2	888.2	-47.0	-5.0%
Other net operating income	154.2	22.9	-131.3	-85.1%
Net financial result	101.8	83.0	-18.8	-18.4%
Other operating income	1,191.2	994.1	-197.0	-16.5%
Total income	2,447.3	2,083.5	-363.8	-14.9%
Personnel expenses	-879.1	-843.9	35.3	-4.0%
Other administrative expenses	-414.6	-330.2	84.4	-20.4%
Amortization and depreciation	-96.9	-171.4	-74.5	76.8%
Operating costs	-1,390.7	-1,345.5	45.2	-3.3%
Profit (loss) from operations	1,056.6	738.1	-318.5	-30.1%
Net adjustments on loans to customers	-686.5	-349.6	336.8	-49.1%
Net adjustments on other financial assets	0.6	0.0	-0.6	-96.1%
Net provisions for risks and charges	-45.7	-5.7	40.0	-87.6%
Profit (loss) on the disposal of equity and other	178.6	336.8	158.3	88.6%
investments
Income (loss) before tax from continuing operations	503.7	719.6	215.9	42.9%
Tax on income from continuing operations	-87.3	-74.1	13.2	-15.1%
Systemic charges after tax	-67.4	-56.9	10.6	-15.7%
Income (loss) attributable to minority interests	3.6	4.5	0.9	24.5%
Net income (loss) for the period	352.6	593.1	240.6	68.2%

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

H1 2019 ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement	H1 2019	H1 2019		Non-recurring items and
(in euro million)	Stated	Adjusted	One- off	extraordinary systemic charges
Net interest income	1,020.0	1,020.0	0.0
Income (loss) from investments in associates carried at equity	69.4	69.4	0.0
Net interest, dividend and similar income	1,089.4	1,089.4	0.0
Net fee and commission income	888.2	888.2	0.0
Other net operating income	22.9	22.9	0.0
Net financial result	83.0	83.0	0.0
Other operating income	994.1	994.1	0.0
Total income	2,083.5	2,083.5	0.0
Personnel expenses	-843.9	-843.9	0.0
Other administrative expenses	-330.2	-330.2	0.0
Amortization and depreciation	-171.4	-144.0	-27.5	Adjustm ents on tangible and intangible assets
Operating costs	-1,345.5	-1,318.0	-27.5
Profit (loss) from operations	738.1	765.5	-27.5
Net adjustments on loans to customers	-349.6	-349.6	0.0
Net adjustments on other assets	0.0	0.0	0.0
Net provisions for risks and charges	-5.7	9.6	-15.3	Adjustm ents on custom er conditions and other
Profit (loss) on the disposal of equity and other investments	336.8	0.0	336.8	Disposal of ProAfam ily, JV NPL platform , other
Income (loss) before tax from continuing operations	719.6	425.5	294.0
Tax on income from continuing operations	-74.1	-96.9	22.8	Extraordinary positive fiscal item s
Systemic charges after tax	-56.9	-41.6	-15.2	Additional contribution to Italian resolution fund
Income (loss) after tax from discontinued operations	0.0	0.0	0.0
Income (loss) attributable to minority interests	4.5	3.9	0.6
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	593.1	291.0	302.2

H1 2019 RECLASSIFIED P&L – PPA AND IFRS 9 IMPACTS

		(A-C)		(A-C-F)
	A	B	C	E	F
Reclassified income statement	H1 19	H1 19		H1 19	H1 19
(in euro million)	Stated	CE ex PPA	PPA (Total)	CE ex PPA and ex IFRS 9	Recl. IFRS 9
Net interest income	1,020.0	1,011.3	8.7	1,007.7	3.6
Income (loss) from investments in associates carried at equity	69.4	69.4	0.0	69.4
Net interest, dividend and similar income	1,089.4	1,080.7	8.7	1,077.1	3.6
Net fee and commission income	888.2	888.2	0.0	888.2
Other net operating income	22.9	42.1	-19.2	42.1
Net financial result	83.0	83.0	0.0	83.0
Other operating income	994.1	1,013.3	-19.2	1,013.3	0.0
Total income	2,083.5	2,094.0	-10.5	2,090.4	3.6
Personnel expenses	-843.9	-843.9	0.0	-843.9
Other administrative expenses	-330.2	-330.2	0.0	-330.2
Amortization and depreciation	-171.4	-165.5	-5.9	-165.5
Operating costs	-1,345.5	-1,339.5	-5.9	-1,339.5	0.0
Profit (loss) from operations	738.1	754.5	-16.4	750.9	3.6
Net adjustments on loans to customers	-349.6	-349.6	0.0	-346.0	-3.6
Net adjustments on other assets	0.0	0.0	0.0	0.0
Net provisions for risks and charges1	-5.7	-5.7	0.0	-5.7
Profit (loss) on the disposal of equity and other investments	336.8	336.8	0.0	336.8
Income (loss) before tax from continuing operations	719.6	736.0	-16.4	736.0	0.0
Tax on income from continuing operations	-74.1	-79.4	5.3	-79.4
Systemic charges after tax	-56.9	-56.9	0.0	-56.9
Income (loss) after tax from discontinued operations			0.0	0.0
Income (loss) attributable to minority interests	4.5	4.5	0.0	4.5
Net income (loss) for the period excluding Badwill & Impairment of goodwill and client relationship	593.1	604.3	-11.1	604.3	0.0
Impairment of goodwill and client relationship
Net income (loss) for the period	593.1	604.3	-11.1	604.3	0.0

