Banco BPM SpA

Investor Presentation • May 7, 2020

Q1 2020 Group Results Presentation

7 May 2020

DISCLAIMER

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

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

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

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

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

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

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

***

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

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

METHODOLOGICAL NOTES

• Before 31/03/2020, the impact of the PPA (Purchase Price Allocation) of the business combinations of the former Banca Popolare di Milano Group and of the former Banca Popolare Italiana and Banca Italease Groups, was split and registered under the following items: "Net interest income", "Other net operating income" and "Tax on income from continuing operations". Starting from Q1 2020, the aggregated impact net of tax of this PPA has been regrouped and reclassified in one new single P&L Item: "PPA after tax"; the previous quarters of 2019 have been reclassified accordingly.
• Due to the change of the valuation criteria applied to the Group's properties and artworks, starting from 31/12/2019, a new item called «Profit & Loss on Fair Value measurement of tangible assets» has been introduced in the reclassified P&L scheme as at 31/12/2019. In this item, also the depreciations of properties previously accounted in the item "Amortisation & Depreciation" within the "Operating Costs" have been reclassified, restating accordingly all the previous quarters of 2019 for coherence. Furthermore, considering that the new accounting principle does not foresee for the amortisation of investment properties, the amortisation on such assets in the first three quarters of 2019 has been cancelled; as a consequence, the Item "Amortization and Depreciation" as well as the net result of the first three quarters of 2019 have been re-determined.
• 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. As at 31/03/2020, the residual amount of these loans stood at €312m GBV and at €93m NBV.
• Please note that, on 4 April 2020, the Annual Shareholders' Meeting of Banco BPM didn't discuss and vote on item 2 of the agenda (Resolutions on the allocation and distribution of profits); this is in order to acknowledge the guidelines provided by the ECB on 27 March 2020, with which, in order to strengthen the capital resources of relevant banks subject to its monitoring, and in order to be able to make use of the more extensive resources in support of households and businesses in the current situation brought about by the ongoing Covid-19 health emergency, it requested the banks, inter alia, not to proceed with the payment of dividends (still not approved) and not to assume any irrevocable commitment for their payment for the years 2019 and 2020 at least until 1 October 2020. The capital ratios included in this presentation are calculated coherently with this decision, i.e. including the entire net income as at 31/12/2019. Furthermore, the ratios as at 31/03/2020 are here reported including also the net income of the Q1 2020.

Agenda

1.	Banco BPM's reaction to Covid-19 emergency	4
2.	Key Q1 2020 Performance Highlights	14
3.	Performance Details:	34
	- Profitability	35
	- Balance Sheet	37
	- Funding and Liquidity	38
	- Customer Loans and Focus on Credit Quality	42
	- Capital Position	45

COVID-19 EMERGENCY: KEY FOCUS AREAS

The adoption of new, digital-based models of customer interaction has allowed the Group to stay close to its customer base, providing services with safety in the current phase of emergency

New patterns of agile work have allowed the Group to test business continuity, while at the same time ensuring highest safety to all its employees, who have effectively demonstrated a strong degree of resilience and capacity of adaptation

Strengthened use of the digital banking channel, also through the proposition of new instruments and solutions, in line with the general current situation and future market requirements

ACCELERATION OF DIGITAL AND OMNICHANNEL BANKING, WITH NEW WAYS OF WORKING AND DOING BUSINESS: AN ADVANTAGE FOR THE 'NEW NORMAL' ENVIRONMENT

COVID-19 EMERGENCY: STRATEGIC APPROACH ADOPTED (1/2)

Highlights on Step 1: «Crisis Committee»

Note: 1. Online Transactions (web + Mobile). 2. Current Accounts,

Investment Accounts, Credit & Debit cards, Personal Loans, Mortgages. 3. % increase since the beginning of the year.

