Banco BPM SpA

Investor Presentation • May 5, 2022

Q1 2022 Group Results Presentation

05 May 2022

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.

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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.

Methodological Notes

• With regard to the reclassified statement of financial position, please note that some comparative balances have been reclassified compared to what had been originally published, in order to reflect the changes in layout and preparation criteria introduced by update 7 of Circular no. 262, published by the Bank of Italy on 29 October 2021. The update introduced a change in the layout and preparation criteria of due from banks represented by demand deposits and current accounts, that must now be posted under the balance sheet line-item "10. Cash and cash equivalents", instead of the previous line-item "40. Financial assets measured at Amortized Cost". In light of said change, as of the consolidated financial statements at 31 December 2021, due from banks represented by demand deposits and current accounts are posted under the reclassified balance sheet line-item "Cash and cash equivalents", instead of the line-item "Loans to other banks". The previous periods have been reclassified accordingly.
• Group capital ratios included in this presentation are calculated including the net profit of the period and deducting the amount of the dividend pay-out expected for the year.

Agenda

1	Executive Summary	5
2	Key Highlights	13
3	Q1 2022 Performance Details	23

Executive Summary

Profitability at record level, with the highest quarterly Profit from continuing operations since the merger¹

Improving risk profile, coupled with sound capital position

Excellent results achieved in a challenging environment
Robust Profitability	Healthy growth in volumes	Further improvement in Asset Quality	Sound Capital & Liquidity profile
• Revenues +9.1% Q/Q Costs flat Q/Q • • Cost/Income ratio: 52.7% • PPI +21.5% Q/Q • PBT from continuing operations at €399m • Net Income at €178m	• Core Performing Customer Loans +1.9% Q/Q New Lending +14.9% Q/Q • Investment product • placements +14.2% Q/Q	• Stock gross NPE at €5.6bn (-12.6% Q/Q)2 • Gross NPE Ratio at 4.9% EBA definition)2 (3.8% 0.8%3 • Default Rate down at CoR at 54bps3 •	• CET 1 FL at 13.1% • MDA Buffer FL Adj. at 462bps4 • LCR at 206% • NSFR >100%

Strategic Plan delivery well on track

Note: 1. Profit before taxes from continuing operations, excluding extraordinary positive impact from asset disposals. 2. Data post Argo transaction, see slide 10. 3. Annualised. 4. Including €300m AT1 issued in April 2022.

1. Executive Summary 6

Key P&L items: Net income at €178m and PPI at €561m, boosted by strong growth in revenues and the lowest LLPs ever

Note 1. Includes: NII+ Net commissions + Associates; Q4 21 included €42.1m one-off in Income from Associates.

1. Executive Summary 7

Quarterly CoR data are annualised.

Solid commercial performance, in line with the Strategic Plan trajectory

by the State

Note: 1. Management data.

1. Executive Summary 8

Further progress in new digital-driven distribution model

SME APP

YOUAPP/ Digital Identity

• Launch of Fully Digital Customer Journey for SME «smart» loans

First PILOT initiative targeting about 3,000 SME customers (~500 loans, ~ €15m volumes)

• SME APP adoption initiatives and new functionalities (e.g. mobile token)
• ~30k enrolled users of SME APP generating ~900k digital log-in, since Nov. 2021
• Winner of MF Innovation Award (Financial Services)
• New features: PSD2 Account Aggregation and Personal Financial Management
• ~500K individuals enrolled on «Digital Identity» (main enabler of paperless banking)

Asset Quality KPIs: Already overperforming the Strategic Plan Target for 2024

Derisking target for a total of >€1bn in H1 2022 confirmed

Project Argo

Disposal of ~€0.7bn of NPE (GBV) for a total of >400 positions:

• 50% Bad Loans / 50% UTP
• >90% Corporate loans
• ~70% secured, with >7 years vintage
• ~30% unsecured, with >5 years vintage

Timing:

• Binding offer received and accepted at the end of April
• Closing expected by H1 2022 results

Positive impacts:

• Gross NPE ratio down to 4.9%
• Reducing the average vintage of the remaining NPE portfolio to counterbalance impact of calendar provisioning

Notes: 1. As per the EU Transparency exercise. 2. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets net of fiscal effect).

