Banco BPM SpA — Investor Presentation 2021

Nov 5, 2021

Strategic Plan 2021-2024

Delivering value in a new growth-oriented environment

5 November 2021

Disclaimer

This presentation has been prepared by Banco BPM ("Banco BPM") and includes certain forward looking statements, projections, objectives and estimates reflecting the current views of the management of the Bank with respect to future events.

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. These forward-looking statements and information were developed from scenarios based on a number of economic assumptions for a given competitive and regulatory environment.

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.

The information contained herein has not been independently verified. No representation or warranty, express or implied, is or will be given by Banco BPM, its subsidiaries or any of their respective representative, directors, officers, employees or advisers or any other person as to the accuracy, completeness or fairness of the information contained in this presentation and no responsibility or liability whatsoever is accepted by the same for the accuracy or sufficiency thereof or for any errors, omissions or misstatements negligent or otherwise relating there to.

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Agenda

Out of the Crisis:

A new promising scenario

Scenario: multiple sources largely converging on strong GDP growth with upward Euribor movement mainly in 2024

1.PNRR = "Piano Nazionale di Ripresa e Resilienza", i.e. Italy's National Recovery and Resilience Plan Source: Prometeia, Banco BPM Research Department

PNRR: the "once-in-a-lifetime" occasion for Italy to re-establish enduring and sustainable growth within the wider "Next Generation EU" initiative

• A program aimed at transforming the whole Italian economy, fully endorsed by the EU
• Huge indirect impact on private investments – and thus on bank lending
• A life-time opportunity for our country and, therefore, for a group like Banco BPM, with its strong presence in Italy's most dynamic geographic areas and industries

1. Total funding = PNRR €191.5bn + React UE €13.0bn + Complementary fund €36.6bn 2. Source: MEF-DT elaboration on QUEST results, PNRR, Estimated GDP impact of PNRR components (percentage deviation from baseline)

7

Banco BPM's performance track record

Well-established areas of strength, proven ability to deliver

BANCO BPM: Well-established areas of strength with clear potential

	Strong franchise in Italy's wealthiest regions	Regional weight on total loans to customers1 Lombardy: 41% Veneto: 12% Emilia-Romagna: 10% Piedmont: 8%	~70% of our loans together represent	in 4 regions which GDP2 ~50% of Italy's
	Ability to provide a full range of products & services	One of the primary Private Banks in the Italian market	Top Italian broker, market maker and issuer of structured products	Integrated leading digital brand, online since 1999
	Solid delivery track record	• Successful completion, well ahead of schedule, of a complex integration Strong delivery machine – able to far exceed efficiency and de • risking targets • Solid financials, built on well-recognized areas of operational excellence
	Significant value in partnerships with leading players		Leading national player: significant contribution to Net Income combined with high growth potential Top independent AM player High growth potential especially in non-life, with the opportunity to fully internalize the value chain
1. On performing Loans -	reference date: 30/06/2021			8

1. Source: BBPM elaboration on Istat Dataset "Prodotto interno lordo lato produzione" Edition Dec. 2020

2016/2019 ("Merger") Plan: mission accomplished, with strong outperformance in Asset Quality, Cost Efficiency and Capital targets

E-MARKET SDIR
CERTIFIED

	Main items	2015	20192 Target	2019 Actual	Challenging environment (2017-2019), %
					Euribor 3M
	Gross NPE stock	€31.5bn1	€23.2bn	€10.1bn	+0.1
Asset quality	Gross NPE ratio	24.8%1	17.5%	9.1%	0.1 2019 2017 2018
	Net NPE ratio	15.7%	11.1%	5.2%	-0.1
	Branches (#)	2,417	2,082	1,717	-0.3 -0.3 -0.3 -0.38
Cost efficiency	Staff (#)	25,073	22,560	21,950	-0.32
	Operating costs	€3,086m	€2,909m	€2,604m	-0.5
	Total revenues	€5,117m	€5,209m	€4,293m	GDP
Profitability	Net income	€594m	€1,100m	€797m	2 1.7 Actual 1.2
Capital	CET1 ratio FL	12.3%	12.9%	13.0%	1.0 0.9 1.1
position	Texas ratio	162%	114%	52%	1

Solid profitability despite the challenging environment³

1. Nominal values including write-offs

2. Strategic plan 2016-2019

3. Delta vs original assumptions: Euribor (+0.10% Target vs -0.38% actual); GDP growth (+1.0% target vs, 0.3% actual); Change in perimeter: disposal of Gestielle and others; Reduced NII contribution from NPE

9

Banco BPM reacted promptly to the Covid-19 crisis: acceleration towards a more flexible and digital-oriented Business Model

Business Model adapted to the new challenging scenario immediately after the outbreak of Covid-19

Service model

• New digital-based customer interaction, with strengthened use of remote banking channels and new tools and solutions (Advanced Customer Analytics, Big Data, Digital Identity, etc.)

