Banco BPM SpA — Investor Presentation 2021

Aug 5, 2021

H1 2021 Group Results Presentation

5 August 2021

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 and are based on information available to Banco BPM as of the date hereof, relying on scenarios, assumptions, expectations and projections regarding future events which are subject to uncertainties because dependent on factors most of which are beyond Banco BPM's control. 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 forwardlooking 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.

2 H1 2021 Group Results Presentation

METHODOLOGICAL NOTES

• Before 30/09/2020, the impact from the change in own credit risk on certificates classified as financial liabilities measured at fair value through profit or loss was accounted under the item "Net Financial Results" of the Reclassified P&L scheme. Starting from 30/09/2020, this impact net of tax has been reclassified in one new single P&L item: "FV on Own Liabilities net of Tax"; the previous quarters of 2020 have been reclassified accordingly.
• Starting from 31/12/2020, an exposure in separate P&L items after tax is also provided for those non-recurring, particularly significant results deriving from extraordinary decisions (restructuring charges for the use of the redundancy fund, redundancy incentives, branch closure rather than benefits resulting from the decision to realign the fiscal values to the higher accounting values).
• It follows that, all the above mentioned items, together with those already shown in previous years after the net result of current activities ("Charges relating to the banking system after taxes" and "Impairment on goodwill") are placed after the aggregate of the "Net income from current operations", with the aim of allowing a more immediate understanding of the results of current operations. In light of the new classification criteria, the economic data relating to the previous periods under comparison have been restated on a consistent basis.
• In the area of companies consolidated with the equity method, the second quarter of 2020 has seen the entry of Anima Holding S.p.A., in which Banco BPM holds a stake of 19.385%. In the light of the changes brought about in the governance of the company, this stake, which is considered of strategic nature and which is destined to be held on a stable basis, is deemed to represent a situation of significant influence on the side of Banco BPM.

3 H1 2021 Group Results Presentation

Agenda

• 1. Key Achievement Highlights 11
• 1. H1 2021 Performance Details 26

H1 2021 AT A GLANCE: OUTSTANDING RESULTS AND NEW POTENTIAL UPSIDE FROM A REINFORCED BUSINESS MODEL

FINANCIAL RESULTS ACHIEVED IN H1 2021
OPERATING PERFORMANCE	ASSET QUALITY	CAPITAL POSITION	AGREEMENTS FINALISED IN H1 2021, ENABLING FUTURE BUSINESS MODEL EVOLUTION
Strong results confirming the effectiveness of our	Further improvement in the risk profile, while	Sound capital position with
commercial network and ongoing cost containment	maintaining prudent provisioning standards	solid buffers, well beyond management guidance
NET INCOME: €361M Stated €382M Adj.	GROSS NPE RATIO: 6.2% (5.2% EBA definition)2	CET 1 FL: 12.9% MDA BUFFER FL: 402bps
Well above market consensus for FY 20211	Significantly down vs 24.1%3 with no new capital required from shareholders	From 13.3% (YE 20) to 12.9%, despite the absorption of material regulatory headwinds (-95bps)	Flexibility to exploit the full potential in bancassurance, following the recent redefinition of partnership agreements

Notes: 1. Source: Bloomberg and Factset as at end July 2021. 2. Gross NPE ratio calculated as per EU Transparency Exercise. 3. As at 31/12/2016, see slide 21 for details. 1. Summary

5

PROFITABILITY GROWTH SUPPORTED BY SOUND REVENUE DYNAMICS

Note: 1.See slide 29 for details of adjustment elements.

VOLUME GROWTH, FURTHER DERISKING AND SOLID CAPITAL

Notes: 1. See slide 23 for details. 2. As per CRD IV.

EXPANDING DIGITAL BANKING INTO A NEW SERVICE MODEL

banking user experience (+6 p.p. customer score) and ERP integration)

(already addressing > 50% of total assistance requests) to reduce inbound flows and refocusing on commercial activities

paperless relationship and access to available remote offering (first 100k customers enrolled)

Notes: 1. ATM, Internet Banking, Mobile Banking. 2. Users with digital transactions (Internet Banking + Mobile Banking) vs. Users with transactions in all channels (Internet Banking, Mobile Banking, ATM, branch). 3.Users with transactions on mobile and tablet devices vs. users with digital transactions.

CONTINUOUS ESG IMPROVEMENT REFLECTED ALSO IN RATINGS

STRONG POTENTIAL TO SUSTAIN AMBITIOUS PROFITABILITY: NEW STRATEGIC PLAN BY Q3 2021 RESULTS PRESENTATION

• SOLID H1 2021 RESULTS THANKS TO BANCO BPM'S EFFECTIVE RESPONSE TO THE COVID-19 CRISIS
• H1 2021 RESULTS COUPLED WITH A CLEARER MACRO SCENARIO ALLOW TO ANNOUNCE NEW PLAN BY Q3 2021 RESULTS

Note: 1. Targets included in 2020-2023 strategic plan announced on March 3rd 2020. 2. PNRR: Italian acronym for National Recovery and Resilience Plan. 3. EBA definition: gross NPE ratio calculated as per EU Transparency Exercise.

