Banco BPM SpA — Investor Presentation 2022

Feb 8, 2022

FY 2021 Group Results Presentation

Guidance overdelivered - Full confidence in achieving the Strategic Plan Targets

8 February 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.

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.

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.
• 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	4
2.	Key Highlights	11
3.	FY 2021 Performance Details	25

PROPOSED DIVIDEND: €19 CENTS DIVIDEND PAYOUT AT 50%: ABOVE STRATEGIC PLAN TARGETS ADJUSTED NET PROFIT: €710M, WITH A ROTE OF 6.9%¹ EPS AT €38 CENTS

	DIVIDEND PROPOSAL ABOVE GUIDANCE
PROFITABILITY	SAFE RISK PROFILE WITH FURTHER IMPROVEMENT IN	SOUND CAPITAL POSITION &	DIVIDEND PAYOUT: 50% (VS. 40% GUIDANCE)
ABOVE GUIDANCE	ASSET QUALITY INDICATORS	STRENGTHENED MDA BUFFERS	DIVIDEND PER SHARE: €19 CENTS
NET INCOME: €710M Adjusted	GROSS NPE RATIO: 5.6% (4.3% EBA definition)	CET 1 FL: 13.4%	+€73M vs. GUIDANCE
€569M Stated	NET NPE RATIO: 3.0% DEFAULT RATE: 1.0%	MDA BUFFER FL: 470bps	DIVIDEND YIELD2 : 6.8%

ROOM TO FURTHER INCREASE SHAREHOLDER REMUNERATION OVER THE STRATEGIC PLAN HORIZON

Notes: 1. ROTE calculated as FY 2021 Adjusted Net Profit from P&L / Tangible Shareholders' Equity as at 31/12/21 (excluding FY 2021 Net Profit and AT1 instruments). Tangible Shareholder Equity calculated as Shareholders' Net Equity - Intangible assets net of fiscal effect. 2. Calculated over the average closing price of 2022 YTD at €2.795.

5 1. Executive Summary

2021 GUIDANCE: OVERDELIVERED

€ m

OVERPERFORMING PRE-PANDEMIC RESULTS FULL CONFIDENCE IN ACHIEVING PLAN TARGETS

€ m

Selected KPIs					TOTAL REVENUES
€ bn	2019	2020	2021	2023 TARGET	2024 TARGET		4,345	4,152	4,469	~€4.3BN	~€4.6BN
INVESTMENT PRODUCT PLACEMENTS	14.1	13.0	18.2	~19.0	~19.6		2019 Adj. 3,771	2020 Adj. 3,646 o/w: NII + NET COMMISSIONS	2021 Adj. 3,953	2023E ~€3.9BN	2024E ~4.1BN
AUM NET INFLOWS	-0.4	+0.9	+3.4	~+4.0	+4.4		OPERATING COSTS 2,600	2,459	2,528	~€2.4BN	~€2.4BN
AUM STOCK NEW LENDING	58.3 21.4	59.6 27.4	65.3 22.7	73.5 >24	78.7 >26		2019 Adj.	2020 Adj.	2021 Adj.	2023E	2024E
GROSS NPE RATIO	9.1%	7.5%	5.6% EBA def. 4.3%	5.4%	4.8%		59.8% COST/INCOME	59.2%	56.6%	<57%	~53%
COST OF RISK	74bps	122bps	81bps 55bps Core	58bps	48bps		NET INCOME 649	330	710	~740	~1,050
CET 1 RATIO FL	13.0%	13.3%	13.4%	~14%	~14.4%		2019 Adj.	2020 Adj.	569 2021 Adj.	2023E	2024E

7 1. Executive Summary

STRONG IMPROVEMENT IN ASSET QUALITY, AHEAD OF TARGETS…

(Shareholders' Net Equity - Intangible assets net of fiscal effect).

… COUPLED WITH STRENGTHENED CAPITAL & LIQUIDITY

Notes: 1. CET 1 as at 31/12/2019 post suspension of 2019 dividend. 2. CET 1 as at 31/12/2021, including the impact of the proposed dividend payment for FY 2021. 3. Monthly LCR. 4. NSFR in Q4 2021.

9 1. Executive Summary

KEY DRIVERS OF THE STRATEGIC PLAN: RECENT ACTIONS

BANCASSURANCE SME CENTERS DIGITAL BANKING ESG

• 8 Workstreams activated, supported by industrial advisors
• Action Plan for the alignment of the product range and commercial model of BPM Vita and Vera Vita defined

• Joint working group between BBPM & BPM Vita created for the project implementation, potentially leading to an anticipation of the call option exercise for BPM Vita

• First 135 Focal Points activated

• Defined:
  • 67 new Heads for the SME Centers
  • 450 Relationship Managers

• Commercial campaigns launched, involving ~75K customers, o/w:

  • ~45K customers with turnover €5-75m: Trade Finance, Wholesale Banking, Derivatives, Payment services
  • ~30K customers with turnover <€5m: "Top of the Business" (proactive tailormade advisory services)

• New App dedicated to SME/Business clients launched

• 20% of total sales already driven by advanced analytics / omnichannel customer journeys
• >400K clients enrolled on Digital Identity
• Digital customer transactional activity well above market average (> ~7 p.p.)