Operating structure & employees

• Proven flexibility in cost management: ability to reduce Operating Costs by >€170m in 2020 vs. previous year
• Stronger focus on new patterns of agile work to preserve the safety of customers and colleagues, while ensuring business continuity and commercial effectiveness

Customers

• Dedicated commercial efforts immediately activated to provide our customers with adequate levels of financing, leveraging on public support measures

BBPM market share: Covid State-guaranteed loans vs. Core Customer Loans as at 30/06/2021²

1. Include both Covid-related and Non Covid-related State-guaranteed loans

2. Market share of Covid State-guaranteed loans ABI/Bankit data as at end of June 2021; Market share data on Core Customer Loans as at 31 July 2021.

Back on track faster than expected: strong volume and profitability growth achieved in 9M 2021, with further derisking and solid capital

Cost of Risk, Progressive annualised data – bps

Net Profit from Continuing Operations, €m

+€227m Adj.

+€246m Adj.

+€251m Adj.

+€128m Adj.

Volumes Profitability Asset quality & solvency ratios

MDA Buffer FL, bps

1. As per the EU Transparency Exercise

Solid commercial track record and reliability: ready for new credible and ambitious strategic targets

Strong evidence of commercial activity being already ahead of the 2023 targets included in the "old" strategic plan, notwithstanding a worse-than-expected macro scenario:

• Wealth Management: strong pace of investment product placements; 2021 progressively emerging as the best year since the merger
• Core Customer Loans: significant growth since 2019 – faster than previous plan expectations – seizing the opportunity of publicly guaranteed loans

2021-24 STRATEGIC PLAN

Financials & KPIs

STRATEGIC PLAN 2021-2024

New 2021-2024 Strategic Plan targets vs. old 2020-2023 Strategic Plan

STRATEGIC PLAN 2021-2024

A solid track record, fostering a strong future performance

1. Calculated as Net Profit from P&L (year x)/ Tangible Shareholder Equity 31.12.XX (excluding Net Profit of the period and AT1 instruments) 2. 2017 and 2018 P&L data not fully comparable, due to different accounting standard (2017) and reclassification schemes (2017 & 2018) 3. Calculated as per the EBA EU Transparency Exercise

Key targets of the Strategic Plan 2021-2024 Profitability highlights

2021G data represent the management guidance already provided to the market with the H1 2021 results presentation

1. Include net interest income, net commissions and net income from associates. 2. Excluding also AT1 from Tangible shareholders' equity

Key targets of the Strategic Plan 2021-2024 Pre-Provision Income evolution

Customer volumes

PNRR-enabled lending growth coupled with significant increase in AuM

€ bn

CAGR 2020-2024 CAGR 9M 2021-2024

1. M/L-term loans (Sec. and Unsec.), Pool and Structured Finance (incl. revolving) 2. Investment products placements include AuM product and also Capital Protected Certificates

Key targets of the Strategic Plan 2021-2024 Asset quality, Capital position, Liquidity & Funding

CET1 ratio and MDA buffer

CET1 ratio Fully Loaded (%)

Solid capital position and wide buffers further improved

Capital Management actions: creating additional CET1 capital equivalent to +20 bps on a net basis over the plan horizon

IMPACTS ON CET 1 RATIO		DETAILS
Negative impact -42 bps	Consumer Finance: expiration of Agos put option -26 bps	▪ Expires in mid-2023 - conservatively assumed as not renewed Any restructuring agreement (e.g., put extension, IPO, ▪ etc.) might have positive impact on capital
	Bancassurance -16 bps	Base case, assuming 100% internalization and application ▪ of Danish Compromise, as in all similar Eurozone cases
		Before Basel IV tailwinds
Capital absorbing	Profamily run-off +10 bps	▪ Progressive run-off of historical consumer finance portfolio (~€0.5bn RWA) coming from former BPM subsidiary
Positive impacts	Real Estate Optimization +15 bps	▪ Disposal over the plan horizon (~€0.7bn RWA) ▪ Focus mainly on properties held as investments
+62 bps	Balance Sheet Management +36 bps	▪ Synthetic securitizations: cumulative impact of ~ +30 bps ▪ Other managerial actions (e.g.: cancellation of unused credit lines): ~ +6 bps

2021-24 STRATEGIC PLAN

Based on 3 rock-solid Pillars, enabled by a comprehensive set of infrastructural measures

A comprehensive program embracing the whole business model

BBPM's DIGITAL TRANSFORMATION Ready for a new digital-driven service model

Main digital-enabled achievements Key focus areas

Significant reshaping and optimization of the physical distribution network

increasingly representing the key channel for customer interactions

Branch-based Remote-based

• Adoption of new Advanced Analytics and Digital marketing capabilities/ tools
• Accelerated Catalogue Remotization for Products and Services

volumes can still be

'digitalised'