Agenda

• 1. Summary 4
• 2. Key Achievement Highlights 11
• 1. H1 2021 Performance Details 26

KEY P&L HIGHLIGHTS – STATED

Net Income at €361m in H1 2021: €100m in Q1 and €261m in Q2

		P&L STATED			P&L STATED
€ m	Q1 2021	Q2 2021	Q/Q	H1 2020	H1 2021	H/H
NET INTEREST INCOME	497	522	5.1%	954	1,019	6.9%
NET FEES & COMMISSIONS	471	479	1.5%	817	950	16.3%
NFR	100	117	16.9%	83	216	159.1%
OTHER REVENUES	60	78		102	138
TOT. REVENUES	1,128	1,196	6.0%	1,956	2,324	18.8%
OPERATING COSTS	-644	-632		-1,249	-1,276
PRE-PROVISION INCOME	484	564	16.6%	707	1,048	48.2%
LOAN LOSS PROVISIONS	-217	-256		-476	-473
OTHER1	-8	-42		-21	-50
PROFIT FROM CONTINUING OPERATIONS (pre-tax)	259	267		210	526
TAXES	-83	-51		-39	-133
NET PROFIT FROM CONTINUING OPERATIONS	176	216	22.4%	171	392	129.9%
SYSTEMIC CHARGES AND OTHER2	-76	-34		-66	-110
REALIG. OF FISCAL VALUES TO ACCOUNT. VALUE	0	79		0	79
NET INCOME	100	261	161.0%	105	361	243.4%

Notes:1.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. 2. Other includes: PPA and other elements (after tax). See slides 27 and 28 for details of P&L.

KEY P&L HIGHLIGHTS – ADJUSTED¹

Strong Revenue growth driving PPI to €1,035m in H1 2021: +13.1% Q/Q and +45.9% H/H

	P&L ADJUSTED			P&L ADJUSTED			 NII at €522M in Q2 21 (+5.1% Q/Q)
€ m	Q1 2021	Q2 2021	Q/Q	H1 2020	H1 2021	H/H	and at €1,019M in H1 21 (+6.9% H/H)
NET INTEREST INCOME	497	522	5.1%	954	1,019	6.9%	 NET COMMISSIONS at €479M in Q2 21
NET FEES & COMMISSIONS	471	479	1.5%	817	950	16.3%	(+1.5% Q/Q), and €950M in H1 21
NFR	100	117	16.9%	83	216	159.1%	(+16.3% H/H) outperforming strong Q1
OTHER REVENUES	60	78		102	138		2021 results
TOT. REVENUES	1,128	1,196	6.0%	1,956	2,324	18.8%	 NFR:
OPERATING COSTS	-642	-647		-1,247	-1,289		- +16.9% Q/Q, driven by the positive
PRE-PROVISION INCOME	486	549	13.1%	709	1,035	45.9%	evaluation of equity stakes at FV - +159.1% H/H, with excellent results
LOAN LOSS PROVISIONS	-143	-235		-476	-379		from trading, FV activities and
OTHER2	-8	-5		-16	-12		capital gains on securities
PROFIT FROM CONTINUING OPERATIONS (pre-tax)	335	309		217	644		 LLPs at €379M in H1 21, excluding
TAXES	-108	-63		-41	-171		€94m for new de-risking strategy, still
NET PROFIT FROM CONTINUING OPERATIONS	227	246	8.3%	176	473	168.8%	maintaining a prudent approach
SYSTEMIC CHARGES AND OTHER3	-76	-15		-48	-91		 NET INCOME H1 21 at €382M in an
NET INCOME		231	53.3%	128	382	197.5%	environment still impacted by Covid

• and at €1,019M in H1 21 (+6.9% H/H)
• NET COMMISSIONS at €479M in Q2 21 (+1.5% Q/Q), and €950M in H1 21 (+16.3% H/H) outperforming strong Q1 2021 results
• NFR:
  • +16.9% Q/Q, driven by the positive evaluation of equity stakes at FV
  • +159.1% H/H, with excellent results from trading, FV activities and capital gains on securities
• LLPs at €379M in H1 21, excluding €94m for new de-risking strategy, still maintaining a prudent approach
• NET INCOME H1 21 at €382M in an environment still impacted by Covid

Notes:.1. See slide 29 for details of adjustment elements. 2. 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. 3. Other includes: PPA and other elements (after tax). See slides 27 and 28 for details of P&L.

13 2. Key Achievement Highlights

NET INTEREST INCOME GROWTH IN H1 2021

15

NEW LENDING: STILL FOSTERED BY STATE-GUARANTEED MEASURES

1. Key Achievement Highlights Finance. 2. Valid for the application of the Deposit Facility Rate and the Special Interest Rate up until 23 Jun. 2021. 3. Valid for the application of the Deposit Facility Rate and the Special Interest Rate from 24 Jun. 2021 to 23 Jun. 2022 and the for the

application of the Deposit Facility Rate after 23 Jun. 2022.