6 1. Banco BPM's reaction to Covid-19 emergency

COVID-19 EMERGENCY: STRATEGIC APPROACH ADOPTED (2/2)

Highlights on Step 2: «Project Reaction»

BUSINESS DEVELOPMENT OUTLOOK

Banco BPM is ready to tackle the phase of Relaunch and to pave the way for the "New Normal"

MATERIAL AND CONCRETE SUPPORT TO ITALIAN ECONOMY

Measures activated by the Government and by Banco BPM

MEASURE	TARGETS	REQUESTS RECEIVED
		Number	Amount
MORATORIA (Cure Italy Decree and other)	ENTERPRISES & HOUSEHOLDS	~70,000 received	~€1.8bn of suspended instalments		The very vast majority of the moratoria files
	REQUESTS RECEIVED				are "Ex lege"
		Number	Potential Amount		Dedicated
BANCO BPM PLAFOND LIQUIDITY EMERGENCY (up to €5bn, o/w €3bn to Corporates, €1bn to Self-Employed, €1bn to Retailers)	ENTERPRISES (incl. Self-Employed)	~4,000	~€1.2bn		commercial efforts activated to provide adequate level of financing to our customers, leveraging on public support measures
LIQUIDITY DECREE (art. 1 & art. 13) STATE-BACKED NEW LOANS UP TO €25K • (100% guaranteed)	ENTERPRISES (incl. Self-Employed)	>35,000	~€0.8bn
OTHER STATE-BACKED NEW LOANS •	ENTERPRISES	EXPECTED PIPELINE
- SACE		~120	~€1.6bn		Strong focus on clients classified in
- SME Fund - SMEs - Corporates		~6,000 ~400	~€1.5bn ~€0.8bn		intermediate risk categories

9 1. Banco BPM's reaction to Covid-19 emergency

PERFORMING CUSTOMER LOAN BOOK ANALYSIS AS AT 31/03/20

Internal management data. Note: 1. GBV of on balance-sheet performing exposures, excluding the GACS Senior Notes. Financial Corporate include ca. €5bn of REPOs with CC&G. 2. Includes all performing customer loans subject to the internal rating process (AIRB). Based on 11 rating classes for rated performing loans. 3. Elaborations including Cerved estimates on turnover trend in 2020 factoring the Covid-19 crisis. 4. Sectors for which Cerved expects the higher decrease in turnover for 2020 due to the Covid-19 crisis: Transport & storage services, Accomodation, Restaurants & Travel, Textile fibers & Leather, Automotive trade and Means of transport.

FURTHER SUPPORT TO LOCAL COMMUNITIES

• Donations for >€3.5m (o/w: >€1m directly from Chairman, CEO, Board/Audit Members and top management) for hospitals and no profit into the fight against Covid-19
• Fund raising involving colleagues, together with Banco Alimentare and Caritas, in favor of people weakened by the economic emergency
• Crowdfunding project involving third-party stakeholders of the territory, supporting several local social projects

DONATIONS EMPLOYEE FUND RAISING CROWDFUNDING

CONSIDERATIONS ON THE STRATEGIC PLAN

• The assumptions on which the Plan's key targets are based do not take into account the consequences of the Covid-19-related lockdown, which was introduced shortly after the Plan's approval. It follows that key targets will have to be updated on the basis of new assumptions
  • Banco BPM will, therefore, review its Strategic Plan once there is better visibility and clarity on the evolution of the future scenarios
• While revenues are set to be impacted by the Covid-19 emergency, the Bank is ready and determined to adapt its strategic approach, leveraging on its flexibility in operating costs:
  • Closure of a higher number of branches
  • Postponement of part of the envisaged investments and review of projects
  • General review of cost containment actions (personnel and administrative expenses)
    • As expected, asset quality has improved further in Q1 2020, with underlying physiological cost of risk (53bps) better than forecasts
• Nonetheless, in the light of the current environment¹ , Banco BPM has decided to increase its provisions on performing loans, as a move to anticipate the impact of the worsening scenario, which will be reassessed once a clearer picture on the economic environment is available

COVID-19 SCENARIOS: CONSERVATIVE ASSESSMENT WITH FULL RECOGNITION OF ACCOUNTING AND REGULATORY GUIDELINES

Notes: 1. IFRS - Document to support the consistent application of requirements in IFRS Standards 27 March 2020 2. FAQs on ECB supervisory measures in reaction to the Coronavirus 3. ESMA Public statement of 25 March 2020 (ESMA32-63-9519)

Agenda

1.	Banco BPM's reaction to Covid-19 emergency	4
2.	Key Q1 2020 Performance Highlights	14
3.	Performance Details:	34
	- Profitability	35
	- Balance Sheet	37
	- Funding and Liquidity	38
	- Customer Loans and Focus on Credit Quality	42
	- Capital Position	45

SOLID Q1 2020 PERFORMANCE (1/2)

In line with the pre-Covid 19 management expectations

Notes: 1. Internal Management Data of the Commercial Network; Refer to Gross performing Customer Loans and to Core Direct Funding excluding bonds and REPOs. 2. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets).