Wire Transfers MAV/Bills/F24

1. Data refer to 2020

3.9 4.2

10.6

2.5

2021E

Digital-driven service model – Matching the digital shift of customer attitudes and activities and pursuing paperless experience

26

1. Includes Cash Withdrawals, Wire Transfers and MAV/F24/bills

2. Annualized data based on 9M 2021 results

Digital-driven service model

Increasing the commercial focus of the distribution network

1. Internal and external (outsourced) total Customer Center frontline FTE's

Digital-driven service model

Omnichannel and Analytics contributing to revenue growth

Digital-driven service model – Enabling a significant expansion of the revenue base and increased commercial focus of the network

1. Annualized data based on H1 2021 results

Digital transformation enabling commercial growth throughout 4 main segments/business areas

Further development of our solid household client base through an innovative digital approach

D I
0
t

Specialization in the service model and adoption of new distribution formats to facilitate expansion into underpenetrated areas and to improve cross-selling

Family Banking Wealth Management

A constantly evolving omnichannel approach based on state-of-the-art products and financial advisory tools

SMEs Corporate & Investment Banking

Further strengthening our role as a key player leveraging on increased strategic focus and Group synergies

Family Banking Significant growth in core revenues

1. Loans of Family Banking, excluding NPE 2. Core revenues of Family Banking, excluding NPE and AuM/AuC (management data; interest calculated using internal transfer rate) 3. Annualized data based on 9M 2021 results 4. Margins on loans and deposits include both volume and spread effects

Family Banking Strategic ambition, action drivers and commercial KPIs

		Selected KPIs
	✓ Omnichannel-based approach		Target 2024
	Fully implemented Omnichannel	Customer-centric focus on financial needs • • Relationship Managers involved to provide advice and develop business opportunities ✓ Proactive commercial contribution from Digital branch	Household Mortgages		vs. €3.8bn in 2019
Strategic ambition Futher	Approach	✓ Marketing automation supporting productivity/ commercial penetration realignment on selected areas (e.g. consumer finance)	(new volumes)	€4.6bn	vs. ~€4.3bn in 2021E1
development of our solid household client base through an innovative digital approach	Leverage on high standing product factories	✓ Full exploitation of the collaboration with product factories: Agos and Bancassurance	Consumer		vs. €974m in 2019
	Focus on ESG and	Customer value management approach leveraging ✓ on behavioral clustering and focusing on specific opportunities (e.g. Government guarantees on mortgage loans for younger borrowers, third age, etc.)	Finance (new 2 volumes)	€1.1bn	vs. ~€900m in 2021E1
	specific customer segment opportunities	✓ refocalization on Millennials and digital customer acquisition, in full synergy with the branch network High impact of ESG driven by PNRR-related ✓ development of green mortgage loans as well as energy requalification of household Real Estate assets (Superbonus 110%)

Wealth Management

Exploit deposit base to increase AuM, with positive impact on revenues

• 9M 2021: AuM Growth of ~€4bn, of which ~€2.4bn net inflows and ~€1.6bn market effect
• 2022-24: increasing net inflows up to €4.4bn in 2024, with market effect prudently maintained below €1bn per year

1. Consolidated data. Core Direct Funding includes Current Account and Deposits 2. Annualized data based on 9M 2021 results

Wealth Management

Strategic ambition, action drivers and commercial KPIs

✓ Full synergies with Anima

Wealth Management

Important contribution from

Highlights on current status (forecast 2021)		Strategic focus areas		Selected KPIs
Private Banking	€17.4 bn volumes Direct & Indirect funding • Additional €14.8bn from other BBPM	New Service Model	• • •	New customer segmentation (Institutional/UHNWI/Corporate) New ESG-focused WM approach, with a dedicated service model Reinforced network and central organization	Indirect funding (dedicated	Target 2024 €18.3bn	vs. €14.6bn in 2019 vs.
customers/ activities1		Empowered	• •	New family office services Expansion in private insurance and protection solutions	HNWIs')		~€15.4bn in 2021E2
Dedicated HNWI Bank	270 Private • Bankers/ Financial Advisors Aletti Fiduciaria •	Value Proposition	• • •	Private Bankers recruiting plan New alternative and private market product offerings Empowered Academy	o/w AuM (dedicated HNWIs')	€14.3bn	vs. €10.5bn in 2019 vs. ~€11.3bn
and Aletti Suisse			•	Dedicated SME and corporate synergies program			in 2021E2
Investment Center	~70 Financial Specialists dedicated to Banco BPM retail network	Synergic growth strategy	• •	Cross-fertilization with investment banking & fiduciary services and Institutional clients dedicated digital solutions	Fee income	€123m	vs. €87m in 2019 vs.~€100m in 2021E2