COVID MORATORIA: 70% REDUCTION WITH VERY LOW DEFAULT RATE

STRONG RESILIENCE OF THE MORATORIA PORTFOLIO:

• Outstanding Moratoria down to €4.8bn:

- representing a very limited portion of gross customer loans (4.3%)

• Composition of loans under Moratoria by rating classes - concentrated in the best rating classes (74%), with Mid-High + High risk rating classes reduced by €2.6bn y/y
• Low adhesion to Law Decree "Sostegni BIS": €5.4bn did not apply for a Moratoria extension
• Marginal Default Rate of the Moratoria of €6.0bn which expired before June 2021: 1.25%

Notes: 1. Includes also Moratoria not perfected. 2. O/W: Government Moratoria €4.6bn and ABI Moratoria €0.2bn.

16 2. Key Achievement Highlights

NET FEES AND COMMISSIONS: Q2 2021 OUTPERFORMING STRONG Q1 2021 RESULTS

Commercial Banking Fees Management & Advisory

• Strong Management & Advisory fees in H1 21 at €486.8m (+24.8% H/H) and Commercial banking fees at €463.3m ( +8.5% H/H)
• Net fees and commissions at €478.7m in Q2 21 (+27.2% Y/Y and +1.5% Q/Q)
• Management & Advisory fees +3.6% Q/Q, thanks to stronger contribution from running and corporate finance & M&A advisory

Note: 1. Management data of the commercial network. Include Funds & Sicav, Bancassurance, Certificates and Managed Accounts & Funds of Funds.

17 2. Key Achievement Highlights

OPERATING COSTS: POSITIVE QUARTERLY TREND

STRONG LIQUIDITY & FUNDING POSITION COUPLED WITH ACTIVE MANAGEMENT OF DEBT SECURITIES PORTFOLIO

Data as at 30/06/2021. Notes: 1. Monthly LCR (Jun. 2021) and Quarterly NSFR (Q2 2021). 2. Include Capital Protected Certificates. 3. Not included in the P&L results, but included in the Capital Position. 4. Included neither in the P&L results, nor in the Capital Position.

19 2. Key Achievement Highlights

FOCUS ON GOVIES PORTFOLIO

30/06/20 31/12/20 31/03/21 30/06/21

3.2

Notes: 1. In years. Management data, including hedging strategies (Swap & Options). Duration of total Govies in the Banking Book at 2.7 years (substantially stable vs. 2.5 years as at end of March).

3.1

20 2. Key Achievement Highlights

NPE EVOLUTION: ANOTHER SIGNIFICANT STEP IN DERISKING

NPE RATIOS AND COST OF RISK

MATERIAL AND ONGOING IMPROVEMENT IN NPE RATIOS SINCE THE MERGER

Notes: 1. IAS 39 data. Include the restatement for managerial purposes (inclusion of a portion of write-offs, in coherence with the restatement done in 2017). 2. Gross NPE ratio calculated as per EU Transparency Exercise. 3. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets net of fiscal effect). 4. Analysis based on Management data.

22 2. Key Achievement Highlights

CAPITAL ADEQUACY: SOLID POSITION AND BUFFERS Ratios well above minimum requirements

1. Dividend accrual with an underlying payout ratio of about 40%. 2. Due to modifications introduced by CRR2 in relation to the Look-Through approach and Counterparty Risk approach.

FINAL REMARKS: EXCELLENT H1 2021 – WELL GEARED FOR FUTURE

STRONG OPERATING PERFORMANCE

Solid growth in volumes and in Core Revenues, coupled with tight cost control, drive the

strengthening of the Group's profitability:

Pre-Provision income: +48.2% Y/Y and +16.6% Q/Q

Stated H1 2021 net income at €361m

Adjusted H1 2021 net income at €382m

SIGNIFICANT IMPROVEMENT IN ASSET QUALITY

Completion of Bad Loan disposal (€1.5bn in Q2 2021), coupled with prudent provisioning and moderate NPE inflows:

Gross NPE ratio down at 6.2% (from 7.5% at year-end 2020), or 5.2% under EBA definition¹ Net NPE ratio down at 3.4% (from 3.9% at year-end 2020)

ROBUST CAPITAL POSITION

CET 1 ratio FL at 12.9%, incorporating -95bps of regulatory headwinds in H1 2021² MDA buffer FL at 402bps, well above the management guidance of 250bps

ADDITIONAL STRATEGIC FOCUS AREAS

Digital Banking: strong commercial performance driver ESG: ongoing business model integration Business model development: enhanced mid-term profitability

SOLID

IN A STILL DIFFICULT

OPERATING

ENVIRONMENT

ACHIEVEMENTS

Notes:

1. Gross NPE ratio calculated as per EU Transparency Exercise.

2. Regulatory headwinds of 85 bps in Q1 2021 and 10 bps in Q2 2021.

3. Key Achievement Highlights 24

FY 2021 OUTLOOK

TOTAL REVENUES	OPERATING COSTS	PRE-PROVISION PROFIT
~€4.4BN	~€2.5BN	~€1.9BN
COST OF RISK	EPS & PAYOUT	CAPITAL
In line with H1 2021 maintaining a very prudent provisioning approach	EPS: 35 cents Dividend payout: ~40%	CET1 FL: ~13% MDA Buffer FL: >350BPS

1. Key Achievement Highlights 25

Agenda

1.	Summary	4
2.	Key Achievement Highlights	11
3.	H1 2021 Performance Details:	26
	- Profitability	27
	- Balance Sheet	31
	- Funding and Liquidity	32
	- Customer Loans and Focus on Credit Quality	38
	- Capital Position	45
	- ESG	46