SOLID Q1 2020 PERFORMANCE (2/2)

In line with the pre-Covid 19 management expectations

Q1 2020 QUARTERLY P&L RESULTS

		Q1 2019	Q4 2019	Q1 2020	Chg. q/q	Chg. y/y
€ m		Restated	Restated
	NII	499.2	474.0	474.1	0.0%	-5.0%
	FEES & COMMISSIONS	434.5	462.2	440.6	-4.7%	1.4%
	NET FINANCIAL RESULT	72.3	207.4	206.8	-0.3%	n.m.
	TOTAL INCOME	1,067.0	1,193.5	1,160.5	-2.8%	8.8%
	STAFF COSTS	-425.9	-437.1	-419.0	-4.1%	-1.6%
	OTHER ADMIN .COSTS	-167.0	-149.8	-154.6	3.2%	-7.4%
	D&A	-63.3	-69.3	-61.4	-11.4%	-3.1%
	OPERATING COSTS	-656.2	-656.1	-635.0	-3.2%	-3.2%
	PROFIT FROM OPERATIONS	410.8	537.4	525.5	-2.2%	27.9%
	LLPs	-152.0	-220.5	-213.2	-3.3%	40.3%
	OTHER 1	-6.9	-195.7	-2.7	n.m.	n.m.
	PRE-TAX PROFIT	252.0	121.2	309.6	n.m.	22.9%
	TAX	-53.7	-26.6	-93.8	n.m.	74.7%
	SYSTEMIC CHARGES (net of taxes)	-41.6	-4.5	-57.5	n.m.	38.2%
	NET INCOME BEFORE PPA	157.9	99.4	158.2	59.1%	0.2%
	PPA AFTER TAX	-2.5	-3.7	-6.6	79.9%	n.m.
	NET INCOME	155.4	95.8	151.6	58.3%	-2.4%

Q1 2020 COMMENTS

Q1 2020 NFR includes valuation effect:

• on own liabilities of € 206m, or €171m (~€115m post tax) after having reabsorbed the level at YE 2019
• on assets of -€31m

Physiological CoR at 53bps and up at 79bps when including the decision to increase the generic provisions on performing loans of +€70m (~€47m post tax), anticipating the impact of the macroeconomic crisis (Covid-19)

Higher Systemic Charges for €16m (post tax) y/y

P&L restated with PPA reclassified at bottom line. Notes: 1.Other includes: Profit (loss) on FV measurement of tang. assets, Net adj .on other financial assets, Net provisions for risks & charges, Profit (loss) on the disposal of equity and other investments.

NET INTEREST INCOME: HIGHLIGHTS

Notes: 1. Non-commercial banking includes: financial activities, Hedging, interest on Bonds (Retail and Institutional), other elements and one-offs.

VOLUMES AT A GLANCE

Solid commercial performance. Indirect Funding negatively impacted by market turmoil

€ bn	31/03/2019	31/12/2019	31/03/2020	% chg.Y/Y	% chg. Q/Q
Net Performing Customer Loans	99.9	100.3	102.6	2.7%	2.3%
o/w: Core Performing Customer Loans1	90.2	91.1	94.0	4.2%	3.1%	Resilient trend confirmed also in April with performing loans of
- Medium/Long - Term Loans	60.6	62.5	64.4	6.2%	3.0%	the Commercial Network:
- Current Accounts	10.7	10.5	10.4	-2.1%	-0.6%	+1.1% vs. March3
- Other Loans	18.9	18.1	19.2	1.4%	5.9%
Direct Funding2	103.1	108.9	111.5	8.2%	2.4%	Strong support from core
C/A & Deposits (Sight + Time)	83.4	87.8	90.2	8.2%	2.7%	funding base confirmed also in April, with Core Direct Funding
Bonds	14.0	16.1	16.6	18.8%	3.2%	of the Commercial Network:
Certificates	3.7	3.2	3.0	-17.6%	-6.8%	+2.0% vs. March3
Other	2.1	1.8	1.7	-17.9%	-5.6%
Indirect Funding3	89.8	89.7	82.2	-8.4%	-8.4%	Indirect Funding decrease in
o/w: AUM	57.0	58.3	54.1	-5.1%	-7.3%	Q1 purely due to market effect:
- Funds & Sicav	37.4	39.0	35.0	-6.5%	-10.5%	-€8.1bn for the total,
- Bancassurance	14.9	15.4	15.3	2.8%	-0.5%	o/w -€4.0bn for AUM
- Managed Accounts & Funds of Funds	4.7	3.9	3.8	-19.1%	-1.9%	AUM +2.2% end-April vs. March

Notes: 1. Exclude GACS senior notes, REPOs and Leasing. 2. Restated excluding REPOs and including Capital-Protected Certificates. 3. Restated excluding Capital-Protected Certificates from AUC. 3. Internal Management Data of the Commercial Network. Refer to gross performing customer loans and to Core Direct Funding excluding bonds and REPOs.