35 1. Includes: €7,4bn indirect funding managed deposits for Custodian Bank activities, € 6,7bn of Banco BPM customers managed by Banca Aletti (the so-called "Accreditati" ) and € 0.7bn of Institutional customers 2. Annualized data based on 9M 2021 results

New public measures generating significant business development prospects in Corporate & SME Banking

~76

~80

Super & Ecobonus: already contributing to P&L with a long-term perspective

• As of 30/9/2021: volumes ~€650m, total NII associated ~€58m, progressively booked in P&L according to maturity of underlying assets¹ , net commissions ~€5m²
• Total volumes expected by end-2023: ~€3.5bn, leading to a cumulative NII contribution of ~€315m (to be booked progressively over time according to maturity of underlying assets¹ )

PNRR: a game changer for the Italian market, a unique opportunity for BBPM
Ambition: become a		Reference Lending Partner:		Impact on lending growth (Focus: B2B Loans, €bn)
distinctive player supporting our clients to explore and		Financing/co-financing high-value added projects, either directly and/or through the purchase of tax credits	31/12/2020 Growth "before" PNRR 31/12/2024E "before"	~71 ~5
exploit the full potential arising from				PNRR PNRR impact 31/12/2024E "after"	~4
the PNRR throughout the whole value chain by playing 2		Advisor of Choice: Offering specialized consultancy services enabling our customers to seize the main		PNRR PNRR full impact potential ~€8bn, conservatively reduced to ~€4bn in our estimates
pivotal roles		opportunities arising from PNRR		• CAGR "before" PNRR: 1.8% • CAGR "after" PNRR: 3.1%

1. Maturity variable between 5 and 10 yrs depending on the characteristics of the assets 2. Net commissions generated on a one-off basis

SMEs Significant revenue growth outpacing increase in volumes

1. Loans of SMEs, excluding NPE

2. Core revenues of SMEs, excluding Wealth management, NPE (management data; interest calculated using internal transfer rate)

3. Annualized data based on 9M 2021 results

4. Margins on loans and deposits include both volume and spread effect

SMEs Strategic ambition, action drivers and commercial KPIs

Differentiated customer management Specialization in Strategic ambition

the service model and adoption of new distribution formats to facilitate expansion into under-penetrated areas and to improve crossselling

according to company size and needs

Action Drivers

Dedicated initiatives to pursue attractive opportunities

Transactional services

Advisory & financing services Relationship Manager

Composite Coverage Teams with dedicated Specialists supporting the local Relationship Managers in the most strategic service lines

• PNRR-related financing and services
• Agrifood
• State-incentivized finance
• Ecobonus/Superbonus

New Customer Loans

vs. ~€271m in 2021E¹ vs. €249m in 2019 Net fees and commissions: strategic components² €338m

Selected KPIs

Target 2024

1. Annualized data based on 9M 2021 results 2. High-value added business: acquiring, trade receivables, non life insurance, consumer finance, structured finance, hedging, trade finance and other selected non-traditional services

SMEs Significant contribution expected from new SME Business Centers

New Management Model for SME clients (€5-75m turnover): serving ~45k SMEs, with loans of ~€20bn

➢ Of which ~70 SME Business Centers in areas with high growth potential for BBPM

in particular: Turin, Bologna, Padua, Vicenza, Treviso, Florence, Bari ...

➢ … with dedicated task forces of development-oriented Relationship Managers

Corporate & Investment Banking Building on a strong market position to deliver further volume and revenue growth

1. Corporate and Institutional, excluding NPE

2. Corporate, Institutional and Banca Akros, excluding NPE (management data; interest calculated using internal transfer rate)