• Remote transactions at 83% (74% in 2019), supported by a strong increase in APP-based transactions: +124% in 2021 vs. 2019

• Banco BPM joined the UNGC¹ and became a supporter of the TCFD²

• Banco BPM included in the MIB ESG Index and in the Bloomberg G-E Index
• Lending policies integrated with ESG factors for all sectors
• Integration of climate risk within the risk identification process and first climate risk materiality assessment
• New "Inclusion Diversity & Social" and "Key People & Talents" units set up

NEW LONG-TERM INCENTIVE SCHEME CONSISTENT WITH 2021-2024 STRATEGIC PLAN TARGETS TO BE SUBMITTED TO BANCO BPM'S UPCOMING AGM

Notes: 1. United Nations Global Compact. 2. Task Force on Climate-Related Financial Disclosures.

10 1. Executive Summary

Agenda

1.	Executive Summary	4

2. Key Highlights 11

FY 2021 WELL ABOVE GUIDANCE: ADJUSTED NET INCOME AT €710M (€569M STATED)

STRONG OPERATING PERFORMANCE WITH REVENUE GROWTH DRIVEN BY NET COMMISSIONS (+15% Y/Y)

PRE-PROVISION INCOME AT €1,941M (+14.7% Y/Y)

SIGNIFICANT REDUCTION IN LLPs

NET INCOME AT €710M

Adjusted data

		P&L ADJUSTED1		P&L STATED
€ m	FY 2020	FY 2021	Y/Y	FY 2020	FY 2021
NET INTEREST INCOME	1,983	2,042		1,983	2,042
NET FEES & COMMISSIONS	1,664	1,911		1,664	1,911
INCOME FROM ASSOCIATES	131	190		131	232
CORE REVENUES	3,777	4,143	9.7%	3,777	4,185
NFR	319	251		319	251
OTHER REVENUES	56	75		56	75
TOT. REVENUES	4,152	4,469 0	7.6%	4,152	4,511
OPERATING COSTS	-2,459	-2,528		-2,430	-2,516
PRE-PROVISION INCOME	1,692	1,941	14.7%	1,722	1,995
LOAN LOSS PROVISIONS	-1,085	-693		-1,337	-887
OTHER2	-17	-26		-79	-187
PROFIT FROM CONTINUING OPER. (pre-tax)	590	1,221	107.1%	306	921
TAXES	-90	-350		-14	-254
NET PROFIT FROM CONTINUING OPER.	499	871	74.4%	293	667
SYSTEMIC CHARGES AND OTHER3	-169	-161		-400	-180
REALIG. OF FISCAL VALUES TO ACCOUNT. VALUE				128	82
NET INCOME	330	710	114.9%	21	569

Notes:1. See slides 27 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, other elements (pre tax). 3. Other includes: PPA and other elements (after tax). See slide 26 for details of P&L.

Q4 2021 ADJUSTED NET INCOME AT €145M (€97M STATED)

	P&L ADJUSTED1			P&L STATED
€ m	Q1 2021	Q2 2021	Q3 2021	Q4 2021	Q1 2021	Q2 2021	Q3 2021	Q4 2021
NET INTEREST INC!NME	497	522	516	506	497	522	516	506
NET FEES & COMMISSIONS	471	479	475	486	471	479	475	486
INCOME FROM ASSOCIATES	42	57	47	45	42	57	47	87
CORE REVENUES	1,010	1,058	1,039	1,037	1,010	1,058	1,039	1,079
NFR	100	117	36	-1	100	117	36	-1
OTHER REVENUES	18	22	26	9	18	22	26	9
TOT. REVENUES	1,128	1,196	1,101	1,044	1,128	1,196	1,101	1,087
OPERATING COSTS	-642	-647	-616	-624	-644	-632	-616	-625
PRE-PROVISION INCOME	486	549	485	420	484	564	485	462
LOAN LOSS PROVISIONS	-143	-235	-101	-214	-217	-256	-201	-214
OTHER2	-8	-5	-15	1	-8	-42	-23	-114
PROFIT FROM CONTINUING OPER. (pre-tax)	335	309	369	208	259	267	262	133
TAXES	-108	-63	-119	-61	-83	-51	-83	-37
NET PROFIT FROM CONTINUING OPER.	227	246	251	147	176	216	179	96
SYSTEMIC CHARGES AND OTHER3	-76	-15	-68	-2	-76	-34	-68	-2
REALIG. OF FISCAL VALUES TO ACCOUNT. VALUE	0	0	0	0	0	79	0	2
NET INCOME	151	231	183	145	100	261	111	97

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

HEALTHY VOLUME GROWTH

€ bn CAGR 19-21 Chg. 20-21

Note: 1. Include all loans guaranteed by the State, Covid and non-Covid measures.