H1 2019 RESULTS: NET INTEREST INCOME

Details of Other (Non-Core Components)

Details of Other (Non-Core Components)

H1 2019 RESULTS: NET FEES & COMMISSIONS¹

• Healthy progress in the q/q performance (+4.4%), thanks to both Management & Advisory and Commercial Banking Fees
• The y/y comparison is affected by lower Management & Advisory Fees, mainly due to lower upfront fees, as well as the disposal of the depositary bank

Note: 1. Fees & Commissions include the restatement of the upfront for the placements of Certificates, previously booked in NFR (€7.7m in H1 2018 and €19.1m in H1 2019).

H1 2019 RESULTS: NET FINANCIAL RESULT¹

• On a quarterly basis, the reduction is essentially explained by the positive one-off impact included in Q1 2019 in relation to the stake in Nexi (€59.8m in Q1)
• Excluding the positive Nexi impact registered in Q1 2019, the reduction of -€78.5m implied in the y/y comparison is due to a rebalancing of the securities portfolio in favour of the AC component as well as a prudent hedging strategy adopted with the aim of reducing exposure to volatility
• The portion of the securities portfolio not marked at Fair Value embeds significant unrealized gains/reserves that could potentially/partially be realized over the coming quarters

Note: 1. NFR restated for the exclusion of the upfront for the placements of Certificates, now booked in Net Fees & Commissions (€7.7m in H1 2018 and €19.1m in H1 2019).

H1 2019 RESULTS: OPERATING COSTS

• Operating costs down 3.3% on a yearly basis. Even better net of one-off items -4.8%
• On quarterly basis, operating costs increased by +0.7% due to higher adjustments on tangible and intangible assets (+€12.5m q/q), mostly on Real Estate
• In H1 2019, with the adoption of IFRS16, roughly €52m (€26m in Q1 and €26m in Q2) of costs previously included in Other Administrative Expenses are accounted under Depreciation & Amortization

H1 2019 RESULTS: LOAN LOSS PROVISIONS

• Loan loss provisions are up +30.1% q/q, as Q1 2019 had benefited from the significant top-up registered in FY 2018
• The annualized cost of risk registered in H1 2019 comes in at 65 bps¹ , confirming the expected path of normalization
• Positive expectations are also supported by good flows, with a reduction in both net inflows to NPE (-7.1% y/y) and flows from UTP to Bad Loans (-25.0% y/y)

Note: 1. CoR calculated adding to LLPs also the generic provisions related to the GACS Senior Notes, classified under the Item Net Adjustments on other assets (in coherence with the aggregate of Net Customer Loans) and including to Customer Loans also the volumes classified at IFRS 5 (in coherence with related LLPs).

RECLASSIFIED BALANCE SHEET AS AT 30/06/2019

OFFICIAL BALANCE SHEET, WITH PROFAMILY NON CAPTIVE BUSINESS CLASSIFIED LINE-BY-LINE AS AT 31/12/2018 AND 31/03/2019 AND CLASSIFIED AS DISCONTINUED OPERATIONS AS AT 30/06/2019. SEE SLIDE 37 FOR CUSTOMER LOAN TREND ON A LIKE-FOR-LIKE BASIS