Strong liquidity and funding position

Main Liquidity & Funding indicators at a glance

• NSFR >100%, in line with the Strategic Plan 2021-2024 target
• Liquidity¹ at €44.0bn

31/12/16 31/12/19 31/12/20 31/12/21 31/03/22

Bond issuance activities in the period January-April 2022

• Successful issuance activity: €1.45bn wholesale bonds issued in the period January-April 2022
• €750m Covered Bond: First Green bond issued under the new ESG Bond Framework²
• Future issuance activities will also consider rating agency methodologies³

financial profile also reflected in rating actions

• Fitch: investment grade rating in 04/2022 (+3 notches vs. premerger)
• DBRS: investment grade since the merger, with Trend changed to Positive (from Negative) in 11/2021

Notes: 1. Cash + Unencumbered Liquid Assets; see slide 34 for details. 2. See slide 41 for further details on our ESG performance in Q1 2022. 3. See slide 31 for further details.

1. Executive Summary 11

Bancassurance business model evolution

Acceleration in a key pillar of our Strategic Plan 2021-2024

Strategic Plan – base case: Internalization of the Insurance business

	• Acquisition of 100% of the existing Bancassurance JVs	~ €125m
Strategic plan assumptions	Limited impact on capital thanks • to Danish Compromise: controlling stakes included within RW1 RWA (@250% ) instead of being deducted from capital	Expected net profit from Bancassurance factories in 2024

Recent actions • Decision to accelerate exercise of call option on 81% of BPM Vita (owned by Covea)

• Manageable capital impact: -32 bps/+5 bps before/after Danish Compromise

100% of BPM Vita net profit to be recognized as from H2 20222, 3

Strategic Plan – optionalities: New partnerships

• Multiple expressions of interest recently received from leading insurance operators
• Decision to launch a structured evaluation process
• Objective: assess alternative scenarios vs. the 2021/2024 plan "base case" from a threefold perspective: Financial (shareholder value creation), Strategic (solidity of the Group's overall business model) and Operational impact

Note: 1. Based on Basel IV regulation, starting from 01/01/25. 2. Subject to receipt of required authorizations. 3. Positive effect on Banco BPM's P&L expected for 2023: about €29m (before impact of PPA and IFRS17 – see Press Release published on 12 April 2022).

1. Executive Summary 12

Q1 2022: excellent results achieved in a complex environment

Pre-provision income at €561m (+22% Q/Q and +16% Y/Y) driven by:

• Solid "core" revenues
• Strong NFR mainly thanks to bond options on govies portfolio at FVOCI
• Cost reduction benefitting also from savings from early retirement

Reduction in LLPs, at the lowest level registered since the merger

Net income at €178m

			P&L
€ m	Q1 2021	Q4 2021	Q1 2022	Chg. Q/Q Chg. Y/Y
Net interest income	497	506	512	+0.4% Q/Q Adj.
Net fee and commission	471	486	480	excl. €42.1m one-off in the Income from
Income from associates	42	87	50	Associates in Q4 21
Core revenues	1,010	1,079	1,041	-3.5% 3.1%
Net financial result	100	-1	128
Other revenues	18	9	17
Total revenues	1,128	1,087	1,186	9.1% 5.2%
Operating costs	-644	-625	-625
Pre-Provisions income	484	462	561	21.5% 16.0%
Loan loss provisions	-217	-214	-151
Other1	-8	-114	-11
Profit fron Continuing operations (pre-tax)	259	133	399	199.2% 54.0%
Taxes	-83	-37	-138
Net profit from continuing operations	176	96	261	171.1% 47.7%
Systemic charges and other2	-76	1	-83
Net income	100	97	178	83.2% 77.6%

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, other elements (pre tax). 2. Other includes: PPA and other elements (after tax). See slide 25 for details of P&L.