3. Annualized data based on 9M 2021 results

4. High-value-added business: Corporate (trade finance, hedging, structured finance and pro-soluto) + Banca Akros

5. Margins on loans and deposits include both volume and spread effect

Corporate & Investment Banking

Strategic ambition, action drivers and commercial KPIs

	Action Drivers			Selected KPIs
Strategic	Growth in high-value added businesses	• Reinforce our Leadership position in the Structured Finance business, thanks to hiring new selected skills in structuring and strengthening syndication capabilities; Bolster our Trade and Structured Export Financing business •	New	Target 2024	vs. €10.1bn in 2019
ambition Strengthening our role as a key player leveraging on increased strategic focus and Group synergies	Seize the PNRR opportunity	• Enhance liquidity and support the working capital needs of Corporate clients (Supply Chain Finance and Tax Credits) • Finance PPP projects and advise PA in funding key infrastructure projects • Focus on Specific Sectors/ Industries relevant within PNRR	Customer Loans Fees	€11bn	vs. ~€9.1bn in 2021E1 vs. €157m
	Exploit Group Synergies	Tailor-made approach and client centricity as the way to • exploit the full capabilities of Banca Akros and Banca Aletti • Facilitate clients' access to capital markets and to international M&A opportunities (through partnership with Oaklins)	generated in high value added businesses2	€213m	in 2019 vs. ~€172m in 2021E1
	Core Business Optimizations	Optimization of the risk-return profile: focus on capital • efficiency & EVA contribution • Increase in effectiveness through support/analysis tools, i.e. risk- adjusted pricing, forward looking evaluation of customer performance	SoW3	12.0%	vs. 10.6% 31/12/2019 vs. 11.2% 30/09/2021

1. High-value-added businesses: Corporate (trade finance, hedging, structured finance and pro-soluto) and Banca Akros 3. SoW of Corporate segment – target referred to end of period

Corporate & Investment Banking Investment Banking: further reinforcement of

4 business lines providing specialized support to the Group's customer base and generating "stand-alone" revenues

Core Income Breakdown and Net Profit

Main action drivers

• Investment Banking: support and develop Group client base leveraging on the international M&A network Oaklins – active in ~50 countries – with further M&A specialisation in new industry segments and facilitate Group clients' access to capital markets
• Brokerage: capitalize current leadership position in placing capabilities and brokerage activities/equity research, with further development of on-line customers and foreign investors
• Corporate & Institutional Banking: promote innovation in products (e.g. Direct Listing of Certificates and Structured insurance policies) and services (e.g. Hedging of selected commodities), with focus on digitalization and ESG-based products
• Global Markets: enhance trading/market making activities, financial engineering and hedging services

STRATEGIC GROWTH ENGINES Our high-value product factories

High growth potential, with opportunity to internalize the whole value chain

Bancassurance Asset Management

Top independent AuM player

Consumer Credit

Leading national player: significant and reliable contribution to Net Income, combined with high growth potential

BANCASSURANCE: partnerships restructured in 2021, enabling future Business Model evolution – full internalization by end-2023

Bancassurance participations: current set-up and recent developments

• Agreement with Cattolica granting Banco BPM a call option to acquire 65% of the Vera JVs
• Call can be exercised starting from mid-2023

July 2021

• Agreement with Covea granting Banco BPM a call option to acquire 100% of BPM Vita
• Call can be exercised starting from September 2021 until end-2023

Potential evolution: key elements to take into account

BANCASSURANCE

Significant opportunities, both in life and in non-life

1. "Europe" includes UK, Germany, France and Spain

2. Number of Sales transactions / Individual Customers, including automatic renewals where applicable (indexed, 2019 = 100) Source: Economist Intelligence Unit, Ania, ABI, ICEA, Finaccord report, EMF Group, Analyst Presentations and other market researches

BANCASSURANCE

Strong growth enabled by increased focus on the product

Highly sustainable volumes considering the total sales capacity of BBPM's network (total placements of investment products: (€14.2bn in 9M 2021; €19.6bn in 2024E)

GWP (€m)

NON-LIFE

Wide opportunity for BBPM to increase its productivity in the Non-Life insurance business (BBPM 2020 Non-Life Insurance product diffusion on individual customer base is below 15%; home insurance < 10%; health insurance < 3%) while exploiting expected market growth

ANIMA Independent asset manager, at the crossroads of potential market consolidation options

• Strong volume growth potential generated by Banco BPM's ambition in WM

• Further indirect benefits from Banco BPM's expansion in Bancassurance, leveraging on consolidated relationships with BPM Vita and with Vera Vita/Vera Assicurazioni

AGOS A consolidated value generation history in a solid business

1. Relationship Managers dedicated at individual customer management level. Data refer to 9M2021

1. Income from associates net of tax as equity profits are not relevant for tax purposes

BALANCE SHEET: Further strenghtening in Asset Quality and strong risk control in Financial Investments and Funding Strategies

Credit & Asset quality: Achieve and maintain the status of "low NPE Bank"

• Credible NPE strategy based on our strong derisking track record
• New monitoring & management systems set to improve our asset quality in the coming years

Financial Asset & Liability Management: Confirm and further improve Banco BPM's solid profile

• Strong Liquidity & Funding position, no reliance on ECB's extraordinary funding measures
• Active management of Bond Portfolio investments, with continuing trend aimed at reducing the share of Italian Govies

Credit & Asset Quality – Asset quality evolution elaborated starting from available estimates at national level, taking into account BBPM footprint + strong managerial actions