SOUND LENDING PERFORMANCE OF THE NETWORK

Notes: 1. Include M/L-term Mortgages (Secured and Unsecured), Personal Loans, Pool, ST/MLT Structured Finance. Exclude Agos and Profamily volumes sold by the network, but not consolidated by the Group. 2. All-in rates include commission income related to insurance policies, interest rate hedges and loan granting fees. Does not include volumes related to Structured Finance.

STRONG AND WELL DIVERSIFIED BOND FUNDING

Bond funding as at 31/03/2020

• Total bonds outstanding at €20.5bn
• Very manageable amount of wholesale bond maturities in 2020 (€2.4bn), considering €1.15bn already issued in Q1 2020 and the strong liquidity position (with unencumbered eligible assets at €22.6bn, highly exceeding total bonds outstanding)
• New Senior Non Preferred successfully issued in Q1 2020, for a total of €750m, with a spread of 193bps

Q1 2020: €1.15bn already issued, 47% of wholesale bond maturities of the year

STRONG LIQUIDITY POSITION: LCR 148% & NSFR >100%¹

ECB exposure breakdown as at 31/03/2020

• Sizeable funding contribute also from long-term bilateral refinancing operations at €3.4bn euro (net of haircuts), with an average maturity of 2 years
• Still large potential room for TLTRO III, with maximum take-up of €35.7bn (+€21.9bn vs. current combined TLTRO exposure)

Internal management data, net of haircuts. ECB exposure net of the accrued interest

Notes: 1. LCR and NSFR of Q1 2020. 2. Includes assets received as collateral. 3. Refers to securities lending (uncollateralized high quality liquid assets).

Q1 2020: NET FEES AND COMMISSIONS

• Net fees and commission at €440.6m dropped by 4.7% Q/Q, due to:
  • the decrease in commercial banking fees (-7.2% Q/Q), mainly due to a particularly strong commission contribution from pools and structured financing registered in Q4 19 (ca. -€11m q/q) and to lower volumes and pricing of other loans (ca. -€3m q/q).
  • lower investment product placement (advisory and management fees: -2.0% Q/Q)
  • lockdown measures on Covid-19 adopted in March 2020
• Net fees and commission increased by 1.4% Y/Y, mainly thanks to the stronger activity on investment product placements (advisory and management fees )

Notes: 1. Internal management data of the Commercial Network regarding the breakdown of running and upfront fees on investment products.

GROWTH IN INVESTMENT PRODUCT PLACEMENTS

In Q1 2020, investment product placements stand at €3.5bn (vs. €3.7bn in Q4 2019 and €2.9bn in Q1 2019), notwithstanding a slowdown in March volumes ,following the Covid-19 lockdown measures

Q1 2020 sees a confirmed resilience in the contribution from the upfront component of investment products, which represents about 17% of total Net fees and commissions.

Notes: 1. Management data of the Commercial Network related only to the placements of investment products which generate upfront fees.

Share of investment product Upfront fees

FINANCIAL PORTFOLIO: NET FINANCIAL RESULT AND RESERVES/UNREALISED GAINS

Net Financial Result

• NFR at €206.8m in Q1 (against €207.4m in Q4 19, which included material gains of asset disposals)¹ includes valuation effects on:
  • own liabilities of € 206m, or €171m (~€115m post tax) after having reabsorbed the level at YE 2019
  • assets of -€31m

Reserves of Debt Securities at FVOCI Unrealised gains on Debt Securities at AC²

Notes: 1. NFR in Q4 19 included gains from the disposal of debt securities (€124.4m), together with those from debt and equity instruments coming from the disposal of Sorgenia (€44.6m) 2. Debt Securities accounted at Amortised Costs are subject to a specific policy which sets dedicated limits to the amount of disposals allowed throughout the year. 3. Internal management estimates.

WELL DIVERSIFIED DEBT SECURITIES PORTFOLIO

Evolution & Composition of Debt Securities

Notes: 1. Management data, including hedging strategies.