Net interest income: solid performance in Q1 2022

Commercial spreads
% Asset spread	1.79	1.77	1.76	1.75	1.73
Customer spread	1.16	1.15	1.15	1.12	1.14
Liability spread	-0.63 Q1 21	-0.62 Q2 21	-0.61 Q3 21	-0.63 Q4 21	-0.59 Q1 22
Euribor 3M Avg.	-0.55	-0.55	-0.55	-0.57	-0.54

• NII strong in Q1 22, considering the negative day effect in Q1 22 (ca. -€11m) and -€5.8m one-off in Q4 21¹
• Solid perfomance Q/Q driven by following dynamics:
• positive contribution from Commercial banking and bond portfolio
• slight increase from TLTRO interest (+€1.7m)
• NPE contribution decreased by €2.3m²
• Commercial spread at 1.14% (+2bps Q/Q) Asset and Liability spreads in Q1 22 reflect Euribor dynamic
• Confirmed sensitivity to a rate increase (+100bps parallel shift): about +€415m (+€430m in Q4 21)

Notes: 1. Reclassification, with no impact at net income level, from 'Provisions for Risks & Charges to 'NII' of provisions for fiscal credits related to operations carried out in past years. 2. NPE contributions at €19.1m in Q1 22, €21.4m in Q4 21 and 26.4m in Q1 21.

Fees & Commissions: sound yearly progression despite a worsening macro

Management & Advisory fees at €239.0m:

• Stable Y/Y, driven by stronger running component, compensating lower investment product placements
• +6.0% Q/Q mainly thanks to Funds & Sicav placements

Commercial banking fees at €241.1m:

• In line with 2021 quarterly average (€243m) despite complex macro
• +3.8% Y/Y, mainly in relation to new lending and payment services
• Quarterly trend (-7.4%) mainly impacted by seasonality

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

Operating costs: long-term downward trend confirmed

Cost of Risk reduction consistent with solid credit profile

FY 19 FY 20 FY 21 Q1 22 (annualised) 2024 Target Default rate (from Performing To NPEs) 1.2% 1.0% 1.0% 0.8% 1.0% Danger rate (from UTP to Bad Loans) 11.1% 7.5% 9.3% 10.0% 10.0% Workout rate (Cancellations, Write-offs, Recoveries, Cure & Other)¹ 19.0% 13.8% 20.2% 21.1% 21.9%

Migration rates

Solid credit profile and proactive loan portfolio management:

• Migration rates already in line with long-term Strategic Plan targets and better than the level expected for FY 2022 (1.8% Default Rate, 14.7% Danger Rate and 18.3% Workout rate)
• Early engagement campaign towards borrowers particularly exposed to energy/raw material-intensive sectors, coupled with strict staging classification

Negligible exposure to Russia/Ukraine/Belarus, already classified in Stage 2:

• Direct exposure² :
• ~€108m represented by loans and credit commitments
• ~€44m of letters of credit issued by Russian banks (o/w only ~€7m drawn)
• No exposures to bonds or other financial instruments in the proprietary portfolio relating to Russia, Ukraine and Belarus

Notes: 1. Managerial analysis. 2. Exposures towards Russian, Ukrainian and Belarusian companies or towards Italian companies controlled by Russian, Ukrainian and Belarusian groups; amount drawn (on and off-balance sheet) as at the end of April 2022.

NPE evolution in Q1 2022

Another significant step ahead in derisking: NPE stock down to €5.6bn post Argo transaction

Optimization of Debt securities portfolio

Reduction in the share of Italian Govies & increase of the AC component

Q4 21 Q1 22

31/12/21 31/03/22

Notes: 1. Pre-IFRS 9 accounting criteria, not fully comparable with current ones.

Solid capital position

Robust capital buffers, with unchanged SREP requirements for 2022

All data include also the Net Income of the pertinent period. Notes: 1. Based on 50% dividend payout ratio. 2. Includes €300m AT1 issue of April 2022.

Final remarks and 2022 Outlook

FURTHER STRENGTHENING IN THE GROUP'S PROFITABILITY

• Net profit at €178m in Q1 2022 (vs. €100m in Q1 2021)
• Healthy growth in Revenues: +5.2% Y/Y and +9.1% Q/Q - Positive outlook backed by strong NII sensitivity to interest rate hikes
• Solid pre-provision operating profit: €561m in Q1 22: +16.0% Y/Y and +21.5% Q/Q
• C/I ratio down at 52.7% in Q1 2022 (55.8% in FY 2021)
• Annualised Cost of Risk down at 54bps (81bps in FY 21)