	C	B	A	Chg. A/B		Chg. A/C
Reclassified assets (€ m)	31/12/2018	31/03/2019	30/06/2019	Value	%	Value	%
Cash and cash equivalents	922	804	795	-9	-1.1%	-127	-13.8%
Loans and advances measured at AC	108,208	111,592	112,408	816	0.7%	4,201	3.9%
- Loans and advances to banks	4,193	5,123	7,308	2,186	42.7%	3,115	74.3%
- Loans and advances to customers (*)	104,015	106,470	105,100	-1,370	-1.3%	1,085	1.0%
Other financial assets	36,853	38,957	39,184	227	0.6%	2,331	6.3%
- Assets measured at FV through PL	5,869	7,551	7,496	-55	-0.7%	1,627	27.7%
- Assets measured at FV through OCI	15,352	14,882	13,764	-1,118	-7.5%	-1,588	-10.3%
- Assets measured at AC	15,632	16,524	17,925	1,401	8.5%	2,292	14.7%
Equity investments	1,434	1,358	1,320	-37	-2.8%	-114	-7.9%
Property and equipment	2,776	3,598	3,526	-72	-2.0%	750	27.0%
Intangible assets	1,278	1,275	1,261	-14	-1.1%	-17	-1.3%
Tax assets	5,012	4,944	4,859	-85	-1.7%	-153	-3.1%
Non-current assets held for sale and discont. operations	1,593	281	1,545	1,264	n.s.	-48	-3.0%
Other assets	2,389	3,031	2,920	-110	-3.6%	531	22.2%
Total	160,465	165,839	167,819	1,979	1.2%	7,354	4.6%
Reclassified liabilities (€ m)	31/12/2018	31/03/2019	30/06/2019	Value	%	Value	%
Due to banks	31,634	31,400	31,189	-211	-0.7%	-445	-1.4%
Direct Funding	105,220	109,320	110,185	866	0.8%	4,965	4.7%
- Deposits from customers	90,198	95,232	95,698	466	0.5%	5,500	6.1%
- Debt securities and financial liabilities desig. at FV	15,022	14,087	14,487	400	2.8%	-535	-3.6%
Debts for Leasing	-	810	782	-28	-3.5%
Other financial liabilities designated at FV	7,229	7,806	8,104	298	3.8%	875	12.1%
Liability provisions	1,705	1,600	1,552	-47	-3.0%	-153	-9.0%
Tax liabilities	505	512	483	-29	-5.6%	-22	-4.4%
Liabilities associated with assets held for sale	3	4	40	36	n.s.	37	n.s.
Other liabilities	3,864	3,825	4,174	348	9.1%	309	8.0%
Minority interests	46	44	41	-3	-7.3%	-5	-10.0%
Shareholders' equity	10,259	10,519	11,270	751	7.1%	1,010	9.8%
Total	160,465	165,839	167,819	1,979	1.2%	7,354	4.6%

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

DIRECT FUNDING

Healthy further growth in core deposits, up at 80% of total

Direct customer funding¹ (without Repos)

77.2 78.7 81.3 83.8 2.7 2.4 2.1 1.8 17.5 14.9 14.0 14.4 2.3 2.1 2.1 2.0 3.9 3.4 3.7 3.3 30/06/2018 31/12/2018 31/03/2019 30/06/2019 Capital-protected Certificates Other Bonds Time deposits C/A & Sight deposits CHANGE In % Y/Y In % YTD In % Q2 C/A & Sight deposits 8.5% 6.4% 3.1% Time deposits -31.6% -23.7% -11.9% Bonds -17.7% -3.2% 3.0% Other -14.7% -8.5% -5.9% Capital-protected Certificates -15.2% -3.2% -10.9% Direct Funding (excl. Repos) 1.6% 3.7% 2.1% € bn 103.5 101.5 103.1 105.2 (75%) (%) Share of total (78%) (79%) (80%)

Note: 1. Direct funding restated according to a management logic: it includes capital-protected certificates, recognized under 'Held-fortrading liabilities', while it does not include Repos (€8.2bn at June 2019 vs. €5.8bn at June 2018), mainly transactions with Cassa di Compensazione e Garanzia.

BOND MATURITIES: VERY MANAGEABLE AMOUNTS

Note: Managerial data based on nominal amounts, including calls.

STRONG LIQUIDITY POSITION

€ bn - Internal management data, net of haircuts

Notes: 1. Includes assets received as collateral . 2. Refers to securities lending (uncollateralized high quality liquid assets). 3. Monthly LCR of June 2019; NSFR for Q2 2019, based on management data.