Estimates at national level				"Inertial "evolution for Banco BPM	Initiatives 2020-24
			Banco BPM's evolution	footprint allows to assume a "better than-national-average" inertial	4 strategic initiatives aimed at achieving further asset quality improvements vs.
Default rate, %				Analysis at district ("provincia") level: "Italian Banking Industry" Default Rate (DR) vs Banco market share. Reference date: Dec. 2020	"inertial" evolution
2.7	2.0		"Industry" DR	BBPM loans market share		Share of BBPM loans		Credit risk data warehouse
		1.6	<1.5%		>6%	96.2%		Credit policy strengthening
2022E	2023E	2024E				3.5%		Monitoring & EW system evolution
			1.5%-2%	~3%				New approach to NPE management
			>2%	~1%		0.3%

1.Reference date: 2020 for default rate; 31/12/2020 for BBPM market share and share of BBPM loans Source: Prometeia; Bank of Italy statistics

Credit & Asset Quality – New monitoring & management system set to improve our asset quality in the coming years

ystem s	CERTIFIED

Advanced credit risk data warehouse	• Integrated managerial and risk data Strengthen granularity enabling full data analytics –based visibility • throughout the organization supporting decision making	1.8% 1.2% 1.0% Danger rate, %
Strengthening of credit policies	• Higher policy specialization by sectors (e.g. Agrifood and Real Estate) and inclusion of a dedicated Financial Sustainability module in line with EBA LOM guidelines Clearer focus on risk-reward perspective and support of ESG • initiatives (focus on CO2 reduction and energy savings)	14.7% 12.3% Cure rate, %	10.0%
Monitoring & Early Warning system evolution	• Strengthened integration with budgeting and MBOs • New EW development, leveraging on daily bank account data and machine learning techniques • Improved risk control through workflow-driven strategies • Performance-based risk prevention, operational KPI setting and monitoring	6.4% 3.5% 4.3% NPE Workout rate1 , % Proactive/accelerated usage of DPO/single name disposals 20.4% 18.3% 5.2% 5.1%	21.9% 4.6%
New approach to NPE management	• Full activation of the JV with Gardant allowing workout improvement in bad loans • Definition of more standardized UTP management approaches, defining quicker and more effective workout solutions • Activation of a more proactive and intense use DPOs and single name disposals	17.3% 15.2% 13.2% 2022E 2023E 2024E 2022 estimates include conservative assumptions on exit trajectory Covid-19 pandemic	from

Default rate, %

New de-risking initiative: €650m additional disposals – already fully provisioned in 9M 2021

Balance Sheet – Liquidity & Funding strategy and Securities portfolio management

	Outstanding, € bn 37.5	Reduction of reliance on ECB funding • Progressive full reimbursement of TLTRO: leveraging on excess liquidity • Usage of "ordinary " ECB funding: ECB 9.0	Key Funding & Liquidity Targets
Liquidity & Funding	30/09/21	funding outstanding at end 2024 expected at €9bn (wholly represented by L-TRO) YE 2024E • Reduction of ECB assets from around €28bn to around €3bn	LCR well >140% throughout the Plan
	• •	Net Bond issuances (incl. LT repos) 2021E-2024E1 +€2.4bn unsecured bonds (Senior and Subordinated) +€11.8bn secured bonds (covered bonds, ABS & LT repos)	NSFR comfortably >100% throughout the Plan

Balanced share of Italian Govies

1. Issues net of maturities

Securities portfolio

Further reduction of Italian Govies in a strategy oriented to preserve stable duration and sensitivities (down to <50% of total Govies at YE 2024E, vs. 59% as of 30/9/2021)

Solid buffer preserved vs MREL requirements on a continuous basis

Planning for the future

• A people-oriented approach aimed at attracting and retaining talents
• Skills and competence building, coupled with strong cost discipline

IT & processes:

New digital-enabled backbone to support the Group transformation

• Streamlined processes fully leveraging on digitalization
• €650+ m IT investments to support the architectural model, omnichannel, IT operating model and cybersecurity

People strategy – enhanced voluntary retirement scheme coupled with network rationalization actions to keep costs fully under control

• A voluntary retirement scheme involving ~1,600 HC in 2021-23 → +~500 vs. Old Plan Target
• Use of benefits from the solidarity fund, favoring generational turnover and youth employment, with ~800 new hires between 2021 and 2023

o/w: ~1,000 already retired in June 2021

• Increased ambition vs Old Plan target: > 200 further closures

People Strategy: planning for the future – A people-oriented approach aimed to attract and retain talents

People Strategy: planning for the future – Skill and competence building coupled with strong cost discipline

