Banco BPM SpA — Investor Presentation 2021

Feb 9, 2021

FY 2020 Group Results Presentation

9 February 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 FY 2020 Group Results Presentation

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, 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.
• 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 2019 and 2020 have been reclassified accordingly.
• Moreover, 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). The previous quarters of 2019 and 2020 have been reclassified accordingly.
• 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.
• 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. Starting from Q2 2019, the loans subject to this transaction (€607m GBV and €156m NBV as at 30/06/2019) have been reclassified as non-current asset held for sale according to the IFRS5 standard. As at 31/12/2020, the residual amount of these loans stood at €18 m GBV and at €8 m NBV.
• 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.
• 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. It is also noted that on 27 July 2020, the ECB announced the extension of the afore-mentioned dividend ban from 01/10/2020 to 31/12/2020. As a consequence, the capital ratios as at 31/12/2019 included in this presentation are calculated coherently with this decision, i.e. including the entire net income as at 31/12/2019. Later, on 15 December 2020, the ECB recommended that banks exercise extreme prudence on dividends and share buy-backs. To this end, the ECB asked all banks to consider not distributing any cash dividends or conducting share buy-backs, or to limit such distributions, until 30 September 2021. In particular, the ECB expects dividends and share buy-backs to remain below 15% of the cumulated profit for 2019-20 and not higher than 20 basis points of the Common Equity Tier 1 (CET1) ratio, whichever is lower. In line with the ECB recommendation, the BOD of Banco BPM held on 9 February 2021 resolved to propose the distribution of a dividend at the next Shareholders' Meeting. As a consequence, the capital ratios as at 31/12/2020 shown in this presentation are calculated including the net income for the year 2020 and also deducting the amount of the proposed dividend (differently, the ratios of the previous quarters of 2020 include the entire net income of the quarters, without assuming any dividend payment).

3 FY 2020 Group Results Presentation

Agenda

1.	Key Achievement Highlights	4
2.	FY 2020 Performance Details:	30
	- Profitability	31
	- Balance Sheet	37
	- Funding and Liquidity	38
	- Customer Loans and Focus on Credit Quality	44
	- Capital Position	51

4 FY 2020 Group Results Presentation

STRONG PERFORMANCE IN A VERY CHALLENGING ENVIRONMENT

SAFE ASSET QUALITY THROUGH EFFECTIVE CREDIT MANAGEMENT INITIATIVES BACK TO PRE-COVID COMMERCIAL STRENGTH, LEVERAGING ALSO ON DIGITAL BANKING

FLEXIBLE BUSINESS MODEL ALLOWING EFFECTIVE COST MGMT. (OPERATING COSTS: -€174M Y/Y)

SOLID REBOUND IN H2 2020, WITH PRE-PROVISION INCOME +43.5% H/H,

notwithstanding the persistent Covid-driven economic turmoil

Conservative provisioning policy:

• €1.3bn disposals in 2020 (portfolio & single name)
• NPE coverage increase: + 500bps y/y, up at 50.0%

• Upfronting cost of future de-risking

• Frontloading of restructuring costs (€259m pre-tax) to support efficiency improvement and generational change:

• New early retirement scheme: 1,500 exits
• Branch closures by mid-2021: 300 outlets

STRONG TRACK RECORD IN DERISKING AND CAPITAL GENERATION

MASSIVE REDUCTION IN NON-PERFORMING ESPOSURES: -€21.4BN SIGNIFICANT CAPITAL STRENGTHENING: +190BPS OF CET 1 FL

Notes: 1. CET 1 as at 31/12/2019 post suspension of 2019 dividend. 2. CET 1 as at 31/12/2020, including the impact of the proposed dividend payment for FY 2020 (-14bps).

STRENGTHENED CREDIT PROFILE AND CONSERVATIVE PROVISIONING

INITIATIVE FOCUS	RESULTS ACHIEVED IN 2020
Credit management initiatives and provisioning policy aimed at	SUSTAIN THE ECONOMY	New lending at €27.6bn, including €10.2bn assisted by State guarantees €3.7bn new loans assisted by State guarantees in pipeline (already approved)
enhancing credit quality in a scenario still affected by the pandemic crisis UPHOLD LIQUIDITY SUPPORT 1 & RENEGOTIATIONS	PORTFOLIO QUALITY	Gross NPEs at €8.6bn (-€1.5bn, -15% Y/Y) Migration dynamics under control: 1.0% default rate Approved Moratoria: low Market share: 5% (vs. 7.3% market share on core customer loans) Expired Moratoria (€3bn), with marginal default rate: 0.5% Remaining Moratoria: Early engagement campaigns activated immediately to preserve asset quality
2 NPE MANAGEMENT MORATORIA MEASURES 3	REINFORCE COVERAGE	Prudent provisioning policy: NPE coverage at 50.0% (+500bps Y/Y); UTP coverage at 43.7% (+460bps Y/Y, even after Django disposal)  Tough macro scenario fully considered  Enabling additional de-risking starting from 2021
	CONTAIN CAPITAL ABSORPTION	86% of loans assisted by State guarantees are at zero risk weighting

8

1. Key Achievement Highlights

PROACTIVE MORATORIA MANAGEMENT

reimbursed and cancelled. 2. Includes non-perfected moratoria. 3. Transport & Storage services; Accomodation, Restaurants & Travel Agencies; Textile fibers & Leather; Automotive trade; Means of Transport; Construction. 4. Market share on total Moratoria approved by the system, source ABI/Bankit data as at end-2020. 5. Market share data as at 30/09/2020.