SECURITIES PORTFOLIO

Prudent diversification, with solid liquidity and support of NII

€ bn

	30/06/18	31/12/18	31/03/19	30/06/19	Chg. y/y	Chg. YTD	Chg. in Q2
Debt securities	36.1	32.9	34.2	34.5	-4.3%	5.0%	1.0%
- o/w Total Govies	30.4	27.5	29.3	29.9	-1.8%	8.6%	1.9%
- o/w: Italian Govies	18.9	17.7	20.0	19.4	2.5%	9.9%	-3.0%
IT Govies in % on Debt
Securities	52.5%	53.7%	58.5%	56.2%
Equity securities, Open-end funds & Private equity	2.4	1.8	2.5	2.3	-1.6%	28.8%	-8.0%
TOTAL SECURITIES	38.5	34.7	36.7	36.9	-4.2%	6.3%	0.4%

38.5	34.7	36.7	36.9	-4.2%	6.3%	0.4%
30/06/18	31/12/18	31/03/19	30/06/19	Chg. y/y	Chg. YTD	Chg. in Q 2
15.1	11.7	11.1	10.7	-29.4%	-8.9%	-3.7%
8.4	6.6	6.9	6.2	-27.0%	-6.3%	-11.0%
6.7	5.1	4.2	4.5	-32.5%	-12.3%	8.4%
13.5	15.1	15.7	16.5	22.0%	9.1%	4.4%
9.0	10.3	10.9	11.0	23.3%	6.8%	1.2%
4.5	4.7	4.8	5.4	19.5%	14.1%	11.7%
						10.6%
1.6	0.8	2.2	2.2	41.7%	195.1%	1.2%
0.3	0.0	0.3	0.6	94.9%	n.s.	70.8%
	1.9	0.8	2.5	2.8	50.3%	272.9%

• Modified duration of IT Govies at FVOCI: ~2.5 years¹
• Spread sensitivity (1 bps) of IT Govies at FVOCI at ~€1.8m
• Progressive rebalacing of the portfolio in favour of securities classified at amortized cost (57% of total IT Govies vs. 47% as at 30/06/18)

Note: 1. Internal management data (including swap), excluding Akros portfolio

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loan granting of €10.9bn in H1 2019¹

Net Customer Loans²

Customer Loans as at 30/06/18, 31/12/18 and 31/03/19 adjusted excluding Profamily volumes. Refer to Methodological Notes for details.

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

ASSET QUALITY DETAILS

GROSS EXPOSURES	30/06/2018	31/12/2018	31/03/2019		Chg. y/y			Chg. YTD		Chg. in Q2
€/m and %	(excl. Profamily)	(excl. Profamily)	(excl. Profamily)	30/06/2019	Value	%	Value	%	Value	%
Bad Loans	10,664	3,915	4,032	3,309	-7,355	-69.0%	-606	-15.5%	-723	-17.9%
UTP	8,656	7,765	7,525	7,254	-1,402	-16.2%	-512	-6.6%	-272	-3.6%
Past Due	84	101	91	100	16	19.2%	-1	-1.2%	10	10.6%
Non-performing exposures	19,404	11,782	11,648	10,663	-8,741	-45.0%	-1,119	-9.5%	-985	-8.5%
Performing Loans	96,153	96,359	98,923	99,273	3,121	3.2%	2,915	3.0%	351	0.4%
TOTAL CUSTOMER LOANS	115,557	108,141	110,570	109,936	-5,620	-4.9%	1,795	1.7%	-634	-0.6%

NET EXPOSURES	30/06/2018	31/12/2018	31/03/2019		Chg. y/y			Chg. YTD		Chg. in Q2
€/m and %	(excl. Profamily)	(excl. Profamily)	(excl. Profamily)	30/06/2019	Value	%	Value	%	Value	%
Bad Loans	3,613	1,591	1,638	1,428	-2,185	-60.5%	-163	-10.2%	-210	-12.8%
UTP	5,807	5,047	4,873	4,679	-1,128	-19.4%	-368	-7.3%	-194	-4.0%
Past Due	69	85	75	82	13	19.2%	-2	-2.8%	7	9.4%
Non-performing exposures	9,489	6,723	6,587	6,190	-3,299	-34.8%	-533	-7.9%	-397	-6.0%
Performing Loans	95,763	95,996	98,556	98,910	3,146	3.3%	2,914	3.0%	353	0.4%
TOTAL CUSTOMER LOANS	105,253	102,719	105,143	105,100	-153	-0.1%	2,381	2.3%	-43	0.0%

COVERAGE	30/06/2018	31/12/2018	31/03/2019
%	(excl. Profamily)	(excl. Profamily)	(excl. Profamily)	30/06/2019
Bad Loans	66.1%	59.4%	59.4%	56.8%
UTP	32.9%	35.0%	35.2%	35.5%
Past Due	17.8%	16.4%	16.8%	17.8%
Non-performing exposures	51.1%	42.9%	43.4%	41.9%
Performing Loans	0.40%	0.38%	0.37%	0.37%
TOTAL CUSTOMER LOANS	8.9%	5.0%	4.9%	4.4%

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

Customer Loans as at 30/06/18, 31/12/18 and 31/03/19 adjusted excluding Profamily volumes. Refer to Methodological Notes for details.