Technology enabling the Strategic Plan

Key initiatives 2021-2024 Selected KPIs

Data & Analytics	Using data to empower decisions • Evolve the Data architecture and adopt Advanced Analytics • Develop data-driven Customer Journeys
Emerging technologies	Adopt technologies with transformational potential for our business • Boost IT transformation with new technology (es. Cloud native application, Machine learning, Microservices, API) • Open innovation to exploit new "external" opportunities	Total IT investments… €650m+ cumulative	… o/w digital-related ~€250m cumulative
Digital transformation	Delivering outstanding customer experiences • Consolidate the 'Mobile first' approach in the adoption of the omnichannel model • Partnerships with fintech companies, innovation centers and universities for the use of Open Banking solutions	'21E-'24E Evolution +70% ~135	'21E-'24E of IT investments, €m ~170
Operational excellence	Continuous Improvement and slimming down complexity • Create a stable operating environment leveraging on IT assets lifecycle process • DevSecOps lifecycle based on continuous development	100 2020 2021E	Annual avg. 2022E-24E

Strengthen cybersecurity posture – Resilience and IT risk management

Key initiatives 2021-2024 Selected KPIs

IT risk evaluation	Manage security risks effectively • Deliver forward-looking visibility on IT risks to empower technology and business development • Continuous improvement of confidentiality, availability and integrity of customer data in line with regulatory requirements (GDPR, Privacy)
Security by design	Build a future-ready cyber-resilient business Stay ahead with security research and innovation to unlock • technology adoption (e.g. Cloud, Online Services, Third Parties, ) Take advantage of DevSecOps to embed security in IT developing • lifecycle	'21E-'24E
Defence in-depth	Reduce exposure to threats and contain attacks • Layering security defence to improve detection, prevention and recovery from cyber attacks • Zero trust approach to keep pace with the evolution of threat landscapes
Resilience	A pathway from business continuity to organizational resilience Adapt the continuity plan to absorb shocks in a complex and rapidly • changing environment Enhance recovery solutions to face emerging challenges (e.g. • security threats, climate changes, etc.)

Evolution of security investments,

ESG Integration Governance and accountability: important goals already achieved

ACTION DRIVERS

• Strengthening of our ESG commercial offering with dedicated workforce specialized in ESG

• Expansion of the range of ESG AuM products, aimed at channelling our customers' savings

• Advising Corporate and SME clients to face ESG challenges with training and workshops

• Enhancing our ESG proprietary investments

• Increasing the issuance of green and social

KEY TARGETS

	CUMULATIVE TARGET 2021-2024
SHARE OF NEW LENDING TO GREEN/LOW TRANSITION RISK SECTORS	> 65%
(NEW LENDING)1 BBPM GREEN RESIDENTIAL MORTGAGES	€4bn
PURCHASE OF REAL ESTATE TAX CREDIT2	€3bn
AKROS AS LEAD MANAGER OR BOOKRUNNER OF ESG BONDS	€12.5bn
2020 CORPORATE BOND PROPRIETARY PORTFOLIO: 8% SHARE OF ESG BONDS	TARGET 2024 > 30%
	CUMULATIVE TARGET 2021-2024
ISSUANCE OF GREEN & SOCIAL BONDS	€2.5bn

In addition dedicated "ESG financial" training planned for SMEs – over 1,500 hours

bonds

products and services

towards sustainable initiatives

1. Mortgages granted to customers for property in classes A-B-C or renovated with energy efficiency improvements 2. Purchase of real estate tax credit related to "Superbonus 110%": tax incentives linked to energy redevelopment and seismic risk reduction operations

63

ACTION DRIVERS

• ESG factors fully integrated into BBPM's credit policies across all sectors, with tangible results already expected in 2022:
  • − Exclusion or strictly selective approach for sectors with high environmental risk – representing only 2% of our loans¹
  • − Driving change: active support to the climate transition of our customers by dedicated forecasting tools to evaluate and stimulate the adequacy of ESG business plans
• Risk Management Framework integrated with Climate factors:
  • − Full inclusion of Climate factors into RAF² , ICAAP and stress testing starting from 2022
  • − Climate-related and environmental risk factors fully embedded in BBPM's Internal Rating System by 2023

KEY TARGETS

OVER THE PLAN HORIZON

STOP NEW LENDING TO SECTORS STRONGLY AFFECTED BY CLIMATE TRANSITION:

• Mining and quarrying of hard coal
• Manufacture of coke oven products
• Coal-based energy production

NEW LENDING TO FOSSIL FUELS-RELATED SECTORS LINKED TO TRANSITION PROJECTS

> 80%

SIGNING OF:

• NET-ZERO BANKING ALLIANCE
• TCFD³
• SCIENCE BASED TARGETS INITIATIVE⁴

ESG Integration MILESTONE 3 - People Strategy

ACTION DRIVERS

• ESG accountability: management incentive schemes to include a selected number of KPIs connected to the different responsibility/unit/role, extended to a wider group of managers
• Diversity & Inclusion:
  • Talent enhancement and increase in the share of women in managerial positions
  • In-depth evaluation of the current status of D&I, including Gender Pay Gap, in order to define an effective action plan
  • Reinforce programs for the reintroduction of personnel on maternity leave
• Attraction and retention of young talents: partnerships with universities, tailor made development programs
• Identification of ESG ambassadors in all corporate functions, accountable for the integration of ESG topics in our policies by 2024