FY 2020 PERFORMANCE: KEY MESSAGES (1/2)

Significant achievements in an adverse environment still impacted by Covid-19

Note: 1. Calculated on the share price of €2.155 as at 08/02/2021 and equal to 3.2% when calculated over the average closing price of 2021 YTD.

FY 2020 PERFORMANCE: KEY MESSAGES (2/2)

Significant achievements in an adverse environment still impacted by Covid-19

Note: 1. The agreement also foresees 750 new hires.

ACCELERATION IN DIGITAL BANKING STRONGLY SUPPORTS COMMERCIAL ACTIVITY¹

DIGITAL BANKING: KEY DRIVER FOR COMMERCIAL PERFORMANCE

PRIORITY FOCUS ON "REMOTE SERVICE MODEL" ACCELERATED BY MARKET CONTEXT

• Strong impulse to digital business development, in particular in the area of Investments
• Digital tools enabling full end-to-end new consultancy approach

Notes: 1. Data refer to Households. 2. Transactions on mobile and tablet devices. 3. Webank internet platform.

DIGITAL TRANSFORMATION SPEED-UP

OMNICHANNEL MARKETING		Set up of over 20 omnichannel data-driven Customer Journeys on main commercial areas, leveraging on Advanced Analytics capabilities
INTELLIGENCE		About 10 million remote/digital customer interactions supporting RM's commercial activities, driving over 20% contribution on total retail sales1
FULL DIGITAL		Leveraging on Teamsystem partnership, with a full Digital platform serving SME and individual customer business opportunities deriving from Superbonus/Ecobonus initiatives
'ECOBONUS' SOLUTIONS		Almost 3,000 operations already in the pipeline after few weeks
REMOTE		 Specific capabilities and tools implemented to launch new remote advisory offering
ADVISORY LAUNCH		 All Personal Relationship Managers and Wealth Management Advisors already enabled
NEW		Complete renewal of Group's banking APPs developed with customer centric and «mobile-first» approach
"MOBILE-FIRST" PLATFORMS		Immediate impact on customer usage (+24%2 since new APP launch) and top class Customer Ratings on all main Digital Stores
		Launch of digital identity enabling 'paperless' relationship with BBPM
PAPERLESS		First digital identity application deployed on new individual customer onboarding
	Notes: 1.	% increase of daily users 4th quarter vs 3rd quarter. 2. Data refer to Households. 1. Key Achievement Highlights 12

ESG: MAIN ACHIEVEMENTS IN 2020

PROGRESS IN THE FULL INTEGRATION OF ESG GUIDELINES, VALUES AND METRICS INTO THE GROUP'S BUSINESS MODEL
ESG Strategy & Governance	 ESG Committee, headed by CEO, to coordinate and control ESG activities Risk and Control Committee  Board oversight allocated to the Executive remuneration  linked to ESG achievements
2020 Achievements	Environment	 Activities to obtain ISO Occupational Health and Safety, Energy and Environmental certifications concluded successfully  100% usage of renewable energy, with a strong reduction in CO emissions (-32K tons of 2 CO equivalents) 2
	Clients	 Credit plafond of €5bn for companies investing in sustainability  Launch of Superbonus 110% product for Households (almost 3,000 files in process)  AuM in ESG investments at €17.5bn, mainly thanks to the inclusion of ESG criteria in the fund investment policies
	People	Project "RESPECT" focused on strengthening an inclusive corporate culture   "GENDER PROGRAM" aimed at valorizing talent
	Community	 Support to local communities (Health care & schools) through social projects related to the Covid emergence, for a total of more than €6m
	These developments have translated intoa general improvement in

the bank's ESG ratings and a Positive Outlook on the 'EE-' rating from Standard Ethics

KEY P&L HIGHLIGHTS: RESILIENT PERFORMANCE

		 RESILIENT PPI (-1.4% Y/Y), MAINLY THANKS TO
		OPERATING COST REDUCTION (-6.7% Y/Y), HAS
		ALLOWED TO SUSTAIN: - New impulse to NPE disposals
		- €1.3bn delivered in 2020 (portfolio & single name)
		- Future de-risking enabled by strengthened coverage
		- Frontloading of restructuring costs (€187m post-tax
		and €259m pre-tax) to support future cost efficiency actions
		Pre-Provision Income evolution
		€ m
		1,746 1,015 1,722
		707

14 1. Key Achievement Highlights Notes: 1. Includes: PPA, FV on own liabilities and other elements (after tax). See slide 32 for details of P&L 2. See slide 33 for details of adjustment elements