NET INTEREST INCOME GROWTH IN FY 2021

FEES & COMMISSIONS: STRONGER THAN PRE-PANDEMIC LEVEL AND +15% Y/Y

• In FY 2021, Management & Advisory fees reach €939m (49% of total fees), +19.2% Y/Y, with an important increase in the running component: +€52m Y/Y, which is above the pace of growth embedded in the Strategic Plan
• In Q4 2021, total Net fee & Commissions reach €486m (+2.2% Q/Q), driven by a growth in commercial banking fees (+4.7% Q/Q, at €260m), mainly in relation to new lending and traditional banking activities (payment & other services)

Investment product placements¹

Note: 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

details. 2. 31/12/2015, Merger Plan starting point.

STRONG REDUCTION IN COST OF RISK "CORE" LLPs CLOSE TO LONG-TERM TARGETS

STRONG RESILIENCE OF THE COVID MORATORIA PORTFOLIO

• Positions currently outstanding which have been subject to moratoria are concentrated in the best rating classes (83%)
• Moratoria completely expired as at 1st Jan. 2022²
• Low default rate of the moratoria positions expired, including instalments due in Jan. 2022, at 1.5%

1. Key Highlights ¹⁸ Notes: 1. Based on managerial data. 2. Only ~€50m related to performing ABI moratoria still outstanding.

~ €1BN OF FURTHER DERISKING IN PIPELINE IN H1 2022: ASSET QUALITY KPIs ALREADY AHEAD OF STRATEGIC PLAN 2024 TARGETS

19 2. Key Highlights Notes: 1. Of which €650m portfolio disposals already announced in the 9M 2021 results presentation.

FINANCIAL ASSETS, LIQUIDITY & FUNDING: CONSERVATIVE STRATEGY

Notes: 1. Sensitivity per 1 bps change in rates. Management data, including Swaps, Options & Forward. 2. Nominal amount. 3. Cash + Unencumbered Liquid Assets; see slide 37 for details.

ESG INTEGRATION: KEY ACHIEVEMENTS IN Q4 2021

Well on track on all 7 Workstreams of the ESG Action Plan¹

SIGNIFICANT CAPITAL GENERATION

Strengthened capital buffers, with unchanged SREP requirements for 2022

FLEXIBILITY TO INCREASE SHAREHOLDER REMUNERATION WHILE PRESERVING SOUND CAPITAL BUFFERS

The confirmation of positive macro and industry trends, coupled with a successful achievement of BBPM's Strategic Plan targets, may allow to consider a significant further increase in shareholder remuneration

2. CET ratios and MDA buffers as at YE 2024, with average Payout and Cumulative Shareholder Remuneration for the period 2021-2024. 3. Dividend and/or Buyback option to be defined.

FINAL REMARKS

DIVIDEND DISTRIBUTION ABOVE STRATEGIC PLAN TARGETS

Dividend proposal of €19 cents, with a dividend payout of 50% (vs. 40% guidance)

EXCELLENT PERFORMANCE ACHIEVED IN FY 2021…

• Strengthening core operating profitability: Revenues up at €4.5bn, C/I at 56%. PPI up at €2.0bn
• Further improvement in all key asset quality indicators: gross NPE ratio at 5.6% (EBA definition down to 4.3%); net NPE ratio at 3.0%
• Sound capital position: CET 1 ratio FL up at 13.4%, with a strengthened MDA buffer (470bps), +17bps Y/Y despite regulatory headwinds for -95bps

…CREATING ADDITIONAL ROOM FOR AN ACCELERATION IN FURTHER DERISKING...

Additional derisking to be finalised in H1 2022: pipeline raised to ~€1bn¹ , with gross adjusted NPE stock below the 2024 target

…OVERDELIVERING THE RECENT GUIDANCE FOR FY 2021…

Adjusted Net Income at €710m (€569m stated)

EPS at €38 cents (vs. Guidance of €35 cents)

FULL CONFIDENCE IN ACHIEVING THE STRATEGIC PLAN TARGETS SIGNIFICANT ROOM TO POTENTIALLY FURTHER INCREASE SHAREHOLDER REMUNERATION OVER THE PLAN HORIZON