OPERATING COSTS: QUARTERLY COMPARISON

28 2. Key Q1 2020 Performance Highlights

STRONG IMPROVEMENT ACROSS ASSET QUALITY METRICS

Reduction in NPE stock and ratios, with strong coverage confirmed

29 2. Key Q1 2020 Performance Highlights

NPE FLOWS AND COST OF RISK: HEALTHY PATH CONFIRMED

Note: 1. Anticipation of the impact of the macroeconomic crisis (Covid-19). 2. CoR calculated including also loans classified at IFRS 5, for coherence with related LLPs.

IMPROVING TREND IN ASSET QUALITY DRIVEN BY WORKOUT

STRONG CAPITAL RATIOS & BUFFERS

Well positioned to face the tough scenario

Fully Loaded Capital Ratios: evolution

Notes: 1. Mainly due to dividend distribution by Agos and to the removal of the prudential filter on the stake in Eracle Fund.

FINAL REMARKS

Covid-19 emergency: Banco BPM's reaction and outlook:

• A flexible, project-based set-up was adopted, aimed at governing revenue, cost and balance sheet implications of the crisis (Reaction Project)
• The emergency has accelerated the use of digital and omnichannel-based banking: an advantage for the 'New Normal' environment
• Starting from May 2020, a gradual relaunch of targeted CRM and Customer Engagement initiatives is in the pipeline, with a view to respond effectively in the evolving situation and to return to full commercial capacity (physical presence from 40% to 70%)
• Banco BPM will review its Strategic Plan in the light of the new environment, once there is better visibility and clarity on the future outlook

Q1 2020 performance:

• Net income at €152m, with revenues up y/y (+8.8%) and with costs down (-3.2% both y/y and q/q), generated in spite of a top-up of €70m in generic loan loss provisions, aimed at anticipating the impact of the worsening scenario
• Further improvement in asset quality, with net NPE ratio down at 5.0%
• Robust position in terms of capital (CET 1 ratio: 14.4% Phased-in and 12.9% Fully Loaded), as well as funding and liquidity
• Optimized capital structure, with strong MDA Buffers: 490bps Phased-In and 307bps Fully Loaded

Agenda

1.	Banco BPM's reaction to Covid-19 emergency	4
2.	Key Q1 2020 Performance Highlights	14
3.	Performance Details:	34
	- Profitability	35
	- Balance Sheet	37
	- Funding and Liquidity	38
	- Customer Loans and Focus on Credit Quality	42
	- Capital Position	45

RECLASSIFIED P&L: QUARTERLY EVOLUTION

Reclassified income statement	Q1 2019	Q2 2019	Q3 2019	Q4 2019	Q1 2020	Chg. Y/Y	Chg. Y/Y	Chg. Q/Q	Chg. Q/Q
(in euro million)	Restated	Restated	Restated	Restated			%		%
Net interest income	499.2	512.1	495.8	474.0	474.1	-25.1	-5.0%	0.2	0.0%
Income (loss) from investments in associates	36.8	32.6	28.0	33.9	22.3	-14.5	-39.4%	-11.7	-34.4%
carried at equity
Net interest, dividend and similar income	535.9	544.7	523.8	507.9	496.4	-39.6	-7.4%	-11.5	-2.3%
Net fee and commission income	434.5	453.7	444.1	462.2	440.6	6.0	1.4%	-21.6	-4.7%
Other net operating income	24.2	17.9	17.8	16.1	16.7	-7.4	-30.8%	0.6	3.8%
Net financial result	72.3	10.7	41.7	207.4	206.8	134.5	185.8%	-0.6	-0.3%
Other operating income	531.0	482.3	503.5	685.7	664.1	133.1	25.1%	-21.6	-3.1%
Total income	1,067.0	1,027.0	1,027.3	1,193.5	1,160.5	93.5	8.8%	-33.1	-2.8%
Personnel expenses	-425.9	-418.0	-415.6	-437.1	-419.0	6.8	-1.6%	18.0	-4.1%
Other administrative expenses	-167.0	-163.1	-158.6	-149.8	-154.6	12.4	-7.4%	-4.8	3.2%
Amortization and depreciation	-63.3	-67.7	-68.6	-69.3	-61.4	2.0	-3.1%	7.9	-11.4%
Operating costs	-656.2	-648.9	-642.8	-656.1	-635.0	21.2	-3.2%	21.1	-3.2%
Profit (loss) from operations	410.8	378.2	384.4	537.4	525.5	114.7	27.9%	-11.9	-2.2%
Net adjustments on loans to customers	-152.0	-197.7	-208.4	-220.5	-213.2	-61.3	40.3%	7.3	-3.3%
Profit (loss) on FV measurement of tangible assets	-7.5	-19.3	-0.7	-131.0	-0.3	7.2	-95.7%	130.7	-99.8%
Net adjustments on other financial assets	-4.0	4.0	4.1	1.6	-4.7	-0.7	17.2%	-6.3	n.m.
Net provisions for risks and charges	4.4	-10.1	-2.7	-62.6	2.2	-2.2	-50.4%	64.8	n.m.
Profit (loss) on the disposal of equity and other	0.2	336.6	0.0	-3.6	0.1	-0.1	-45.5%	3.7	n.m.
investments
Income (loss) before tax from continuing operations	252.0	491.7	176.7	121.2	309.6	57.6	22.9%	188.3	155.3%
Tax on income from continuing operations	-53.7	-27.4	-44.9	-26.6	-93.8	-40.1	74.7%	-67.3	253.2%
Systemic charges after tax	-41.6	-15.2	-31.5	-4.5	-57.5	-15.9	38.2%	-53.0	1179.5%
Income (loss) attributable to minority interests	1.2	3.2	1.8	9.2	0.0	-1.3	-102.3%	-9.3	-100.3%
Net income (loss) gross of PPA	157.9	452.3	102.1	99.4	158.2	0.3	0.2%	58.8	59.1%
Purchase Price Allocation after tax	-2.5	-4.7	-3.8	-3.7	-6.6	-4.1	166.7%	-2.9	79.9%
Net income (loss) for the period	155.4	447.6	98.2	95.8	151.6	-3.8	-2.4%	55.9	58.3%