NPE as at 30/06/2019 exclude €607m of Leasing Bad Loans (€156m net book value) to be disposed with L-ACE transaction (signed in April 2019), as they have been reclassified under Discontinued Operations.

CONSERVATIVE COVERAGE LEVELS IN SPITE OF THE SHARP DROP IN THE SHARE OF BAD LOANS

Coverage level impacted by the sharp drop in Bad Loans and higher level of collateralized loans

• Bad Loan coverage impacted by L-ACE transaction; on a like-for-like basis, coverage up by 40bps q/q
• Solid coverage level confirmed in Q2 2019 also for UTP (+30bps q/q) and PD loans (+100bps q/q)

Coverage data as at 31/03/19 adjusted excluding Profamily volumes. Refer to Methodological Notes for details.

Note: 1. The IFRS 9 FTA impact on NPE coverage (specifically on Bad Loans) for new Impairment models translated into an increase of NPE Adjustments of €1.2bn as at 01/01/2018. 2. Bank of Italy: statistical data as at 31/03/2019

UTP LOANS: HIGH SHARE OF RESTRUCTURED AND SECURED POSITIONS

Breakdown of Net UTPs

• Solid level of coverage for unsecured UTP: 47.4%
• Net Restructured loans (€2.3bn) account for 48.2% of total net UTP: they are essentially related to formalized underlying restructuring plans and procedures (mainly under Italian credit protection procedures)
• Net unsecured UTP other than Restructured loans are limited to €0.4bn
• 92% of Net UTPs are located in the northern & central parts of Italy

UTP Loans as at 31/12/18 and 31/03/19 are adjusted excluding Profamily volumes. Refer to Methodological Notes for details.

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL
POSITION (€/m and %)	31/12/2018	31/03/2019	30/06/2019	RWA COMPOSITION
CET 1 Capital	7,754	8,144	8,972	(€/bn)	31/12/2018	31/03/2019	30/06/2019
T1 Capital	7,888	8,278	9,404
Total Capital	9,442	9,729	10,765	CREDIT & COUNTERPARTY RISK	56.3	55.4	57.2
RWA	64,324	64,218	65,240	of which: Standard	27.7	29.6	30.5
				MARKET RISK	1.9	2.6	2.1
CET 1 Ratio	12.05%	12.68%	13.75%
AT1	0.21%	0.21%	0.66%	OPERATIONAL RISK	5.9	6.0	5.7
T1 Ratio	12.26%	12.89%	14.41%	CVA	0.2	0.2	0.2
Tier 2	2.42%	2.26%	2.09%	TOTAL	64.3	64.2	65.2
Total Capital Ratio	14.68%	15.15%	16.50%

FULLY PHASED CAPITAL
POSITION (€/m and %)	31/12/2018	31/03/2019	30/06/2019	RWA COMPOSITION
CET 1 Capital	6,406	6,892	7,742	(€/bn)	31/12/2018	31/03/2019	30/06/2019
T1 Capital	6,410	6,896	8,044
Total Capital	7,964	8,347	9,405	CREDIT & COUNTERPARTY RISK	56.0	55.1	56.9
RWA	64,034	63,942	64,971	of which: Standard	27.4	29.6	30.2
CET 1 Ratio	10.00%	10.78%	11.92%	MARKET RISK	2.0	2.6	2.1
AT1	0.01%	0.01%	0.46%	OPERATIONAL RISK	5.9	6.0	5.7
T1 Ratio	10.01%	10.78%	12.38%	CVA	0.2	0.2	0.2
Tier 2	2.43%	2.27%	2.09%	TOTAL	64.0	63.9	65.0
Total Capital Ratio	12.44%	13.05%	14.47%

Note: Ratios as at 31/03/2019 and 30/06/2019 include the related net income of the period.

CONTACTS FOR INVESTORS AND FINANCIAL ANALYSTS

I N V E S T O R R E L A T I O N S

Roberto Peronaglio	+39-02-9477.2090
Tom Lucassen	+39-045-867.5537
Arne Riscassi	+39-02-9477.2091
Silvia Leoni	+39-045-867.5613
Carmine Padulese	+39-02-9477.2092

Registered Offices: Piazza Meda 4, I-20121 Milan, Italy Corporate Offices: Piazza Nogara 2, I-37121 Verona, Italy

investor.relations@bancobpm.it www.bancobpm.it (IR Section)