STEADFAST PROGRESS IN ASSET QUALITY IMPROVEMENT

• Gross NPEs down by -€3.1bn Y/Y (-35.8%), including Argo Project (-0.7bn of gross NPE to be finalised by H1 2022 results)
• Gross NPE ratio down to 4.9% post Argo (3.8% based on EBA definition), consolidating the "Low NPE bank" status
• Migration rates benefit from safe credit management and geographic footprint: Default rate at 0.8% in Q1 2022¹ (1.0% in FY 21)

SOLID CAPITAL POSITION

• CET 1 ratio FL at 13.1%
• MDA buffer at 462bps (€300m AT1 issue of April included), with Tier 1 and Tier 2 buckets fully filled

In the current scenario, the Group is confident to achieve a growth in Net Income 2022 vs. 2021, confirming the profitability trajectory of the Strategic Plan

Notes: 1. Annualised.

Quarterly P&L results

Reclassified income statement (€m)	Q1 21	Q2 21	Q3 21	Q4 21	Q1 22		Chg. Q/Q Chg. Q/Q %
Net interest income	496.8	522.4	516.4	506.0	511.5	5.5	1.1%
Income (loss) from invest. in associates carried at equity	41.5	56.5	46.8	87.1	49.6	-37.4	-43.0%
Net interest, dividend and similar income	538.4	578.9	563.2	593.1	561.2	-31.9	-5.4%
Net fee and commission income	471.4	478.7	475.3	485.8	480.1	-5.7	-1.2%
Other net operating income	18.2	21.7	26.3	9.1	16.7	7.6	83.8%
Net financial result	99.7	116.5	35.9	-1.4	127.9	129.4	n.m
Other operating income	589.3	617.0	537.5	493.4	624.7	131.2	26.6%
Total income	1,127.7	1,195.9	1,100.7	1,086.5	1,185.9	99.4	9.1%
Personnel expenses	-426.9	-417.1	-409.8	-413.9	-407.9	6.1	-1.5%
Other administrative expenses	-154.1	-153.9	-144.0	-149.1	-155.6	-6.4	4.3%
Amortization and depreciation	-62.9	-60.6	-61.8	-61.6	-61.2	0.4	-0.6%
Operating costs	-643.9	-631.6	-615.6	-624.7	-624.7	0.0	0.0%
Profit (loss) from operations	483.8	564.2	485.1	461.9	561.2	99.4	21.5%
Net adjustments on loans to customers	-217.1	-255.5	-200.6	-214.0	-151.1	62.9	-29.4%
Profit (loss) on FV measurement of tangible assets	0.1	-37.0	-7.8	-96.9	-1.2	95.7	-98.7%
Net adjustments on other financial assets	-0.4	0.9	0.2	-1.1	-3.2	-2.1	n.m.
Net provisions for risks and charges	-7.2	-5.6	-15.5	2.3	-8.1	-10.4	n.m
Profit (loss) on the disposal of equity and other invest.	0.0	-0.4	0.4	-18.7	1.5	20.3	n.m
Income (loss) before tax from continuing operations	259.1	266.7	261.8	133.4	399.1	265.7	n.m.
Tax on income from continuing operations	-82.7	-50.6	-83.3	-37.2	-138.4	-101.2	n.m.
Income (loss) after tax from continuing operations	176.4	216.0	178.5	96.2	260.6	164.5	n.m.
Systemic charges after tax	-59.2	-19.3	-61.7	-4.8	-74.6	-69.8	n.m.
Realignment of fiscal values to accounting values	0.0	79.2	0.0	2.5	0.0	-2.5	-100.0%
Income (loss) attributable to minority interests	0.0	0.1	0.0	0.1	0.0	-0.1	-70.1%
Purchase Price Allocation after tax	-10.3	-9.7	-10.2	-9.3	-8.5	0.8	-8.2%
Fair value on own liabilities after Taxes	-6.8	-5.1	4.0	12.3	0.2	-12.1	-98.6%
Net income (loss) for the period	100.1	261.2	110.7	97.1	177.8	80.7	83.2%