The first three quarters of 2019 are restated due to the change in the

accounting standard for the valuation of the Group's property and works of art. All the 2019 quarters have also been restated for the reclassification of

the aggregated impact net of tax of the PPA in one new single Item: "PPA after tax".

35 3. Performance Details: Profitability

COMPREHENSIVE PROFITABILITY IMPACTED BY MARKET TURMOIL

RECLASSIFIED BALANCE SHEET AS AT 31/03/2020

				Chg. y/y		Chg. in Q1
Reclassified assets (€ m)	31/03/2019	31/12/2019	31/03/2020	Value	%	Value	%
Cash and cash equivalents	804	913	755	-48	-6.0%	-157	-17.2%
Loans and advances measured at AC	111,592	115,890	116,021	4,429	4.0%	131	0.1%
- Loans and advances to banks	5,123	10,044	8,004	2,881	56.2%	-2,041	-20.3%
- Loans and advances to customers (*)	106,470	105,845	108,018	1,548	1.5%	2,172	2.1%
Other financial assets	38,957	37,069	39,485	528	1.4%	2,416	6.5%
- Assets measured at FV through PL	7,551	7,285	7,301	-250	-3.3%	16	0.2%
- Assets measured at FV through OCI	14,882	12,527	13,206	-1,676	-11.3%	679	5.4%
- Assets measured at AC	16,524	17,257	18,978	2,454	14.9%	1,721	10.0%
Equity investments	1,358	1,386	1,329	-28	-2.1%	-57	-4.1%
Property and equipment	3,598	3,624	3,585	-13	-0.4%	-40	-1.1%
Intangible assets	1,275	1,269	1,270	-6	-0.4%	0	0.0%
Tax assets	4,944	4,620	4,698	-247	-5.0%	78	1.7%
Non-current assets held for sale and discont. operations	281	131	139	-142	-50.6%	8	5.8%
Other assets	3,031	2,136	2,057	-973	-32.1%	-79	-3.7%
Total	165,839	167,038	169,339	3,499	2.1%	2,300	1.4%
Reclassified liabilities (€ m)	31/03/2019	31/12/2019	31/03/2020	Value	%	Value	%
Due to banks	31,400	28,516	21,873	-9,526	-30.3%	-6,642	-23.3%
Direct Funding	109,320	109,506	111,660	2,340	2.1%	2,153	2.0%
- Due from customers	95,232	93,375	95,018	-214	-0.2%	1,643	1.8%
- Debt securities and financial liabilities desig. at FV	14,087	16,131	16,641	2,554	18.1%	510	3.2%
Debts for Leasing	810	733	707	-103	-12.7%	-25	-3.5%
Other financial liabilities designated at FV	7,806	10,919	16,900	9,094	116.5%	5,981	54.8%
Liability provisions	1,600	1,487	1,417	-182	-11.4%	-69	-4.7%
Tax liabilities	512	619	669	157	30.8%	50	8.0%
Liabilities associated with assets held for sale	4	5	5	0	11.3%	0	-4.1%
Other liabilities	3,825	3,366	3,965	140	3.7%	599	17.8%
Minority interests	44	26	26	-18	-41.1%	0	0.1%
Shareholders' equity	10,519	11,861	12,116	1,597	15.2%	255	2.1%
Total	165,839	167,038	169,339	3,499	2.1%	2,300	1.4%