1. Key Highlights Notes: 1. Of which €650m portfolio disposals already announced in the 9M 2021 results presentation.

24

Agenda

1.	Executive Summary	4
2.	Key Highlights	11

3. FY 2021 Performance Details 25

P&L: FY 2021 STATED AND ADJUSTED COMPARISON

Reclassified income statement (€m)	FY 20	FY21	Chg. Y/Y %	FY 20 adjusted	FY21 adjusted	Chg. Y/Y %
Net interest income	1,982.6	2,041.6	3.0%	1,982.6	2,041.6	3.0%
Income (loss) from invest. in associates carried at equity	130.8	231.9	77.3%	130.8	189.8	45.1%
Net interest, dividend and similar income	2,113.4	2,273.6	7.6%	2,113.4	2,231.4	5.6%
Net fee and commission income	1,663.8	1,911.2	14.9%	1,663.8	1,911.2	14.9%
Other net operating income	56.0	75.3	34.4%	56.0	75.3	34.4%
Net financial result	318.6	250.7	-21.3%	318.6	250.7	-21.3%
Other operating income	2,038.5	2,237.2	9.7%	2,038.5	2,237.2	9.7%
Total income	4,151.8	4,510.7	8.6%	4,151.8	4,468.6	7.6%
Personnel expenses	-1,581.1	-1,667.8	5.5%	-1,612.8	-1,682.2	4.3%
Other administrative expenses	-593.8	-601.2	1.2%	-593.8	-601.2	1.2%
Amortization and depreciation	-255.1	-246.8	-3.2%	-252.9	-244.8	-3.2%
Operating costs	-2,430.1	-2,515.8	3.5%	-2,459.5	-2,528.1	2.8%
Profit (loss) from operations	1,721.8	1,995.0	15.9%	1,692.4	1,940.5	14.7%
Net adjustments on loans to customers	-1,336.8	-887.2	-33.6%	-1,085.4	-693.2	-36.1%
Profit (loss) on FV measurement of tangible assets	-36.7	-141.6	n.m.	0.0	0.0
Net adjustments on other financial assets	-1.0	-0.3	-68.2%	-1.0	-0.3	-68.2%
Net provisions for risks and charges	-42.3	-26.0	-38.4%	-16.3	-26.0	59.8%
Profit (loss) on the disposal of equity and other invest.	1.2	-18.8	n.m	0.0	0.0
Income (loss) before tax from continuing operations	306.1	921.0	n.m.	589.7	1,221.0	n.m.
Tax on income from continuing operations	-13.5	-253.8	n.m.	-90.5	-350.4	n.m.
Income (loss) after tax from continuing operations	292.6	667.2	n.m.	499.2	870.6	74.4%
Restructuring costs	-187.0	0.0	n.m.	0.0	0.0
Systemic charges after tax	-138.9	-145.0	4.4%	-119.5	-125.7	5.2%
Realignment of fiscal values to accounting values	128.3	81.7	-36.3%	0.0	0.0
Goodwill impairment	-25.1	0.0	n.m.	0.0	0.0
Income (loss) attributable to minority interests	4.2	0.3	-93.3%	4.0	0.3	-92.8%
Purchase Price Allocation after tax	-41.5	-39.5	-4.9%	-41.5	-39.5	-4.9%
Fair value on own liabilities after Taxes	-11.7	4.4	n.m	-11.7	4.4	n.m
Net income (loss) for the period	20.9	569.1	n.m.	330.5	710.1	n.m.

ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement (€m)	FY21	FY21 adjusted	One-off	Non-recurring items
Net interest income	2,041.6	2,041.6	0.0
Income (loss) from invest. in associates carried at equity	231.9	189.8	42.1	One-off adjustment booked by a significant associate
Net interest, dividend and similar income	2,273.6	2,231.4	42.1
Net fee and commission income	1,911.2	1,911.2	0.0
Other net operating income	75.3	75.3	0.0
Net financial result	250.7	250.7	0.0
Other operating income	2,237.2	2,237.2	0.0
Total income	4,510.7	4,468.6	42.1
Personnel expenses	-1,667.8	-1,682.2	14.4	Covid-related savings
Other administrative expenses	-601.2	-601.2	0.0
Amortization and depreciation	-246.8	-244.8	-2.0	Adjustments on tangible assets
Operating costs	-2,515.8	-2,528.1	12.3
Profit (loss) from operations	1,995.0	1,940.5	54.5
Net adjustments on loans to customers	-887.2	-693.2	-194.0	Additional frontloading for the increase in the NPE disposal target
Profit (loss) on FV of tangible assets	-141.6	0.0	-141.6	Fair value assessments on properties
Net adjustments on other financial assets	-0.3	-0.3	0.0
Net provisions for risks and charges	-26.0	-26.0	0.0
Profit (loss) on the disposal of equity and other invest.	-18.8	0.0	-18.8	Fair value adjustments on Equity partecipation
Income (loss) before tax from continuing operations	921.0	1,221.0	-300.0
Tax on income from continuing operations	-253.8	-350.4	96.5
Income (loss) after tax from continuing operations	667.2	870.6	-203.4
Systemic charges after tax	-145.0	-125.7	-19.3	Additional contribution to Italian Resolution Fund
Realignment of fiscal values to accounting values	81.7	0.0	81.7	Related to realignment of fiscal values to accounting values
Goodwill impairment	0.0	0.0	0.0
Income (loss) attributable to minority interests	0.3	0.3	0.0
Purchase Price Allocation after tax	-39.5	-39.5	0.0
Fair value on own liabilities after Taxes	4.4	4.4	0.0
Net income (loss) for the period	569.1	710.1	-141.0