26 H1 2021 Group Results Presentation

H1 2021 QUARTERLY P&L RESULTS

Reclassified income statement (€m)	Q1 20	Q2 20	Q3 20	Q4 20	Q1 21	Q2 21	Chg. Q/Q	Chg. Q/Q %
Net interest income	474.1	479.5	519.9	509.0	496.8	522.4	25.5	5.1%
Income (loss) from invest. in associates carried at equity	22.3	48.0	36.8	23.7	41.5	56.5	15.0	36.1%
Net interest, dividend and similar income	496.4	527.5	556.7	532.7	538.4	578.9	40.5	7.5%
Net fee and commission income	440.6	376.4	417.7	429.2	471.4	478.7	7.3	1.5%
Other net operating income	16.7	14.9	11.7	12.7	18.2	21.7	3.6	19.7%
Net financial result	0.8	82.7	157.3	77.8	99.7	116.5	16.8	16.9%
Other operating income	458.1	473.9	586.7	519.8	589.3	617.0	27.7	4.7%
Total income	954.4	1,001.5	1,143.3	1,052.5	1,127.7	1,195.9	68.2	6.0%
Personnel expenses	-419.0	-398.0	-357.0	-407.2	-426.9	-417.1	9.8	-2.3%
Other administrative expenses	-154.6	-154.1	-159.8	-125.3	-154.1	-153.9	0.2	-0.1%
Amortization and depreciation	-61.4	-61.7	-64.8	-67.2	-62.9	-60.6	2.2	-3.6%
Operating costs	-635.0	-613.8	-581.5	-599.8	-643.9	-631.6	12.2	-1.9%
Profit (loss) from operations	319.5	387.7	561.8	452.8	483.8	564.2	80.4	16.6%
Net adjustments on loans to customers	-213.2	-263.0	-324.3	-536.2	-217.1	-255.5	-38.4	17.7%
Profit (loss) on FV measurement of tangible assets	-0.3	-5.1	-0.3	-31.0	0.1	-37.0	-37.0	n.m
Net adjustments on other financial assets	-4.7	-3.7	0.1	7.2	-0.4	0.9	1.4	n.m
Net provisions for risks and charges	2.2	-9.8	0.9	-35.6	-7.2	-5.6	1.6	-21.9%
Profit (loss) on the disposal of equity and other invest.	0.1	0.1	1.3	-0.4	0.0	-0.4	-0.3	n.m.
Income (loss) before tax from continuing operations	103.5	106.2	239.5	-143.1	259.1	266.7	7.5	2.9%
Tax on income from continuing operations	-25.7	-13.3	-22.5	47.9	-82.7	-50.6	32.1	-38.8%
Income (loss) after tax from continuing operations	77.8	92.9	217.0	-95.2	176.4	216.0	39.6	22.4%
Restructuring costs	0.0	0.0	0.0	-187.0	0.0	0.0	0.0
Systemic charges after tax	-57.5	-18.2	-53.0	-10.2	-59.2	-19.3	39.9	-67.4%
Realignment of fiscal values to accounting values	0.0	0.0	0.0	128.3	0.0	79.2	79.2
Goodwill impairment	0.0	0.0	0.0	-25.1	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.0	1.5	2.5	0.2	0.0	0.1	0.0	n.m.
Purchase Price Allocation after tax	-6.6	-12.0	-11.4	-11.5	-10.3	-9.7	0.6	-6.1%
Fair value on own liabilities after Taxes	137.9	-110.7	2.2	-41.1	-6.8	-5.1	1.7	-25.1%
Net income (loss) for the period	151.6	-46.4	157.3	-241.7	100.1	261.2	161.1	n.m.

P&L: H1 2021 STATED AND ADJUSTED COMPARISON

Reclassified income statement (€m)	H1 20	H1 21	Chg. H/H %	H1 20 adjusted	H1 21 adjusted	Chg. H/H %
Net interest income	953.6	1,019.2	6.9%	953.6	1,019.2	6.9%
Income (loss) from invest. in associates carried at equity	70.3	98.1	39.5%	70.3	98.1	39.5%
Net interest, dividend and similar income	1,023.9	1,117.3	9.1%	1,023.9	1,117.3	9.1%
Net fee and commission income	816.9	950.1	16.3%	816.9	950.1	16.3%
Other net operating income	31.6	39.9	26.3%	31.6	39.9	26.3%
Net financial result	83.5	216.3	n.m.	83.5	216.3	n.m.
Other operating income	932.0	1,206.3	29.4%	932.0	1,206.3	29.4%
Total income	1,955.9	2,323.5	18.8%	1,955.9	2,323.5	18.8%
Personnel expenses	-817.0	-844.0	3.3%	-817.0	-858.4	5.1%
Other administrative expenses	-308.7	-308.0	-0.2%	-308.7	-308.0	-0.2%
Amortization and depreciation	-123.1	-123.5	0.3%	-121.0	-122.2	1.0%
Operating costs	-1,248.7	-1,275.5	2.1%	-1,246.6	-1,288.6	3.4%
Profit (loss) from operations	707.2	1,048.0	48.2%	709.3	1,034.9	45.9%
Net adjustments on loans to customers	-476.2	-472.6	-0.8%	-476.2	-378.6	-20.5%
Profit (loss) on FV measurement of tangible assets	-5.4	-36.9	n.m.	0.0	0.0
Net adjustments on other financial assets	-8.4	0.5	n.m	-8.4	0.5	n.m
Net provisions for risks and charges	-7.6	-12.8	68.2%	-7.6	-12.8	68.2%
Profit (loss) on the disposal of equity and other invest.	0.2	-0.4	n.m	0.0	0.0
Income (loss) before tax from continuing operations	209.8	525.8	n.m.	217.1	644.1	n.m.
Tax on income from continuing operations	-39.0	-133.3	n.m.	-41.1	-171.0	n.m.
Income (loss) after tax from continuing operations	170.8	392.5	n.m.	176.0	473.1	n.m.
Systemic charges after tax	-75.7	-78.6	3.8%	-57.5	-59.3	3.0%
Realignment of fiscal values to accounting values	0.0	79.2	n.m.	0.0	0.0
Goodwill impairment	0.0	0.0		0.0	0.0
Income (loss) attributable to minority interests	1.5	0.1	-92.6%	1.3	0.1	-91.1%
Purchase Price Allocation after tax	-18.5	-20.0	8.2%	-18.5	-20.0	8.2%
Fair value on own liabilities after Taxes	27.2	-11.9	n.m	27.2	-11.9	n.m
Net income (loss) for the period	105.2	361.3	n.m.	128.4	382.0	n.m.

ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement (€m)	H1 21	H1 21 adjusted	One-off	Non-recurring items
Net interest income	1,019.2	1,019.2	0.0
Income (loss) from invest. in associates carried at equity	98.1	98.1	0.0
Net interest, dividend and similar income	1,117.3	1,117.3	0.0
Net fee and commission income	950.1	950.1	0.0
Other net operating income	39.9	39.9	0.0
Net financial result	216.3	216.3	0.0
Other operating income	1,206.3	1,206.3	0.0
Total income	2,323.5	2,323.5	0.0
Personnel expenses	-844.0	-858.4	14.4	Covid-related savings
Other administrative expenses	-308.0	-308.0	0.0
Amortization and depreciation	-123.5	-122.2	-1.3	Adjustments on tangible assets
Operating costs	-1,275.5	-1,288.6	13.1
Profit (loss) from operations	1,048.0	1,034.9	13.1
Net adjustments on loans to customers	-472.6	-378.6	-94.0	Additional frontloading for the increase in the NPE disposal target
Profit (loss) on FV measurement of tangible assets	-36.9	0.0	-36.9	Fair value assessments on properties
Net adjustments on other financial assets	0.5	0.5	0.0
Net provisions for risks and charges	-12.8	-12.8	0.0
Profit (loss) on the disposal of equity and other invest.	-0.4	0.0	-0.4
Income (loss) before tax from continuing operations	525.8	644.1	-118.3
Tax on income from continuing operations	-133.3	-171.0	37.7
Income (loss) after tax from continuing operations	392.5	473.1	-80.6
Systemic charges after tax	-78.6	-59.3	-19.3	Additional contribution to Italian Resolution Fund
Realignment of fiscal values to accounting values	79.2	0.0	79.2	Related to realignment of fiscal values to accounting values
Goodwill impairment	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.1	0.1	0.0
Purchase Price Allocation after tax	-20.0	-20.0	0.0
Fair value on own liabilities after Taxes	-11.9	-11.9	0.0
Net income (loss) for the period	361.3	382.0	-20.7

FINANCIAL PORTFOLIO: NET FINANCIAL RESULT AND RESERVES & UNREALISED GAINS

• +159.1% H/H with strong results from trading, FV activities and capital gains on securities
• +16.9% Q/Q driven by the positive evaluation of equity