CORE REVENUE GROWTH IN H2 2020

STRONG REBOUND IN H2 2020… …WITH NO MATERIAL EFFECT FROM COVID-19 SECOND WAVE

NET INTEREST INCOME: REBOUND IN H2 2020

• Resilient asset spread performance, while the decreasing Euribor mainly impacted the liability spread
• Volume growth mostly concentrated in Corporate Segment, in particular in MLT lending
• New lending focused on customers with lower-risk profile and/or backed also by State guarantees to preserve the overall quality of the loan portfolio

NET FEES: STRONG REACTION TO COVID IN H2

• € bn Net fees and commissions at 429.2m in Q4 (+2.8% q/q), with healthy progress in both Commercial Banking (+3.8% Q/Q) and Management & Advisory fees (+1.7% Q/Q)
• Sound recovery in investment product placements in Q4 (+13.7% q/q), with a further improvement from January 2021

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

17

COMMERCIAL ACTIVITIES BACK ON TRACK

Stronger response to Covid-19 second wave

Management data. Notes: 1. Include Funds & Sicav, Bancassurance, Certificates and Managed Accounts & Funds of Funds. 2. Include M/L-term Mortgages (Secured and Unsecured), Personal Loans, Pool and Structured Finance.

NEW LENDING: FOSTERED BY STATE-GUARANTEED MEASURES…

State-guaranteed new lending composition

1.62% 1.79% Inflows Outflows 1.75% 1.67% Inflows Outflows HIGHER ASSET SPREADS ON INFLOWS VS OUTFLOWS IN H2 VS. H1 Net gain -17bps +9bps H1 ASSET SPREADS H2 ASSET SPREADS

New lending to Enterprises and Corporates +38.5% Y/Y

High share of lending assisted by guarantees (~37% of total new lending in 2020)

Source: Management data. Note: 1. Include M/L-term Mortgages (Secured and Unsecured), Personal Loans, Pool and Structured Finance.

…ENHANCING PORTFOLIO QUALITY

process (AIRB). Based on 11 rating classes for rated performing loans.

GROWTH IN VOLUMES: EFFECTIVE SUPPORT TO CUSTOMERS AND TO THE ECONOMY

OPERATING COSTS: -€630M SINCE THE MERGER

Savings from cost efficiency actions launched in 2020 are expected to kick in starting from June 2021

Notes: 1. Excludes 'Restructuring Costs', which are accounted for under a separate line item, for €187m post-tax (corresponding to €259m pre-tax). 2. FY 2016 data are adjusted (net of non-recurrent items, mainly merger restructuring costs) and represent the aggregate of the former Banco Popolare and the former BPM (excl. PPA).

NPE: STOCK REDUCTION WITH REINFORCED COVERAGE

NPE RATIOS AND COST OF RISK TREND

MATERIAL AND ONGOING IMPROVEMENT IN NPE RATIOS SINCE THE MERGER

1. Key Achievement Highlights 24 Notes: 1. Restated for managerial purposes (inclusion of a portion of write-offs, in coherence with the restatement done as at end-2017). 2. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets). 3. Analysis based on Management data. 4. Include €12m for new DoD FTA. 5. Considered as "non-recurring" for the purpose of the calculation of Adjusted Net Income, see slide 33.

SOLID BALANCE SHEET POSITION

Data as at 31/12/2020. Notes: 1. Monthly LCR (Dec. 2020) and Quarterly NSFR (Q4 2020). 2. Not included in the P&L results, but included in the Capital Position. 3. Included neither in the P&L results, nor in the Capital Position.

FOCUS ON GOVIES PORTFOLIO

Notes: 1. In years. Management data, including hedging strategies (Swap & Options).

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

STRONG PERFORMANCE IN A VERY CHALLENGING ENVIRONMENT

SIGNIFICANT REBOUND IN OPERATING PERFORMANCE…

Growth in «Core» revenues (+5.9% H/H) Reduction in costs (-5.4% H/H) Significant increase in Pre-Provision income (+43.5% H/H)

SIGNIFICANT ACHIEVEMENTS IN A DIFFICULT ENVIRONMENT STILL IMPACTED BY COVID-19

…ALLOWING A FURTHER IMPROVEMENT IN ASSET QUALITY METRICS AND…

Gross NPE ratio down to 7.5%, with NPE coverage strengthened to 50.0% Safeguard the quality of the loan portfolio, also with a relevant share of State guarantees

… FURTHER ACTIONS ON COST EFFICIENCY…

Early retirement Plan: 1,500 exits Retail network rationalisation: -300 branches by mid-2021 Costs booked in Q4 2020

…WHILE PRESERVING A SOUND CAPITAL POSITION & BUFFERS

CET1 ratio FL at 13.3%, with MDA buffer FL at +388bps (+449bps incl. Jan. 21 AT 1 issue)