FY 2021 QUARTERLY P&L RESULTS: STATED

Reclassified income statement (€m)	Q1 20	Q2 20	Q3 20	Q4 20	Q1 21	Q2 21	Q3 21	Q4 21		Chg. Q/Q Chg. Q/Q %
Net interest income	474.1	479.5	519.9	509.0	496.8	522.4	516.4	506.0	-10.4	-2.0%
Income (loss) from invest. in associates carried at equity	22.3	48.0	36.8	23.7	41.5	56.5	46.8	87.1	40.3	86.1%
Net interest, dividend and similar income	496.4	527.5	556.7	532.7	538.4	578.9	563.2	593.1	29.8	5.3%
Net fee and commission income	440.6	376.4	417.7	429.2	471.4	478.7	475.3	485.8	10.5	2.2%
Other net operating income	16.7	14.9	11.7	12.7	18.2	21.7	26.3	9.1	-17.2	-65.5%
Net financial result	0.8	82.7	157.3	77.8	99.7	116.5	35.9	-1.4	-37.3	n.m
Other operating income	458.1	473.9	586.7	519.8	589.3	617.0	537.5	493.4	-44.0	-8.2%
Total income	954.4	1,001.5	1,143.3	1,052.5	1,127.7	1,195.9	1,100.7	1,086.5	-14.2	-1.3%
Personnel expenses	-419.0	-398.0	-357.0	-407.2	-426.9	-417.1	-409.8	-413.9	-4.1	1.0%
Other administrative expenses	-154.6	-154.1	-159.8	-125.3	-154.1	-153.9	-144.0	-149.1	-5.1	3.5%
Amortization and depreciation	-61.4	-61.7	-64.8	-67.2	-62.9	-60.6	-61.8	-61.6	0.2	-0.2%
Operating costs	-635.0	-613.8	-581.5	-599.8	-643.9	-631.6	-615.6	-624.7	-9.1	1.5%
Profit (loss) from operations	319.5	387.7	561.8	452.8	483.8	564.2	485.1	461.9	-23.2	-4.8%
Net adjustments on loans to customers	-213.2	-263.0	-324.3	-536.2	-217.1	-255.5	-200.6	-214.0	-13.3	6.6%
Profit (loss) on FV measurement of tangible assets	-0.3	-5.1	-0.3	-31.0	0.1	-37.0	-7.8	-96.9	-89.1	n.m.
Net adjustments on other financial assets	-4.7	-3.7	0.1	7.2	-0.4	0.9	0.2	-1.1	-1.3	n.m
Net provisions for risks and charges	2.2	-9.8	0.9	-35.6	-7.2	-5.6	-15.5	2.3	17.7	n.m
Profit (loss) on the disposal of equity and other invest.	0.1	0.1	1.3	-0.4	0.0	-0.4	0.4	-18.7	-19.1	n.m
Income (loss) before tax from continuing operations	103.5	106.2	239.5	-143.1	259.1	266.7	261.8	133.4	-128.4	-49.0%
Tax on income from continuing operations	-25.7	-13.3	-22.5	47.9	-82.7	-50.6	-83.3	-37.2	46.0	-55.3%
Income (loss) after tax from continuing operations	77.8	92.9	217.0	-95.2	176.4	216.0	178.5	96.2	-82.4	-46.1%
Restructuring costs	0.0	0.0	0.0	-187.0	0.0	0.0	0.0	0.0	0.0
Systemic charges after tax	-57.5	-18.2	-53.0	-10.2	-59.2	-19.3	-61.7	-4.8	56.9	-92.2%
Realignment of fiscal values to accounting values	0.0	0.0	0.0	128.3	0.0	79.2	0.0	2.5	2.5
Goodwill impairment	0.0	0.0	0.0	-25.1	0.0	0.0	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	0.1	0.1
Purchase Price Allocation after tax	-6.6	-12.0	-11.4	-11.5	-10.3	-9.7	-10.2	-9.3	0.9	-9.1%
Fair value on own liabilities after Taxes	137.9	-110.7	2.2	-41.1	-6.8	-5.1	4.0	12.3	8.4	n.m.
Net income (loss) for the period	151.6	-46.4	157.3	-241.7	100.1	261.2	110.7	97.1	-13.6	-12.3%