Not included in the P&L
results, but included in
the Capital Position

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

Pre-tax, in € m Pre-tax, in € m

Included neither in the P&L results, nor in the Capital Position

RECLASSIFIED BALANCE SHEET AS AT 30/06/2021

					Chg. y/y			Chg. YTD	Chg. in Q2
Reclassified assets (€ m)		30/06/20 31/12/20 31/03/21 30/06/21			Value	%	Value	%	Value	%
Cash and cash equivalents	838	8,858	10,727	20,718	19,880	n.m.		11,860 133.9%	9,991	93.1%
Loans and advances measured at AC	121,213	120,456	127,390	117,948	-3,265	-2.7%	-2,507	-2.1%	-9,442	-7.4%
- Loans and advances to banks	12,825	11,121	17,245	8,574	-4,251	-33.1%		-2,546 -22.9%		-8,670 -50.3%
- Loans and advances to customers (*)	108,389	109,335	110,146	109,374	986	0.9%	39	0.0%	-772	-0.7%
Other financial assets	43,885	41,176	45,686	45,956	2,070	4.7%	4,780	11.6%	270	0.6%
- Assets measured at FV through PL	9,075	9,119	8,725	8,586	-488	-5.4%	-532	-5.8%	-138	-1.6%
- Assets measured at FV through OCI	13,112	10,711	14,898	15,447	2,335	17.8%	4,736	44.2%	549	3.7%
- Assets measured at AC	21,698	21,346	22,063	21,922	224	1.0%	576	2.7%	-141	-0.6%
Equity investments	1,577	1,665	1,641	1,689	111	7.1%	24	1.4%	48	2.9%
Property and equipment	3,522	3,552	3,527	3,435	-87	-2.5%	-118	-3.3%	-93	-2.6%
Intangible assets	1,261	1,219	1,218	1,221	-40	-3.2%	2	0.2%	3	0.2%
Tax assets	4,628	4,704	4,688	4,680	52	1.1%	-24	-0.5%	-8	-0.2%
Non-current assets held for sale and discont. operations	105	73	70	100	-5	-4.9%	27	37.4%	30	42.9%
Other assets	2,385	1,983	2,203	2,784	399	16.7%	801	40.4%	580	26.3%
Total		179,415 183,685 197,151 198,530			19,115	10.7%	14,845	8.1%	1,379	0.7%
Reclassified liabilities (€ m)		30/06/20 31/12/20 31/03/21 30/06/21			Value	%	Value	%	Value	%
Direct Funding	115,234	116,937	117,421	120,146	4,913	4.3%	3,210	2.7%	2,726	2.3%
- Due from customers	98,769	102,162	104,091	106,883	8,114	8.2%	4,721	4.6%	2,793	2.7%
- Debt securities and financial liabilities desig. at FV	16,464	14,774	13,330	13,263		-3,201 -19.4%		-1,511 -10.2%	-67	-0.5%
Due to banks	32,930	33,938	46,073	44,269	11,340	34.4%	10,332	30.4%	-1,803	-3.9%
Debts for Leasing	682	760	741	722	40	5.9%	-38	-5.0%	-19	-2.5%
Other financial liabilities designated at FV	11,499	14,015	14,100	12,683	1,184	10.3%	-1,332	-9.5%		-1,417 -10.0%
Liability provisions	1,278	1,415	1,383	1,277	-1	-0.1%	-139	-9.8%	-106	-7.7%
Tax liabilities	612	465	447	312		-300 -49.0%		-153 -32.9%		-135 -30.3%
				2		-2 -42.2%	2	n.m.	2	n.m.
Liabilities associated with assets held for sale	4	0	0
Other liabilities	4,942	3,928	4,360	6,199	1,257	25.4%	2,271	57.8%	1,839	42.2%
Minority interests	25	2	1	1		-23 -94.8%		-1 -31.9%	0	-5.7%
Shareholders' equity	12,211	12,225	12,626	12,918	707	5.8%	693	5.7%	292	2.3%

Note: * "Customer loans" include the Senior Notes of the three GACS transactions. 3. H1 2021 Performance Details

DIRECT FUNDING

Solid position confirmed in Core funding

Direct customer funding¹ (without Repos)

€ bn	+7.1% +2.0%
Capital-protected Certificates	114.4		120.1	120.3		122.6
Other Bonds Time deposits C/A & Sight deposits	91.4 (79.9%)		98.5 (82.0%)	103.0 100.4 (83.4%) (84.0%)			+€11.6bn Y/Y
(% Share on total)	30/06/2020		31/12/2020	31/03/2021		30/06/2021
	30/06/20	31/12/20	31/03/21	30/06/21			% chg. Y/Y % chg. YTD % chg. Q/Q
C/A & Sight deposits	91.4	98.5	100.4	103.0	12.7%	4.6%	2.6%
Time deposits	1.7	1.5	1.4	1.2	-30.1%	-21.2%	-14.2%
Bonds	16.4	14.7	13.3	13.2	-19.4%	-10.1%	-0.4%
Other	1.8	1.8	1.6	1.6	-13.7%	-10.3%	-1.2%
Capital-protected Certificates	3.1	3.7	3.7	3.6	15.7%	-2.1%	-1.7%
Direct Funding (excl. Repos)	114.4	120.1	120.3	122.6	7.1%	2.0%	1.9%

1. Direct funding restated according to a management accounting logic: includes capital-protected certificates, recognized essentially under 'Held-for-trading liabilities', while it does not include Repos (€1.2bn on 30/06/2021 vs.: €0.8bn on 31/03/2021, €0.5bn on 31/12/2020 and €3.9bn on 30/06/2020), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

INDIRECT CUSTOMER FUNDING AT €96.5BN

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

• Total Indirect Customer Funding at €96.5bn: +9.1% Y/Y and +5.3% YTD
• AuM increase to €62.9bn: +8.8% Y/Y, thanks mostly to the excellent performance of Funds and Sicav (+12.9%), due to both the price effect and the volume effect. YTD growth at +5.6%.
• AuC up at €33.5bn: +9.8% Y/Y, thanks to the price effect. YTD growth at 4.9%.

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 32).

BONDS OUTSTANDING: WELL DIVERSIFIED PORTFOLIO

Bonds Outstanding as at 30/06/2021

• Successful issuance activity in 2020/July 2021 (€3.2bn in total) o/w: €1.95 subordinated; €750m SNP and the first Social Bond (SP) for €500m, issued within the new ESG Bond Framework published in July 21
• Very manageable amount of wholesale bond maturities in H2 2021 (€0.7bn), FY 2022 (€3.7bn) and FY 2023 (€1.9bn) considering also the strong liquidity position, with unencumbered eligible assets at €16.5bn, strongly exceeding the above-mentioned maturities

Wholesale bonds issued since 2017

Managerial data based on nominal amounts.