BACK TO DIVIDEND PROPOSAL: € 6 CENTS PER SHARE ON TRACK FOR A POSITIVE OUTLOOK

2021 OUTLOOK

Solid performance achieved in 2020, highly confident for 2021

	 NII increase thanks to the positive contribution from the TLTRO III, together with lending growth, mainly supported by State-guaranteed loans
Revenues	 Commission growth to be driven by commercial banking and asset management business, thanks also to the high liquidity in current accounts, as confirmed by positive first signals in 2021 (investment product placements in January at record level)
	Total Income expected to be higher than 2020 
Operating Costs	 Operating costs are expected to increase: the elimination of 2020 one-off savings related to the pandemic crisis (e.g. lower variable remuneration) and the effect of significant «digital» investments shall be partially compensated by the efficiency benefits arising from the cost actions launched in 2020
	Core cost of risk1  expected in line with 2020 level, thanks to the effective credit management and the
	prudent provisioning achieved in 2020
Cost of Risk	The current uncertain macroeconomic environment may entail additional Non-core provisions1 which,  however, are expected to be well below the level registered in 2020
Capital	Minimum strategic targets are confirmed: MDA buffer of +250bps and CET 1 ratio FL >12% 

Agenda

1.	Key Achievement Highlights	4
2.	FY 2020 Performance Details:	30
	- Profitability	31
	- Balance Sheet	37
	- Funding and Liquidity	38
	- Customer Loans and Focus on Credit Quality	44
	- Capital Position	51

FY 2020 QUARTERLY P&L RESULTS

Reclassified income statement (€m)	Q1 19	Q2 19	Q3 19	Q4 19	Q1 20	Q2 20	Q3 20	Q4 20
Net interest income	474.0	495.8	512.1	499.2	474.1	479.5	519.9	509.0
Income (loss) from invest. in associates carried at equity	33.9	28.0	32.6	36.8	22.3	48.0	36.8	23.7
Net interest, dividend and similar income	507.9	523.8	544.7	535.9	496.4	527.5	556.7	532.7
Net fee and commission income	462.2	444.1	453.7	434.5	440.6	376.4	417.7	429.2
Other net operating income	16.1	17.8	17.9	24.2	16.7	14.9	11.7	12.7
Net financial result	223.0	61.4	0.7	81.7	0.8	82.7	157.3	77.8
Other operating income	701.3	523.2	472.3	540.4	458.1	473.9	586.7	519.8
Total income	1,209.2	1,047.0	1,017.1	1,076.4	954.4	1,001.5	1,143.3	1,052.5
Personnel expenses	-437.1	-415.6	-418.0	-425.9	-419.0	-398.0	-357.0	-407.2
Other administrative expenses	-149.8	-158.6	-163.1	-167.0	-154.6	-154.1	-159.8	-125.3
Amortization and depreciation	-69.3	-68.6	-67.7	-63.3	-61.4	-61.7	-64.8	-67.2
Operating costs	-656.1	-642.8	-648.9	-656.2	-635.0	-613.8	-581.5	-599.8
Profit (loss) from operations	553.1	404.1	368.2	420.2	319.5	387.7	561.8	452.8
Net adjustments on loans to customers	-220.5	-208.4	-197.7	-152.0	-213.2	-263.0	-324.3	-536.2
Profit (loss) on FV measurement of tangible assets	-131.0	-0.7	-19.3	-7.5	-0.3	-5.1	-0.3	-31.0
Net adjustments on other financial assets	1.6	4.1	4.0	-4.0	-4.7	-3.7	0.1	7.2
Net provisions for risks and charges	-62.6	-2.7	-10.1	4.4	2.2	-9.8	0.9	-35.6
Profit (loss) on the disposal of equity and other invest.	-3.6	0.0	336.6	0.2	0.1	0.1	1.3	-0.4
Income (loss) before tax from continuing operations	136.9	196.4	481.7	261.3	103.5	106.2	239.5	-143.1
Tax on income from continuing operations	-31.7	-51.5	-24.1	-56.8	-25.7	-13.3	-22.5	47.9
Restructuring costs	0.0	0.0	0.0	0.0				-187.0
Systemic charges after tax	-4.5	-31.5	-15.2	-41.6	-57.5	-18.2	-53.0	-10.2
Realignment of fiscal values to accounting values	0.0	0.0	0.0	0.0				128.3
Godwill impairament	0.0	0.0	0.0	0.0				-25.1
Income (loss) attributable to minority interests	9.2	1.8	3.2	1.2	0.0	1.5	2.5	0.2
Net income (loss) gross of PPA and net of valuat. effect on own liabil.	109.9	115.3	445.6	164.2	20.3	76.3	166.5	-189.0
Purchase Price Allocation after tax	-3.7	-3.8	-4.7	-2.5	-6.6	-12.0	-11.4	-11.5
Fair value on own liabilities after Taxes	-10.5	-13.2	6.7	-6.3	137.9	-110.7	2.2	-41.1
Net income (loss) for the period	95.8	98.2	447.6	155.4	151.6	-46.4	157.3	-241.7