P&L: Q1 2022 stated and adjusted comparison

Reclassified income statement (€m)	Q1 2022	Q1 2022 adjusted	One-off	Non-recurring items
Net interest income	511.5	511.5	0.0
Income (loss) from invest. in associates carried at equity	49.6	49.6	0.0
Net interest, dividend and similar income	561.2	561.2	0.0
Net fee and commission income	480.1	480.1	0.0
Other net operating income	16.7	16.7	0.0
Net financial result	127.9	127.9	0.0
Other operating income	624.7	624.7	0.0
Total income	1,185.9	1,185.9	0.0
Personnel expenses	-407.9	-407.9	0.0
Other administrative expenses	-155.6	-155.6	0.0
Amortization and depreciation	-61.2	-61.2	0.0
Operating costs	-624.7	-624.7	0.0
Profit (loss) from operations	561.2	561.2	0.0
Net adjustments on loans to customers	-151.1	-118.8	-32.3	Additional NPE disposal
Profit (loss) on FV of tangible assets	-1.2		-1.2	Value adjustments
Net adjustments on other financial assets	-3.2	-3.2	0.0
Net provisions for risks and charges	-8.1	-8.1	0.0
Profit (loss) on the disposal of equity and other invest.	1.5		1.5	Disposal on tangible assets
Income (loss) before tax from continuing operations	399.1	431.1	-32.0
Tax on income from continuing operations	-138.4	-149.1	10.7
Income (loss) after tax from continuing operations	260.6	282.0	-21.4
Systemic charges after tax	-74.6	-74.6	0.0
Purchase Price Allocation after tax	-8.5	-8.5	0.0
Fair value on own liabilities after Taxes	0.2	0.2	0.0
Net income (loss) for the period	177.8	199.2	-21.4

Net financial result, reserves & unrealised gains

Reclassified Balance Sheet as at 31/03/2022

				Chg. y/y		Chg. q/q
Reclassified assets (€ m)		31/03/21 31/12/21 31/03/22		Value	%	Value	%
Cash and cash equivalents	11,362	29,153	32,077		20,715 182.3%	2,923	10.0%
Loans and advances measured at AC	126,756	121,261	119,218	-7,538	-5.9%	-2,043	-1.7%
- Loans and advances to banks	16,610	11,878	8,329	-8,281	-49.9%	-3,549	-29.9%
1 - Loans and advances to customers ( )	110,146	109,383	110,889	743	0.7%	1,505	1.4%
Other financial assets	45,686	36,326	40,679	-5,006	-11.0%	4,353	12.0%
- Assets measured at FV through PL	8,725	6,464	7,017	-1,708	-19.6%	553	8.5%
- Assets measured at FV through OCI	14,898	10,675	12,143	-2,755	-18.5%	1,468	13.7%
- Assets measured at AC	22,063	19,187	21,520	-543	-2.5%	2,333	12.2%
Equity investments	1,641	1,794	1,642	2	0.1%	-152	-8.5%
Property and equipment	3,527	3,278	3,290	-238	-6.7%	11	0.3%
Intangible assets	1,218	1,214	1,214	-4	-0.3%	1	0.1%
Tax assets	4,688	4,540	4,532	-156	-3.3%	-8	-0.2%
Non-current assets held for sale and discont. operations	70	230	204		134 192.2%	-25	-11.1%
Other assets	2,203	2,692	2,935	732	33.2%	243	9.0%
Total	197,151	200,489	205,792	8,641	4.4%	5,302	2.6%
Reclassified liabilities (€ m)		31/03/21 31/12/21 31/03/22		Value	%	Value	%
Direct Funding	117,421	120,213	123,356	5,935	5.1%	3,143	2.6%
- Due from customers	104,091	107,121	109,584	5,494	5.3%	2,464	2.3%
- Debt securities and financial liabilities desig. at FV	13,330	13,092	13,771	441	3.3%	679	5.2%
Due to banks	46,073	45,685	46,788	716	1.6%	1,103	2.4%
Debts for Leasing	741	674	712	-28	-3.8%	38	5.7%
Other financial liabilities designated at FV	14,100	15,755	15,757	1,657	11.8%	2	0.0%
Liability provisions	1,383	1,197	1,163	-219	-15.9%	-34	-2.8%
Tax liabilities	447	303	282	-165	-36.9%	-21	-6.9%
Liabilities associated with assets held for sale	0	0	0	0	n.m.	0	n.m.
Other liabilities	4,360	3,566	4,751	391	9.0%	1,185	33.2%
Minority interests	1	1	1	0	7.4%	0	32.5%
Shareholders' equity	12,626	13,095	12,980	355	2.8%	-115	-0.9%
Total	197,151	200,489	205,792	8,641	4.4%	5,302	2.6%

Note: 1. "Customer loans" include the Senior Notes of the three GACS transactions.