NET FINANCIAL RESULT, RESERVES & UNREALISED GAINS

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

RECLASSIFIED BALANCE SHEET AS AT 31/12/2021

				Chg. y/y		Chg. in Q4
Reclassified assets (€ m)		31/12/20 30/09/21 31/12/21		Value	%	Value	%
Cash and cash equivalents	9,411	20,133	29,153		19,743 209.8%	9,021	44.8%
Loans and advances measured at AC	119,903	120,156	121,261	1,358	1.1%	1,105	0.9%
- Loans and advances to banks	10,568	11,424	11,878	1,310	12.4%	454	4.0%
- Loans and advances to customers (*)	109,335	108,733	109,383	48	0.0%	651	0.6%
Other financial assets	41,176	42,869	36,326	-4,849	-11.8%	-6,543	-15.3%
- Assets measured at FV through PL	9,119	8,560	6,464	-2,654	-29.1%	-2,096	-24.5%
- Assets measured at FV through OCI	10,711	12,870	10,675	-36	-0.3%	-2,195	-17.1%
- Assets measured at AC	21,346	21,440	19,187	-2,159	-10.1%	-2,252	-10.5%
Equity investments	1,665	1,732	1,794	129	7.8%	62	3.6%
Property and equipment	3,552	3,384	3,278	-274	-7.7%	-105	-3.1%
Intangible assets	1,219	1,214	1,214	-5	-0.4%	-1	0.0%
Tax assets	4,704	4,613	4,540	-164	-3.5%	-73	-1.6%
Non-current assets held for sale and discont. operations	73	128	230		157 215.8%	102	79.1%
Other assets	1,983	2,552	2,692	709	35.8%	140	5.5%
Total	183,685	196,781	200,489	16,804	9.1%	3,708	1.9%
Reclassified liabilities (€ m)		31/12/20 30/09/21 31/12/21		Value	%	Value	%
Direct Funding	116,937	119,004	120,213	3,276	2.8%	1,209	1.0%
- Due from customers	102,162	105,306	107,121	4,958	4.9%	1,815	1.7%
- Debt securities and financial liabilities desig. at FV	14,774	13,697	13,092	-1,682	-11.4%	-605	-4.4%
Due to banks	33,938	44,084	45,685	11,748	34.6%	1,601	3.6%
Debts for Leasing	760	705	674	-86	-11.4%	-31	-4.4%
Other financial liabilities designated at FV	14,015	13,356	15,755	1,740	12.4%	2,399	18.0%
Liability provisions	1,415	1,244	1,197	-219	-15.4%	-47	-3.8%
Tax liabilities	465	309	303	-162	-34.8%	-6	-1.9%
Liabilities associated with assets held for sale	0	0	0	0	n.m.	0	n.m.
Other liabilities	3,928	5,099	3,566	-362	-9.2%	-1,533	-30.1%
Minority interests	2	1	1	-1	-41.5%	0	-11.5%
Shareholders' equity	12,225	12,980	13,095	870	7.1%	115	0.9%

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

2021 NEW LENDING ABOVE GUIDANCE

€22.7BN NEW LOANS IN 2021, BETTER THAN >€21BN GUIDANCE FOR 2021

• Strong yearly performance of new lending to Households: +26.2% (+25.6% in Q4)
• Good recovery of new lending to Enterprises & Corporate in Q4 (+21.0%)
• Trend of new lending to Enterprises & Corporate impacted by a lower level of Covid-19 Measures (-€3.2bn y/y)
• Well above TLTRO III net lending targets: minimum requirement exceeded for the first observation period (ended in March 2021)² and for the additional reference period ending as at 31/12/2021³

Management data

Note: 1. M/L-term Mortgages (Sec. and Unsec.), Personal Loans, Pool and Structured Finance (including revolving). 2. Valid for the application of the Deposit Facility Rate and the Special Interest Rate up until 23 June 2021. 3. Valid for the application of the Deposit Facility Rate and the Special Interest Rate from 24 June 2021 to 23 June 2022 and the application of the Deposit Facility Rate after 23 June 2022.

DIRECT FUNDING

Direct customer funding¹ (without Repos)

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 (€0.6bn on 31/12/2021 vs. 1.3bn on 30/09/2021 and €0.5bn on 31/12/2020), mainly consisting of transactions with Cassa di Compensazione e Garanzia.

INDIRECT CUSTOMER FUNDING AT €99.1BN

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

• Total Indirect Customer Funding at €99.1bn: +8.2% Y/Y and +2.6% Q/Q
• Increase in AuM to €65.3bn: +9.6% Y/Y, thanks mostly to the excellent performance of Funds and Sicav (+12.2%), due to both the price and the volume effects. Positive performance also in Bancassurance (+4.0% Y/Y) and in Managed Accounts and Fund of Funds (+4.8% Y/Y).
• AuC at €33.7bn: +5.5% Y/Y, thanks 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 the previous slide).