P&L: ANNUAL COMPARISON STATED AND ADJUSTED

Reclassified income statement (€m)	FY 2019	FY 2020	Chg. Y/Y	Chg. Y/Y %	FY 2019 adjusted	FY 2020 adjusted		Chg. Y/Y Chg. Y/Y %
Net interest income	1,981.1	1,982.6	1.5	0.1%	1,976.4	1,982.6	6.2	0.3%
Income (loss) from investments in associates carried at equity	131.3	130.8	-0.5	-0.3%	131.3	130.8	-0.5	-0.3%
Net interest, dividend and similar income	2,112.3	2,113.4	1.0	0.0%	2,107.6	2,113.4	5.7	0.3%
Net fee and commission income	1,794.4	1,663.8	-130.6	-7.3%	1,794.4	1,663.8	-130.6	-7.3%
Other net operating income	76.0	56.0	-20.0	-26.3%	76.0	56.0	-20.0	-26.3%
Net financial result	366.8	318.6	-48.2	-13.1%	366.8	318.6	-48.2	-13.1%
Other operating income	2,237.3	2,038.5	-198.8	-8.9%	2,237.3	2,038.5	-198.8	-8.9%
Total income	4,349.6	4,151.8	-197.8	-4.5%	4,344.9	4,151.8	-193.1	-4.4%
Personnel expenses	-1,696.5	-1,581.1	115.4	-6.8%	-1,696.5	-1,612.8	83.8	-4.9%
Other administrative expenses	-638.6	-593.8	44.8	-7.0%	-638.6	-593.8	44.8	-7.0%
Amortization and depreciation	-268.9	-255.1	13.8	-5.1%	-264.5	-252.9	11.6	-4.4%
Operating costs	-2,604.0	-2,430.1	174.0	-6.7%	-2,599.6	-2,459.5	140.1	-5.4%
Profit (loss) from operations	1,745.6	1,721.8	-23.8	-1.4%	1,745.3	1,692.4	-53.0	-3.0%
Net adjustments on loans to customers	-778.5	-1,336.8	-558.3	71.7%	-778.5	-1,085.4	-306.8	39.4%
Profit (loss) on FV measurement of tangible assets	-158.5	-36.7	121.8	-76.8%		0.0	0.0
Net adjustments on other financial assets	5.8	-1.0	-6.8	n.m	5.8	-1.0	-6.8	n.m
Net provisions for risks and charges	-71.0	-42.3	28.7	-40.5%	6.5	-16.3	-22.8	n.m
Profit (loss) on the disposal of equity and other investments	333.2	1.2	-332.0	-99.6%		0.0	0.0
Income (loss) before tax from continuing operations	1,076.4	306.1	-770.3	-71.6%	979.0	589.7	-389.4	-39.8%
Tax on income from continuing operations	-164.2	-13.5	150.6	-91.8%	-221.2	-90.5	130.7	-59.1%
Restructuring costs		-187.0				0.0
Systemic charges after tax	-92.9	-138.9	-46.0	49.6%	-77.6	-119.5	-41.8	53.9%
Realignment of fiscal values to accounting values		128.3				0.0
Godwill impairament		-25.1				0.0
Income (loss) attributable to minority interests	15.6	4.2	-11.3	-72.7%	6.3	4.0	-2.3	-37.0%
Net income (loss) gross of PPA and net of valuat. effect on own liabil.	834.9	74.1	-760.8	-91.1%	686.5	383.7	-302.8	-44.1%
Purchase Price Allocation after tax	-14.7	-41.5	-26.8	n.m.	-14.7	-41.5	-26.8	n.m.
Fair value on own liabilities after Taxes	-23.3	-11.7	11.5	-49.6%	-23.3	-11.7	11.5	-49.6%
Net income (loss) for the period	797.0	20.9	-776.1	-97.4%	648.6	330.5	-318.1	-49.0%

ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement (€m)	FY 2020	FY 2020 adjusted	One-off	Non-recurring items and extraordinary systemic charges
Net interest income	1,982.6	1,982.6	0.0
Income (loss) from investments in associates carried at equity	130.8	130.8	0.0
Net interest, dividend and similar income	2,113.4	2,113.4	0.0
Net fee and commission income	1,663.8	1,663.8	0.0
Other net operating income	56.0	56.0	0.0
Net financial result	318.6	318.6	0.0
Other operating income	2,038.5	2,038.5	0.0
Total income	4,151.8	4,151.8	0.0
Personnel expenses	-1,581.1	-1,612.8	31.6	Covid- related savings
Other administrative expenses	-593.8	-593.8	0.0
Amortization and depreciation	-255.1	-252.9	-2.2	Impairment on tangible asset
Operating costs	-2,430.1	-2,459.5	29.4
Profit (loss) from operations	1,721.8	1,692.4	29.4
Net adjustments on loans to customers	-1,336.8	-1,085.4	-251.4	NPE disposals closed in December
Profit (loss) on FV measurement of tangible assets	-36.7	0.0	-36.7	Fair value assesments on properties
Net adjustments on other financial assets	-1.0	-1.0	0.0
Net provisions for risks and charges	-42.3	-16.3	-26.0	Estimated non recurring costs related to contractual duties
Profit (loss) on the disposal of equity and other investments	1.2	0.0	1.2
Income (loss) before tax from continuing operations	306.1	589.7	-283.6
Tax on income from continuing operations	-13.5	-90.5	77.0	Fiscal impacts on extraordinary items
Restructuring costs	-187.0		-187.0	Restructuring costs
Systemic charges after tax	-138.9	-119.5	-19.4	Additional contribution to Italian resolution fund
Realignment of fiscal values to accounting values	128.3	0.0	128.3	Related to realignment of fiscal values to accounting values
Godwill impairament	-25.1	0.0	-25.1	Godwill impairment
Income (loss) attributable to minority interests	4.2	4.0	0.3
Net income (loss) gross of PPA and net of valuat. effect on own liabil.	74.1	383.7	-309.6
Purchase Price Allocation after tax	-41.5	-41.5	0.0
Fair value on own liabilities after Taxes	-11.7	-11.7	0.0
Net income (loss) for the period	20.9	330.5	-309.6