New lending at €6.7bn in Q1 2022

+15.7% Y/Y and + 14.9% Q/Q

• stable on a quarterly basis and +6.5% Y/Y
• Strong performance of new lending to Enterprises & Corporate (+19.1% Q/Q and +17.7% Y/Y)
• Covid-19 Measures guaranteed by the State in recovery vs. Q4 21 level (+€0.6bn)

Note: 1. M/L-term Mortgages (Sec. and Unsec.), Personal Loans, Pool and Structured Finance (including revolving).

Direct funding

Note: 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 (€0.8bn on 31/03/2022 vs. 0.6bn on 31/12/2021 and €0.8bn on 31/03/2021), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

Bond maturities: limited and manageable amounts

Managerial data based on nominal amounts. Excluding calls.

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

Managerial data based on nominal amounts.

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

Indirect customer funding at €95.6bn

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

• Total Indirect Customer Funding at €95.6bn: +1.4% Y/Y thanks to the volume effect, and -3.5% Q/Q exclusively due to the price effect

Management data of the commercial network. AuC historic data restated for managerial adjustments. Note: 1. AuC data are net of capital-protected certificates, as they have been regrouped under Direct Funding (see slide 29).

Focus on Govies portfolio

Solid liquidity position: LCR at 206% & NSFR >100% as at 31/03/2022

• Total Encumbered Eligible Assets at €53.6bn¹ at end of March 2022
• TLTRO III nominal exposure at €39.2bn as at 31/03/22 (stable in Q1 2022, +€1.7bn Y/Y)

Net Customer Loans

Satisfactory increase in Performing Loans

Net Customer Loans¹

					Change
Net Performing Customer Loans			31/03/21 31/12/21 31/03/22 In % y/y		In % q/q
Core customer loans	99.2	99.5	101.3	2.1%	1.9%
- Mortgages	75.4	77.3	78.2	3.7%	1.2%
- Current Accounts	8.2	8.2	8.9	9.2%	8.5%
- Cards & Personal Loans	1.8	1.3	1.2	-34.1%	-10.6%
- Other loans	13.9	12.6	13.0	-6.0%	3.1%
GACS Senior Notes	2.2	2.3	2.1	-3.2%	-7.3%
Repos	3.6	3.7	3.7	2.5%	0.5%
Leasing	0.8	0.7	0.7	-20.6%	-4.8%
Total Net Performing Loans	105.9	106.1	107.8	1.8%	1.6%

Net Performing loans in Stage 2 at €11.2bn as at 31/03/22 (€11.4bn YE 2021), with a coverage of 2.9% (2.8% at YE 2021)

Notes: 1. Loans and advances to customers at Amortized Cost, including also the GACS senior notes.

Analysis of Performing loan portfolio

Notes: 1. Financials include REPOs with CC&G. 2. All loans guaranteed by the State, including Covid and non-Covid measures.

Asset Quality details

Loans to Customers at AC

Gross exposures	31/03/2021	31/12/2021	31/03/2022		Chg. y/y	Chg. q/q
€/m and %				Value	%	Value	%
Bad Loans	3,575	2,190	2,226	-1,349	-37.7%	35	1.6%
UTP	4,958	4,126	3,974	-984	-19.8%	-152	-3.7%
Past Due	146	60	53	-93	-63.7%	-7	-11.4%
NPE	8,678	6,376	6,252	-2,426	-28.0%	-124	-1.9%
Performing Loans	106,344	106,577	108,244	1,900	1.8%	1,667	1.6%
TOTAL CUSTOMER LOANS	115,022	112,953	114,496	-526	-0.5%	1,543	1.4%
Net exposures	31/03/2021	31/12/2021	31/03/2022		Chg. y/y		Chg. q/q
€/m and %				Value	%	Value	%
Bad Loans	1,334	906	849	-485	-36.4%	-58	-6.4%
UTP	2,820	2,309	2,211	-609	-21.6%	-98	-4.3%
Past Due	124	45	39	-85	-68.6%	-6	-12.6%
NPE	4,278	3,261	3,099	-1,179	-27.6%	-162	-5.0%
Performing Loans	105,868	106,123	107,790	1,922	1.8%	1,667	1.6%
TOTAL CUSTOMER LOANS	110,146	109,383	110,889	743	0.7%	1,505	1.4%
Coverage ratios %	31/03/2021	31/12/2021	31/03/2022
Bad Loans	62.7%	58.6%	61.9%
UTP	43.1%	44.0%	44.4%
Past Due	15.0%	25.3%	26.3%
NPE	50.7%	48.9%	50.4%
Performing Loans	0.45%	0.43%	0.42%
TOTAL CUSTOMER LOANS	4.2%	3.2%	3.2%