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

DIRECT FUNDING Solid funding position confirmed, with healthy growth in deposits and bonds

Direct customer funding¹ (without Repos)

Note: 1. Direct funding restated according to a management logic: it includes capital-protected certificates, recognized under 'Held-for-trading liabilities', while it does not include Repos (€3.2bn at March 2020, €3.9bn at December 2019 and €9.9bn at March 2019), mainly transactions with Cassa di Compensazione e Garanzia.

BOND MATURITIES: LIMITED AND MANAGEABLE AMOUNTS

Managerial data based on nominal amounts.

Note: 1. Include also the maturities of Repos with underlying retained Covered Bonds: €0.45bn in 2021 and €0.50bn in 2022

39 3. Performance Details: Funding and Liquidity

INDIRECT CUSTOMER FUNDING AT €82.2BN

Total Indirect Customer Funding at €82.2bn: -8.4% both YTD and Y/Y. The YTD drop is substantially due to price effect

Management data of the commercial network. AUC historic data restated for managerial adjustments. Note: 1. AuC data are net of capital-protected certificates, as they have been regrouped under Direct Funding (see slide 38).

40 3. Performance Details: Funding and Liquidity

SECURITIES PORTFOLIO

€ bn

	31/03/19	31/12/19	31/03/20	Chg. y/y	Chg. in Q1
Debt securities	34.2	31.2	34.5	1.0%	10.5%
- o/w Total Govies	29.3	26.4	29.6	1.0%	12.1%
- o/w: Italian Govies	20.0	15.5	18.2	-9.2%	17.0%
IT Govies in % on Debt Securities	58.5%	49.7%	52.6%
Equity securities, Open-end funds & Private equity	2.5	2.5	1.7	-33.0%	-33.3%
TOTAL SECURITIES	36.7	33.8	36.2	-1.3%	7.2%

€ bn	31/03/19	31/12/19	31/03/20	Chg. y/y	Chg. in Q1
Govies at FVOCI	11.1	9.1	9.8	-11.3%	8.0%
- Italian	6.9	4.6	5.0	-27.0%	8.9%
- Non Italian	4.2	4.4	4.8	14.6%	7.2%
Govies at AC	15.7	15.7	17.4	10.4%	10.5%
- Italian	10.9	10.0	10.9	-0.4%	8.6%
- Non Italian	4.8	5.7	6.5	34.8%	14.0%
Govies at FVTPL	2.5	1.6	2.4	-4.2%	49.5%
- Italian	2.2	0.9	2.3	2.8%	155.0%
- Non Italian	0.3	0.7	0.2	-49.5%	-76.6%

41 3. Performance Details: Funding and Liquidity

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €5.3bn in Q1 2020¹

Notes: 1. Management data. See slide 20 for details. 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).

ASSET QUALITY DETAILS

GROSS EXPOSURES	31/03/2019	31/12/2019	31/03/2020		Chg. y/y		Chg. in Q1
€/m and %				Value	%	Value	%
Bad Loans	4,058	3,565	3,517	-541	-13.3%	-47	-1.3%
UTP	7,528	6,424	6,252	-1,277	-17.0%	-172	-2.7%
Past Due	95	98	106	11	11.4%	8	7.8%
NPE	11,682	10,087	9,875	-1,807	-15.5%	-212	-2.1%
Performing Loans	100,254	100,631	102,962	2,708	2.7%	2,331	2.3%
TOTAL CUSTOMER LOANS	111,936	110,718	112,837	901	0.8%	2,119	1.9%
NET EXPOSURES	31/03/2019	31/12/2019	31/03/2020	Chg. y/y Chg. in Q1
€/m and %				Value	%	Value	%
Bad Loans	1,638	1,560	1,571	-68	-4.1%	11	0.7%
UTP	4,874	3,912	3,778	-1,096	-22.5%	-134	-3.4%
Past Due	78	73	81	3	3.8%	8	11.0%
NPE	6,591	5,544	5,430	-1,161	-17.6%	-115	-2.1%
Performing Loans	99,879	100,301	102,588	2,709	2.7%	2,287	2.3%
TOTAL CUSTOMER LOANS	106,470	105,845	108,018	1,548	1.5%	2,172	2.1%
COVERAGE %	31/03/2019	31/12/2019	31/03/2020	Data refer to Loans and advances to customers measured at Amortized Cost, including also the GACS Senior Notes.
Bad Loans	59.6%	56.2%	55.3%
UTP	35.3%	39.1%	39.6%
Past Due	18.1%	25.9%	23.7%
NPE	43.6%	45.0%	45.0%
Performing Loans	0.37%	0.33%	0.36%
TOTAL CUSTOMER LOANS	4.9%	4.4%	4.3%