FINANCIAL PORTFOLIO: NET FINANCIAL RESULT AND RESERVES/UNREALISED GAINS

Net Financial Result (excl. FV on Own Liabilities¹ )

NFR at €77.8m in Q4 vs €157.3m in Q3 which was impacted by the positive valuation effect on the SIA stake (+€147m)

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 AC²

Notes: 1. Impact from the change in FV on Own Liabilities (before tax) at +€206.0m in Q1 2020, -€165.4m in Q2 2020 and +€3.3m in Q3 2020. These amounts have been reclassified into a separate item after tax. 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.

OPERATING COSTS: QUARTERLY COMPARISON

COMPREHENSIVE PROFITABILITY

COMPREHENSIVE NET INCOME OF THE GROUP	-138.1	104.7	234.0	-217.3	1,323.7	-16.7
o/w Reserves of Equity Securities at FVOCI (net of tax)	-114.9	-5.4	-17.2	11.4	119.8	-126.1
o/w Reserves of Debt Securities at FVOCI (net of tax)	-180.1	154.3	89.5	21.2	178.8	85.0
OTHER NET INCOME DIRECTLY ACCOUNTED TO EQUITY	-289.7	151.1	76.7	24.3	526.7	-37.6
P&L NET INCOME	151.6	-46.4	157.3	-241.7	797.0	20.9
	Q1 2020	Q2 2020	Q3 2020	Q4 2020	FY 2019	FY 2020
€ m

RECLASSIFIED BALANCE SHEET AS AT 31/12/2020

			Chg. y/y		Chg. in Q4
Reclassified assets (€ m)	31/12/19	30/09/20	31/12/20	Value	%	Value	%
Cash and cash equivalents	913	806	8.858	7.945	N.M.	8.052	N.M.
Loans and advances measured at AC	115.890	125.680	120.456	4.566	3,9%	-5.224	-4,2%
- Loans and advances to banks	10.044	16.962	11.121	1.076	10,7%	-5.841	-34,4%
- Loans and advances to customers (*)	105.845	108.718	109.335	3.490	3,3%	617	0,6%
Other financial assets	37.069	46.954	41.176	4.107	11,1%	-5.779	-12,3%
- Assets measured at FV through PL	7.285	10.548	9.119	1.833	25,2%	-1.430	-13,6%
- Assets measured at FV through OCI	12.527	13.853	10.711	-1.816	-14,5%	-3.142	-22,7%
- Assets measured at AC	17.257	22.553	21.346	4.089	23,7%	-1.207	-5,4%
Equity investments	1.386	1.638	1.665	279	20,1%	26	1,6%
Property and equipment	3.624	3.497	3.552	-72	-2,0%	55	1,6%
Intangible assets	1.269	1.248	1.219	-51	-4,0%	-30	-2,4%
Tax assets	4.620	4.618	4.704	85	1,8%	86	1,9%
Non-current assets held for sale and discont. operations	131	111	73	-58	-44,4%	-38	-34,3%
Other assets	2.136	2.101	1.983	-153	-7,2%	-118	-5,6%
Total	167.038	186.654	183.685	16.647	10,0%	-2.969	-1,6%
Reclassified liabilities (€ m)	31/12/19	30/09/20	31/12/20	Value	%	Value	%
Due to banks	28.516	31.888	33.938	5.422	19,0%	2.050	6,4%
Direct Funding	109.506	115.417	116.937	7.430	6,8%	1.520	1,3%
- Due from customers	93.375	99.424	102.162	8.787	9,4%	2.739	2,8%
- Debt securities and financial liabilities desig. at FV	16.131	15.993	14.774	-1.357	-8,4%	-1.219	-7,6%
Debts for Leasing	733	672	760	28	3,8%	88	13,1%
Other financial liabilities designated at FV	10.919	19.588	14.015	3.096	28,4%	-5.573	-28,4%
Liability provisions	1.487	1.187	1.415	-71	-4,8%	229	19,3%
Tax liabilities	619	638	465	-155	-25,0%	-173	-27,1%
Liabilities associated with assets held for sale	5	3	0	-5	-100,0%	-3	-100,0%
Other liabilities	3.366	4.804	3.928	562	16,7%	-876	-18,2%
Minority interests	26	22	2	-24	-92,7%	-20	-91,4%
Shareholders' equity	11.861	12.436	12.225	364	3,1%	-211	-1,7%
Total	167.038	186.654	183.685	16.647	10,0%	-2.969	-1,6%

Note: * "Customer loans" include the Senior Notes of the two GACS transactions.