KEY TARGETS
	TARGET 2024
SHARE OF WOMEN IN MANAGERIAL POSITIONS	> 30%
SHARE OF NEW HIRINGS BETWEEN 20-30 YEARS1	> 90%
SMART WORKING DAYS	500,000
ESG AMBASSADORS	> 100

OVER THE PLAN HORIZON

• 400,000 TRAINING HOURS FOR EMPLOYEES ON ESG THEMES
• ONGOING SUPPORT TO OUR EMPLOYEES THROUGH OUR SOLID INCLUSIVE WELFARE SYSTEM

	ACTION DRIVERS	KEY TARGETS
•	Subscription of UN Global Compact	OVER THE PLAN HORIZON
•	Supporting initiatives aimed at community resilience and wellbeing: Art and Culture, Charity, Research and Health, Education, Inclusive Sports projects.	GRANTS FOR SUPPORT TO SOCIAL AND ENVIRONMENTAL PROJECTS	~ €10m
•	Sustaining local social initiatives, in particular improving school equipment and rewarding talented students	AIRC2 INSTITUTIONAL PARTNER	5,000 researchers & 660 projects
•	Confirming BBPM as a strong financial partner for the Third Sector1	SOCIAL INITIATIVES FOR LOCAL COMMUNITIES, SCHOOLS AND STUDENTS	> 300 initiatives
•	Investing in educational activities thereby fostering our ESG culture: financial education, ESG awareness, gender equality in STEM, campaigns engaging partners, suppliers and clients	NEW LENDING TO THIRD SECTOR	> €700m
•	Involvement of our employees in corporate community services	CORPORATE COMMUNITY SERVICES, ESG AWARENESS AND FINANCIAL EDUCATION	> 10,000 hours

1. Non-governmental and non-profit-making organizations or associations, including charities, voluntary and community groups, cooperatives, etc. 2. AIRC Italian Association for cancer research. Banco BPM istitutional partner since 2019.

2021-24 STRATEGIC PLAN

Concluding remarks

Key targets of the Strategic Plan 2021-2024

	€bn	2020	2021G	2023E	2024E	CAGR '20-'24
Profit & Loss	Total revenues	4.15	~4.4	~4.3	~4.6	+2.4%
	o/w NII + Net Commissions	3.65		~3.9	~4.1	+3.0%	Delta'20-'24
	o/w Associates	0.13		~0.18	~0.28	+21.4%
	Operating costs	(2.46) Adj.	~(2.5)	~(2.4)	~(2.4)	-1.1%1
	Pre-Provision Income	1.69	~1.9	~1.9	>2.1	+6.0%
	Loan loss provisions	(1.09) Adj.		~(0.68)	~(0.58)	-14.6%
	Net income	0.33 Adj.	~0.53	~0.74	~1.05	+33.4%
Key ratios	Cost / Income ratio	59.2% Adj.	~57%	<57%	~53%	~(6) pp
	Cost of Risk (bps)	122 Stated	80/90	58	48	(74)
	RoTE2	3.2% Adj.	~5%	~7%	>9%	+ >6 pp
			30/09/21
Balance sheet & Capital	Net customer loans	109.3	108.7	~116.1	~121.1	+2.6%
	Direct funding3	120.1	121.4	~127.5	~132.0	+2.4%
	Indirect funding4	91.6	96.6	~106.8	~111.4	+5.0%
Key ratios	CET1 ratio FL	13.3%	13.3%	~14%	~14.4%		Gross NPE ratio EBA definition5 2024E: 4.7%
	Gross NPE ratio	7.5%	5.9%	5.4%	4.8%
	Net NPE ratio	3.9%	3.2%	~3%	~2.5%

1. CAGR calculated based on 2020 costs normalized for lower variable remunerations and other covid-related savings for a total of ca. 90m vs. Adjusted data 2. Calculated as Net Profit from P&L (year x)/ Tangible Shareholder Equity 31.12.XX (excluding Net Profit of the period and AT1 instruments). 3. Excluding REPOs and including Cap. Protected Certificates. 4. Excluding Cap. Protected Certificates from AUC. 5. Calculated as per the EBA EU Transparency Exercise.

Concluding remarks

• ✓ A successful restructuring story
• ✓ Ready to start a new journey: a strengthened business model, allowing increasing effectiveness
• ✓ Ambitious targets
  • Based on prudent estimates of key performance drivers
  • Fully credible, taking our delivery track record into account