Note: Data as at 31/03/2022 are accounting data pre-Argo Project.

NPE flows

Positive migration trends confirmed

Capital position in detail

PHASED IN CAPITAL POSITION (€/m and %)	31/03/2021	31/12/2021	31/03/2022
CET 1 Capital T1 Capital Total Capital	9,388 10,565 12,275	9,387 10,564 12,524	9,011 10,104 12,545
RWA	68,418	63,931	64,372
CET 1 Ratio	13.72%	14.68%	14.00%
AT1	1.72%	1.84%	1.70%
T1 Ratio	15.44%	16.52%	15.70%
Tier 2	2.50%	3.07%	3.79%
Total Capital Ratio	17.94%	19.59%	19.49%

Leverage ratio Phased-In as at 31/03/2022: 5.29%

FULLY PHASED CAPITAL POSITION (€/m and %)	31/03/2021	31/12/2021	31/03/2022
CET 1 Capital	8,696	8,559	8,435
T1 Capital	9,789	9,652	9,528
Total Capital	11,499	11,613	11,969
RWA	68,623	63,729	64,208
CET 1 Ratio	12.67%	13.43%	13.14%
AT1	1.59%	1.71%	1.70%
T1 Ratio	14.26%	15.15%	14.84%
Tier 2	2.49%	3.08%	3.80%
Total Capital Ratio	16.76%	18.22%	18.64%

Leverage ratio Fully Loaded as at 31/03/2022: 5.01%

FULLY PHASED RWA COMPOSITION (€/bn)		31/03/2021 31/12/2021 31/03/2022
CREDIT & COUNTERPARTY RISK	57.9	53.9	54.9
of which: Standard	31.0	29.5	30.0
MARKET RISK	3.5	2.5	2.0
OPERATIONAL RISK	7.0	7.1	7.1
CVA	0.2	0.3	0.2
TOTAL	68.6	63.7	64.2

Note: All data include also the Net Income of the pertinent quarters, net of dividend accrual. Data as at 31/03/2022 do not include the €300m AT1 issued in April 2022.

Strong development of digital banking

Digital adoption: ongoing growth

Notes: 1. As reported on 27th April 2022. 2. Mobile APP for SMEs available since November ²⁰²¹ 3. Q1 2022 Performance Details 40

Key recent steps in our Sustainable strategy path

€750m Green Covered Bonds, issued in March 2022

under the €10bn Public CB programme (BPM Covered Bond 2)

• The first Green Covered Bond issuance in Italy in 2022 and the second ever for an Italian bank
• Use of proceeds: finance and refinance a portfolio of €1.2bn green mortgages granted to households for the purchase of houses which belong to the top 15% energy efficient buildings in Italy
• Positive response from institutional investors in a tough environment

Investor Distribution by «green statistics»

47% 40% 13% Conventional investors

Herald investors: have the most advanced ESG strategy and are the most involved in the sustainable bond market

ESG investors: Asset managers / owners with mandate to integrate ESG considerations in their AM, but without specific view / allocation to sustainable bonds

CDP score assigned for 2021: A- (vs. B assigned for 2020)

Publication of 2021 Non-Financial Statement:

• the first Statement aligned with TCFD standards

• the first Communication on Progress for the UNGC

Fundraising and other support measures for people from Ukraine, in cooperation with Caritas: >€1m raised

Contacts for Investors and Financial Analysts

Banco BPM

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

investor.relations@bancobpm.it www.gruppo.bancobpm.it (IR section)