DIRECT FUNDING

Solid position confirmed in Core funding

Direct customer funding¹ (without Repos)

Note: 1. Direct funding restated according to a management accounting logic: it includes capital-protected certificates, recognized essentially under 'Held-for-trading liabilities', while it does not include Repos (€0.50bn on 31/12/2020 vs. €3.87bn on 31/12/2019 and €1.31bn on 30/09/2020), mainly transactions with Cassa di Compensazione e Garanzia.

BONDS OUTSTANDING: WELL DIVERSIFIED PORTFOLIO

Bonds Outstanding as at 31/12/2020

• Total bonds outstanding at €19.0bn
• Successful issuance activity in 2020: AT1 in Jan. (€400m), Senior Non-Preferred in Feb. (€750m) and T2 in Sep. and Dec. (€500m and €350m)
• Proactive issuance activity confirmed at the beginning of 2021: €0.4bn AT1
• Very manageable amount of wholesale bond maturities in FY 2021 (€2.4bn) and FY 2022 (€3.7bn) considering the strong liquidity position (with unencumbered eligible assets at ~€20bn, exceeding total bonds outstanding)

Wholesale bond 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, including calls.

Notes: 1. With negligible impact on T2 Capital. 2. Include also the maturities of Repos with underlying retained Covered Bonds: €0.45bn in 2021 and €0.50bn in 2022.

SECURITIES: INCREASED WEIGHT OF THE AC PORTFOLIO

€ bn			31/12/19	30/09/20	31/12/20	Chg. y/y	Chg. in Q4
Debt securities			31.2	39.9	33.9	8.4%	-15.1%
	Equity securities, Open-end funds & Private equity		2.5	1.9	2.4	-5.7%	27.8%
TOTAL SECURITIES			33.8	41.8	36.3	7.3%	-13.2%
		Focus on Debt Securities: Evolution & Composition
€ bn	31.6	30.2	32.9	31.2		39.9	33.9
Debt securities o/w: Italian Govies	26.7 20.7		17.7	15.5		23.9	19.3
	31/12/16	31/12/17	31/12/18	31/12/19		30/09/20	31/12/20
Classification of Debt Securities	FVOCI 38.1% €11.9bn	31/12/2019 AC €31.2bn 55.2% €17.3bn	FVOCI 30.7% €10.4bn	31/12/2020 €33.9bn		AC 63.0% €21.3bn	Italian Govies 71% concentrated in the AC portfolio
	FVTPL 6.7%	€2.1bn		FVTPL 6.3%	€2.1bn		2. FY 2020 Performance Details

SOLID LIQUIDITY POSITION: LCR AT 191% & NSFR >100%¹

Eligible Assets²

Internal management data, net of haircuts.

Notes: 1. Monthly LCR (Dec. 2020) and Quarterly NSFR (Q4 2020). 2. Includes assets received as collateral. 3. Refers to securities lending (uncollateralized high quality liquid assets).

INDIRECT CUSTOMER FUNDING AT €91.6BN

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

• Total Indirect Customer Funding at €91.6bn +2.0% Y/Y (+3.8% Q/Q)
• AUM increase to €59.6bn: +2.2% Y/Y, thanks to the excellent performance of Funds and Sicav, with an increase in volumes of €1.3bn
• AUC up at €32.0bn (+1.8% Y/Y), mainly thanks to the volume effect (+€0.4bn)

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).

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €27.6bn in 2020¹

Net Customer Loans²

Notes: 1. Management data. See slide19 for details. 2. Loans and advances to customers at Amortized Cost, including also the GACS senior notes.

ANALYSIS OF PERFORMING LOAN PORTFOLIO

Customer loan (GBV) breakdown as at 31/12/2020¹

Staging evolution: Performing Loans in 2020

Performing portfolio: EAD by risk categories² 87.8% 86.1% 86.5% 88.6% Share of Low/Medium risk categories (EAD)

Mar. 20 Jun. 20 Sept. 20 Dec. 20

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). Based on 11 rating classes for rated performing loans.

COVID-19: KEY MEASURES AT A GLANCE

Lending measures assisted by public guarantees at €13.9bn as at 31/12/20

High customer propensity for new State-guaranteed lending

Notes: 1. ABI/Bankit data as at end-2020. 2. Market share as at 30/09/2020.