BOND MATURITIES: LIMITED AND MANAGEABLE AMOUNTS

Managerial data based on nominal amounts. Excluding calls.

Notes: 1. Maturities for institutional subordinated bonds are limited to the call for the €105m T1 instrument, as communicated to the market in our press release dated 23 December 2021. 2. Include also the maturities of Repos with underlying retained Covered Bonds: €0.50bn in FY 2022. 3. With low impact on T2 Capital.

FOCUS ON GOVIES PORTFOLIO

Notes: 1. Sensitivity per 1 bps change in rates. Management data, including Swaps, Options & Forward 3. FY 2021 Performance Details

35

LIABILITY PROFILE: BONDS OUTSTANDING AND ISSUES

Managerial data based on nominal amounts.

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

SOLID LIQUIDITY POSITION: LCR AT 209% & NSFR >100%¹

Total Encumbered Eligible Assets at €52.1bn at YE 2021, o/w: TLTRO III exposure at €39.2bn as at 31/12/21 (+€1.7bn in Q4 and +€11.7bn YTD)

Internal management data, net of haircuts.

Notes: 1. Monthly LCR (Dec. 2021) and Quarterly NSFR (Q4 2021). 2. Includes assets received as collateral and is net of accrued interests. 3. Refers to securities lending (uncollateralized high quality liquid assets).

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €22.7bn in 2021¹

Notes: 1. Management data. See slide 31 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.

ASSET QUALITY DETAILS – LOANS TO CUSTOMERS AT AC

GROSS EXPOSURES	31/12/2020 30/09/2021		31/12/2021	Chg. y/y		Chg. in Q4
€/m and %				Value	%	Value	%
Bad Loans	3,578	2,148	2,190	-1,388	-38.8%	43	2.0%
UTP	4,946	4,386	4,126	-820	-16.6%	-260	-5.9%
Past Due	62	63	60	-2	-3.7%	-3	-4.8%
NPE	8,586	6,596	6,376	-2,210	-25.7%	-220	-3.3%
Performing Loans	105,508	105,724	106,577	1,069	1.0%	853	0.8%
TOTAL CUSTOMER LOANS	114,095	112,320	112,953	-1,141	-1.0%	633	0.6%
NET EXPOSURES	31/12/2020	30/09/2021	31/12/2021	Chg. y/y		Chg. in Q4
€/m and %				Value	%	Value	%
Bad Loans	1,462	934	906	-556	-38.0%	-28	-3.0%
UTP	2,785	2,485	2,309	-475	-17.1%	-176	-7.1%
Past Due	46	52	45	-1	-2.3%	-8	-14.7%
NPE	4,293	3,472	3,261	-1,032	-24.0%	-211	-6.1%
Performing Loans	105,042	105,261	106,123	1,081	1.0%	862	0.8%
TOTAL CUSTOMER LOANS	109,335	108,733	109,383	48	0.0%	651	0.6%

COVERAGE	31/12/2020	30/09/2021	31/12/2021
%
Bad Loans	59.1%	56.5%	58.6%
UTP	43.7%	43.3%	44.0%
Past Due	26.4%	16.6%	25.3%
NPE	50.0%	47.4%	48.9%
Performing Loans	0.44%	0.44%	0.43%
TOTAL CUSTOMER LOANS	4.2%	3.2%	3.2%

Data refer to Loans to customers measured at Amortized Cost, including also the GACS Senior Notes.

NPE EVOLUTION IN 2021: ANOTHER SIGNIFICANT STEP IN DERISKING

REASSURING TREND OF NPE FLOWS & MIGRATION RATES

Impact from New DoD FTA

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL POSITION (€/m and %)	31/12/2020	30/09/2021	31/12/2021
CET 1 Capital	9,597	9,654	9,387
T1 Capital	10,397	10,830	10,564
Total Capital	12,304	12,782	12,524
RWA	65,606	66,374	63,931
CET 1 Ratio	14.63%	14.54%	14.68%
AT1	1.22%	1.77%	1.84%
T1 Ratio	15.85%	16.32%	16.52%
Tier 2	2.91%	2.94%	3.07%
Total Capital Ratio	18.75%	19.26%	19.59%

Leverage ratio Phased-In as at 31/12/2021: 5.92%

FULLY PHASED CAPITAL POSITION (€/m and %)	31/12/2020	30/09/2021	31/12/2021
CET 1 Capital T1 Capital Total Capital	8,736 9,431 11,338	8,815 9,908 11,860	8,559 9,652 11,613
RWA	65,868	66,167	63,729
CET 1 Ratio	13.26%	13.32%	13.43%
AT1	1.06%	1.65%	1.71%
T1 Ratio	14.32%	14.97%	15.15%
Tier 2	2.89%	2.95%	3.08%
Total Capital Ratio	17.21%	17.92%	18.22%