Note: 1. Include also Repos with underlying retained Covered Bonds.

BOND MATURITIES: LIMITED AND MANAGEABLE AMOUNTS

Managerial data based on nominal amounts.

Notes: 1. H1 2021 reimbursement: €1.01bn Senior Preferred and €0.77bn Subordinated (with negligible impact on T2 Capital). 2. Include also the maturities of Repos with underlying retained Covered Bonds: €0.45bn in H2 2021 and €0.50bn in FY 2022. 3. With low impact on T2 Capital.

SECURITIES: SIGNIFICANT WEIGHT OF THE AC PORTFOLIO

€ bn		30/06/20	31/12/20	31/03/21	30/06/21	Chg. y/y	Chg. YTD	Chg. in Q2
	Debt securities	38.3	33.9	38.7	39.7	3.7%	17.3%	2.5%
	Equity securities, Open-end funds & Private equity	1.6	2.4	2.7	3.0	91.5%	25.4%	9.9%
	TOTAL SECURITIES	39.9	36.3	41.5	42.7	7.2%	17.8%	3.0%

Focus on Debt Securities: Evolution & Composition

SOLID LIQUIDITY POSITION: LCR AT 216% & NSFR >100%¹

Internal management data, net of haircuts.

Notes: 1. Monthly LCR (Jun. 2021) and Quarterly NSFR (Q2 2021). 2. Includes assets received as collateral. 3. Refers to securities lending (uncollateralized high quality liquid assets).

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €12.1bn in H1 2021¹

Notes: 1. Management data. See slide 15 for details. 2. Loans and advances to customers at Amortized Cost, including also the GACS senior notes.

ANALYSIS OF PERFORMING LOAN PORTFOLIO

Notes: 1. GBV of on balance-sheet performing exposures. Financials include REPOs with CC&G. Management data. 2. Includes all performing customer loans subject to the internal rating process (AIRB) + loans assisted by State Guarantess towards counterparties potentially subject to A-IRB. Based on 11 rating classes for rated performing loans.

COVID-19: LENDING MEASURES ASSISTED BY STATE GUARANTEES

10.2 12.9 14.9 13.3 3.7 3.3 2.0 1.6 1.9 0.1 31/12/20 31/03/21 30/06/21 Funds already provided Lending measures assisted by public guarantees at €16.9bn as at 30/06/2021 € bn o/w: 100% guaranteed o/w: 70%-90% guaranteed In progress 15.2 1.7 16.2 13.9 BBPM share 9% Lending measures assisted by public guarantees: System data¹ High customer propensity for new State-guaranteed lending ~€192bn BBPM market share on core customer loans: 7.4%² 16.9

Notes: 1. ABI/Bankit data as at the end of June 2021. 2. Market share data as at 31/05/2021. Core customer loans include loans to Households and Non-Financial Corporates.

ASSET QUALITY DETAILS – LOANS TO CUSTOMERS AT AC

GROSS EXPOSURES	30/06/2020	31/12/2020	31/03/2021	30/06/2021	Chg. y/y		Chg. YTD		Chg. in Q2
€/m and %					Value	%	Value	%	Value	%
Bad Loans	3,530	3,578	3,575	2,123	-1,407	-39.9%	-1,455	-40.7%	-1,452	-40.6%
UTP	6,159	4,946	4,958	4,825	-1,334	-21.7%	-121	-2.4%	-133	-2.7%
Past Due	150	62	146	114	-36	-24.2%	52	83.2%	-32	-22.1%
NPE	9,839	8,586	8,678	7,062	-2,777	-28.2%	-1,524	-17.8%	-1,617	-18.6%
Performing Loans	103,431	105,508	106,344	106,123	2,692	2.6%	614	0.6%	-221	-0.2%
TOTAL CUSTOMER LOANS	113,269	114,095	115,022	113,185	-85	-0.1%	-910	-0.8%	-1,838	-1.6%
NET EXPOSURES	30/06/2020	31/12/2020	31/03/2021	30/06/2021	Chg. y/y Chg. YTD Chg. in Q2
€/m and %					Value	%	Value	%	Value	%
Bad Loans	1,549	1,462	1,334	947	-602	-38.9%	-515	-35.2%	-387	-29.0%
UTP	3,739	2,785	2,820	2,674	-1,065	-28.5%	-111	-4.0%	-147	-5.2%
Past Due	111	46	124	96	-15	-13.9%	50	110.2%	-28	-22.7%
NPE	5,399	4,293	4,278	3,717	-1,683	-31.2%	-576	-13.4%	-562	-13.1%
Performing Loans	102,989	105,042	105,868	105,658	2,669	2.6%	615	0.6%	-210	-0.2%
TOTAL CUSTOMER LOANS	108,389	109,335	110,146	109,374	986	0.9%	39	0.0%	-772	-0.7%
COVERAGE
%	30/06/2020	31/12/2020	31/03/2021	30/06/2021	Data refer to Loans to customers measured at Amortized Cost, including also the GACS Senior Notes.
Bad Loans	56.1%	59.1%	62.7%	55.4%
UTP	39.3%	43.7%	43.1%	44.6%
Past Due	25.6%	26.4%	15.0%	15.6%
NPE	45.1%	50.0%	50.7%	47.4%
Performing Loans	0.43%	0.44%	0.45%	0.44%
TOTAL CUSTOMER LOANS	4.3%	4.2%	4.2%	3.4%