ASSET QUALITY DETAILS – LOANS TO CUSTOMERS AT AC

GROSS EXPOSURES	31/12/2019	30/09/2020	31/12/2020	Chg. y/y		Chg. in Q4
€/m and %				Value	%	Value	%
Bad Loans	3.565	3.615	3.578	14	0,4%	-36	-1,0%
UTP	6.424	6.076	4.946	-1.478	-23,0%	-1.130	-18,6%
Past Due	98	100	62	-36	-37,0%	-38	-38,1%
NPE	10.087	9.791	8.586	-1.500	-14,9%	-1.205	-12,3%
Performing Loans	100.631	104.064	105.508	4.877	4,8%	1.445	1,4%
TOTAL CUSTOMER LOANS	110.718	113.855	114.095	3.377	3,0%	240	0,2%
NET EXPOSURES	31/12/2019	30/09/2020	31/12/2020	Chg. y/y		Chg. in Q4
€/m and %				Value	%	Value	%
Bad Loans	1.560	1.532	1.462	-97	-6,2%	-70	-4,5%
UTP	3.912	3.480	2.785	-1.127	-28,8%	-695	-20,0%
Past Due	73	78	46	-27	-37,5%	-33	-41,8%
NPE	5.544	5.091	4.293	-1.252	-22,6%	-798	-15,7%
Performing Loans	100.301	103.627	105.042	4.741	4,7%	1.415	1,4%
TOTAL CUSTOMER LOANS	105.845	108.718	109.335	3.490	3,3%	617	0,6%
COVERAGE %	31/12/2019	30/09/2020	31/12/2020	Data measured	refer to Loans at	Amortized	to customers Cost,
Bad Loans	56,2%	57,6%	59,1%	including	also	the	GACS Senior
UTP	39,1%	42,7%	43,7%	Notes.
Past Due	25,9%	21,8%	26,4%
NPE	45,0%	48,0%	50,0%
Performing Loans	0,33%	0,42%	0,44%
TOTAL CUSTOMER LOANS	4,4%	4,5%	4,2%

NPE FLOWS

2020 shows an improvement in inflows to NPEs as well as in flows from UTP to Bad Loans vs. 2019

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

IMPROVING TREND IN ASSET QUALITY

Gross NPEs: -€21.4bn vs. YE 2016, o/w: -€1.7bn in 2019 and -€1.5bn in 2020

Notes: 1. Includes a restatement for managerial purposes (inclusion of a portion of write-offs, in coherence with the restatement done in 2017). 2. Includes also single name disposals, part of the ordinary workout activity.

UTP LOANS: HIGH SHARE OF RESTRUCTURED & SECURED POSITIONS

Breakdown of Net UTPs

	31/12/19	31/12/20	% Chg.
Forborne	2,4	1,8	-26,5%
- Secured	1,3	1,3	5,6%
- Unsecured	1,2	0,5	-57,3%
Other UTP	1,5	1,0	-32,5%
- Secured	1,3	0,7	-48,1%
- Unsecured	0,2	0,3	39,3%
	3,9	2,8	-28,8%
o/w:
- North	72,6%	74,7%
- Centre	20,9%	18,0%
- South, Islands & not resident	6,5%	7,3%

• Solid level of coverage for unsecured UTP: 61.8%
• Net unsecured UTP other than Forborne loans are limited to €0.3bn
• 93% of Net UTPs are located in the northern & central parts of Italy

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL (€/m and %) POSITION	31/12/19	30/06/20	30/09/20	31/12/20
CET 1 Capital	9,723	9,585	9,785	9,597
T1 Capital	10,155	10,388	10,589	10,397
Total Capital	11,680	11,676	12,253	12,304
RWA	65,872	65,090	63,381	65,606
CET 1 Ratio	14.76%	14.73%	15.44%	14.63%
AT1	0.65%	1.23%	1.27%	1.22%
T1 Ratio	15.42%	15.96%	16.71%	15.85%
Tier 2	2.32%	1.98%	2.63%	2.91%
Total Capital Ratio	17.73%	17.94%	19.33%	18.75%
Leverage ratio Phased-In as at 31/12/2020: 5.66%
FULLY PHASED CAPITAL (€/m and %) POSITION	31/12/19	30/06/20	30/09/20	31/12/20
CET 1 Capital	8,600	8,692	9,006	8,736

T1 Capital 8,902 9,390 9,704 9,431 Total Capital 10,427 10,679 11,369 11,338

RWA 65,911 65,317 63,869 65,868 CET 1 Ratio 13.05% 13.31% 14.10% 13.26% AT1 0.46% 1.07% 1.09% 1.06% T1 Ratio 13.51% 14.38% 15.19% 14.32% Tier 2 2.31% 1.97% 2.61% 2.89% Total Capital Ratio 15.82% 16.35% 17.80% 17.21%

RWA COMPOSITION (€/bn)	31/12/19	30/06/20	30/09/20	31/12/20
CREDIT & COUNTERPARTY RISK	57.7	56.9	55.0	54.9
of which: Standard	29.4	29.1	29.0	30.6
MARKET RISK	1.9	2.0	2.2	3.5
OPERATIONAL RISK	6.0	6.0	6.0	7.0
CVA	0.2	0.2	0.2	0.2
TOTAL	65.9	65.1	63.4	65.6

RWA COMPOSITION (€/bn)	31/12/19	30/06/20	30/09/20	31/12/20
CREDIT & COUNTERPARTY RISK	57.7	57.1	55.5	55.2
of which: Standard	29.4	29.3	29.5	30.9
MARKET RISK	1.9	2.0	2.2	3.5
OPERATIONAL RISK	6.0	6.0	6.0	7.0
CVA	0.2	0.2	0.2	0.2
TOTAL	65.9	65.3	63.9	65.9

Leverage ratio Fully Loaded as at 31/12/2020: 5.16%

Note: 2019 data are post suspension of dividend payment. 2020 data include also the Net Income of the pertinent quarters and, as at 31/12/2020, also the proposed dividend payment.

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)