UTP LOANS: HIGH SHARE OF RESTRUCTURED AND SECURED POSITIONS

UTP Coverage: +4.6 p.p. since YE 2018

Breakdown of Net UTPs

€ bn	31/12/19	31/3/20	% Chg.
Restructured	1.7	1.7	0.0%
- Secured	0.9	0.9	0.0%
- Unsecured	0.8	0.8	0.0%
Other UTP	2.2	2.1	-4.5%
- Secured	1.9	1.8	-5.3%
- Unsecured	0.3	0.3	0.0%
	3.9	3.8	-2.6%
o/w:
- North	72.6%	73.0%
- Centre	20.9%	20.6%
- South, Islands & not resident	6.5%	6.5%

• Solid level of coverage for unsecured UTP: 56.8%
• Net unsecured UTP other than Restructured loans are limited to €0.3bn

• 90% of Net UTPs are located in the northern & central parts of Italy

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL POSITION (€/m and %)	31/03/19	31/12/19	31/12/19 post suspension of dividends	31/03/20
CET 1 Capital	8,144	9,586	9,723	9,449
T1 Capital	8,278	10,017	10,155	10,253
Total Capital	9,729	11,542	11,681	11,636
RWA	64,218	65,841	65,872	65,435
CET 1 Ratio	12.68%	14.56%	14.76%	14.44%
AT1	0.21%	0.66%	0.65%	1.23%
T1 Ratio	12.89%	15.21%	15.42%	15.67%
Tier 2	2.26%	2.32%	2.32%	2.11%
Total Capital Ratio	15.15%	17.53%	17.73%	17.78%

RWA COMPOSITION (€/bn)	31/03/19	31/12/19	31/12/19 post suspension of dividends	31/03/20
CREDIT & COUNTERPARTY RISK	55.4	57.7	57.8	56.9
of which: Standard	29.6	29.9	30.0	29.1
MARKET RISK	2.6	1.9	1.9	2.3
OPERATIONAL RISK	6.0	6.0	6.0	6.0
CVA	0.2	0.2	0.2	0.2
TOTAL	64.2	65.8	65.9	65.4

FULLY PHASED CAPITAL POSITION (€/m and %)	31/03/19	31/12/19	31/12/19 post suspension of dividends	31/03/20
CET 1 Capital T1 Capital Total Capital	6,892 6,896 8,347	8,453 8,754 10,280	8,600 8,902 10,427	8,423 9,122 10,506
RWA	63,942	65,856	65,912	65,353
CET 1 Ratio	10.78%	12.84%	13.05%	12.89%
AT1	0.01%	0.46%	0.46%	1.07%
T1 Ratio	10.78%	13.29%	13.51%	13.96%
Tier 2	2.27%	2.32%	2.31%	2.12%
Total Capital Ratio	13.05%	15.61%	15.82%	16.08%

RWA COMPOSITION (€/bn)	31/03/19	31/12/19	31/12/19 post suspension of dividends	31/03/20
CREDIT & COUNTERPARTY RISK	55.1	57.7	57.8	56.9
of which: Standard	29.3	30.0	30.0	29.0
MARKET RISK	2.6	1.9	1.9	2.3
OPERATIONAL RISK	6.0	6.0	6.0	6.0
CVA	0.2	0.2	0.2	0.2
TOTAL	63.9	65.8	65.9	65.4

Ratios as at 31/03/2019 and 31/03/2020 include also the Net Income of the pertinent quarter.

CONTACTS FOR INVESTORS AND FINANCIAL ANALYSTS

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

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

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

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