PHASED IN RWA COMPOSITION (€/bn)	31/12/2020	30/09/2021	31/12/2021
CREDIT & COUNTERPARTY RISK	54.9	56.0	54.1
of which: Standard	30.6	29.7	29.7
MARKET RISK	3.5	3.0	2.5
OPERATIONAL RISK	7.0	7.0	7.1
CVA	0.2	0.3	0.3
TOTAL	65.6	66.4	63.9

FULLY PHASED RWA COMPOSITION (€/bn)	31/12/2020	30/09/2021	31/12/2021
CREDIT & COUNTERPARTY RISK	55.2	55.8	53.9
of which: Standard	30.9	29.5	29.5
MARKET RISK	3.5	3.0	2.5
OPERATIONAL RISK	7.0	7.0	7.1
CVA	0.2	0.3	0.3
TOTAL	65.9	66.2	63.7

Leverage ratio Fully Loaded as at 31/12/2021: 5.44%

1. FY 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.

43

ESG ACTION PLAN: WELL ON TRACK ON ALL 7 WORKSTREAMS (1/2)

• Integrate ESG-oriented roles and responsibilities within all activities

• Incentive scheme strengthened

• Integrate climate-related and environmental topics within the risk and lending processes

• Attention to Inclusion & Diversity (I&D), with focus on female

• Integrate ESG topics into corporate policies

with ESG KPIs

empowerment

ACTIVATED WORKSTREAMS KEY ACHIEVEMENTS SO FAR

• ESG KPIs defined and integrated into the remuneration policy for Top Management
• Definition of roles and responsibilities of the ESG Ambassadors and kick-off of the initiative 50 colleagues, representing all the corporate units, selected for spreading the sustainability culture and enhancing the execution of the ESG plan
• Portfolio mapping aimed at evaluating the Environmental risk
• Identification process of climate scenarios of physical and transition risks started
• Integration of climate risk within the risk identification process and first climate risk materiality assessment
• Lending policies integrated with ESG factors
• Dedicated unit "Inclusion Diversity & Social" set up in the HR Department
• BBPM included in the Bloomberg Gender-Equality Index in Jan. 22
• Gender Programme activated and kick-off of tailormade paths of female empowerment
• Increase in the share of women in managerial positions to 23.4% at YE 2021, from 20.8% at YE 2020
• ESG training for all the employees, with a more specialized focus for those resources involved in the Workstreams of our ESG Action Plan
• Respect project: >1,800 managers trained on "Respect, Inclusion and Positive behavior"
• Start of the "Volontariamo" initiative

ESG ACTION PLAN: WELL ON TRACK ON ALL 7 WORKSTREAMS (2/2)

ACTIVATED WORKSTREAMS	KEY ACHIEVEMENTS SO FAR
• Establish a dedicated ESG commercial offering	 Green Social & Sustainable Bonds Framework: first social bond issue perfected and analysis for further issues  Increase of the Plafond for ESG investments, new green residential mortgages and new mortgages for young people (under 36), backed by public guarantees  Green bancassurance Vera product (one tree for Trentino each new bancassurance product sold)  Training for Corporate sale force on Plafond for ESG investments and >600 hours of ESG education for enterprises
Define ESG investment • policy • Strengthen consulting and offering of ESG investment products	 Integration of ESG risk in Advisory and Wealth Management  Wider ESG WM product portfolio with Third Parties and our Strategic Partners (Anima Esalogo, Anima Gender Equality, Anima Sistema Comunitam, Vera Financial Futuro Sostenibile); increase of products compliant with Art. No. 8 and 9 from ~6% at YE 2020 to >14% as at 31/12/2021 of total AuM  ESG Advisor training at the SDA Bocconi for colleagues active in Private Banking, WM and Advisory (EFPA ESG Certification obtained by a first group of 50 people)  >6,000 hours of Financial education for our stakeholders
• Further reduce direct environmental impacts	 Conclusion of the first Compensation Project (Tanzania Project)  compensating ~800 t. CO2 equivalent Reduced Scope 1&2 net emissions by > -7% in FY 2021 vs. pre-pandemic level1   Maintenance of the ISO Environmental, Energy and Occupational Health and Safety certifications
• Strengthen relationships with international organisations • Develop ESG metrics and accountability	 Banco BPM joins the UNGC and becomes a supporter of the TCFD in December 2021  BBPM included in the MIB ESG Index in Oct. 21  Monitoring and control of the internal implementation of the new regulation for non-financial disclosure >3,000 "Social Hours" dedicated to Corporate community services 
Note: 1.	45 3. FY 2021 Performance Details 2021 net emissions include also the impact of the first compensation Project

supported by BBPM (the Tanzania Project); pre-pandemic data as at 2019.

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)