NPE FLOWS

Outflows from NPEs to Perf. Loans

Flows from UTP to Bad Loans

€ m

The challenging macroeconomic scenario has impacted mainly the outflows to performing loans

GROSS NPEs DOWN BY €23BN VS. YE 2016

NPE REDUCTION SINCE THE BEGINNING OF THE MERGER

NPEs (GBV€ bn)

Notes: 1. Includes a restatement for managerial purposes (inclusion of a portion of write-offs, in coherence with the restatement done in 2017). 2. Include -€0.3bn of IFRS 9 Reclassification impact. 3. Includes also single name disposals, part of the ordinary workout activity.

UTP LOANS: HIGH SHARE OF RESTRUCTURED & SECURED POSITIONS

UTP Coverage: +9.6p.p. since YE 2018

Breakdown of Net UTPs

	31/12/20	30/06/21	% Chg.
Forborne	1.8	1.8	2.2%
- Secured	1.3	1.4	4.1%
- Unsecured	0.5	0.4
Other UTP	1.0	0.9	-14.9%
- Secured	0.7	0.6	-5.6%
- Unsecured	0.3	0.2	-23.2%
	2.8	2.7	-4.0%
o/w:
- North	74.7%	74.2%
- Centre	18.0%	17.3%
- South, Islands & not resident	7.3%	8.5%

• Solid level of coverage for unsecured UTP: 65.1%
• Net unsecured UTP other than Forborne loans are limited to €0.2bn

• 91% of Net UTPs are located in the northern & central parts of Italy

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL (€/m and %) POSITION	31/12/2020	31/03/2021	30/06/2021
CET 1 Capital	9,597	9,388	9,676
T1 Capital	10,397	10,565	10,853
Total Capital	12,304	12,275	12,921
RWA	65,606	68,418	68,789
CET 1 Ratio	14.63%	13.72%	14.07%
AT1	1.22%	1.72%	1.71%
T1 Ratio	15.85%	15.44%	15.78%
Tier 2	2.91%	2.50%	3.01%
Total Capital Ratio	18.75%	17.94%	18.78%

Leverage ratio Phased-In as at 30/06/2021: 5.66%

FULLY PHASED CAPITAL (€/m and %) POSITION	31/12/2020	31/03/2021	30/06/2021
CET 1 Capital	8,736	8,696	8,827
T1 Capital	9,431	9,789	9,920
Total Capital	11,338	11,499	11,988
RWA	65,868	68,623	68,579
CET 1 Ratio	13.26%	12.67%	12.87%
AT1	1.06%	1.59%	1.59%
T1 Ratio	14.32%	14.26%	14.46%
Tier 2	2.89%	2.49%	3.02%
Total Capital Ratio	17.21%	16.76%	17.48%

RWA COMPOSITION (€/bn) 31/12/2020 31/03/2021 30/06/2021 CREDIT & COUNTERPARTY RISK 54.9 57.7 58.0 of which: Standard 30.6 30.8 31.5 MARKET RISK 3.5 3.5 3.5 OPERATIONAL RISK 7.0 7.0 7.0 CVA 0.2 0.2 0.3 TOTAL 65.6 68.4 68.8

RWA COMPOSITION (€/bn)		31/12/2020 31/03/2021 30/06/2021
CREDIT & COUNTERPARTY RISK	55.2	57.9	57.8
of which: Standard	30.9	31.0	31.3
MARKET RISK	3.5	3.5	3.5
OPERATIONAL RISK	7.0	7.0	7.0
CVA	0.2	0.2	0.3
TOTAL	65.9	68.6	68.6

Leverage ratio Fully Loaded as at 30/06/2021: 5.19%

1. H1 2021 Performance Details Note: All data include also the Net Income of the pertinent quarters, net of dividend accrual. 31/12/2020 data are net of the dividend paid in April 2021, for a total of €90.9m.

45

ESG ACTION PLAN: FULL INTEGRATION INTO BUSINESS MODEL

ESG ACTION PLAN 2023: 7 WORKSTREAMS ACTIVATED 32 projects 15 units 50 dedicated people

1	Governance	• • •	Integrate ESG-oriented roles and responsibilities within all activities Integrate ESG topics into corporate policies Incentive scheme strengthened with ESG KPIs
2	People	•	Attention to Inclusion & Diversity (I&D), with focus on female empowerment
3	Risk & Credits	•	Integrate climate-related and environmental topics within the risk and lending processes
4	Customers - Business	•	Establish a ESG task force in business areas and strengthen ESG commercial offering
5	Customers - WM	•	Define ESG investment policy and strengthen consulting and offering of ESG investment products
6	Environment	•	Further reduce direct environmental impacts
7	Stakeholder Engagement & Measurement	•	Strengthen relationships with international organisations, develop ESG metrics and accountability
			ALIGNMENT WITH REGULATORY AND OTHER STAKEHOLDERS' EXPECTATIONS ONGOING

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)