H1 2020 Group Results Presentation

6 August 2020

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. 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 forward-looking 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.

H1 2020 Group Results Presentation 2

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 and Banca Italease Groups, 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.
  • In H1 2020, the Net Financial Result was strongly influenced by the impact from the change in BBPM's creditworthiness on the valuation at fair value of own liabilities issued (certificates), triggered by the Covid-19 crisis. For a better understanding of the quarterly trend of the operating profitability, in this presentation, the P&L is, therefore, also shown reclassifying the FV on own liabilities from NFR to a dedicated line item, post tax, before net income.
  • 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 reminded that, in Q2 2019, the assets and liabilities (mainly composed by customer loans for an amount of €1,352m) referred to the non-captive business of the subsidiary Profamily were classified as discontinued operations according to IFRS5 standard, but then, in Q4 2019, they have been re-classifiedline-by-line under the relevant Balance Sheet items. While the official Balance Sheet Scheme as at 30/06/2019 still maintains Profamily non-captive volumes classified as discontinued operations, in this presentation, in order to allow a proper comparison, the data of Customer Loans as at 30/06/2019 have been restated re-including Profamily non-captive volumes.
  • 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, with the conclusion expected by end-2020. Starting from Q2 2019, the loans subject to this transaction (€607m GBV and €156m NBV as at 30/06/2019) have been reclassified as discontinued operations according to the IFRS5 standard. As at 30/06/2020, the residual amount of these loans stood at €114m GBV and at €38m NBV.
  • In the area of companies consolidated with the equity method, the second quarter 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. The capital ratios included in this presentation are calculated coherently with this decision, i.e. including the entire net income as at 31/12/2019. Furthermore, the ratios as at 31/03/2020 and as at 30/06/2020 are here reported including also the net income of the quarters.

H1 2020 Group Results Presentation 3

Agenda

1.

Covid 19: Update on Banco BPM's Response

4

2.

Key H1 2020 Performance Highlights

11

3.

Performance Details:

34

-

Profitability

35

- Balance Sheet

41

-

Funding and Liquidity

42

- Customer Loans and Focus on Credit Quality

46

-

Capital Position

50

H1 2020 Group Results Presentation 4

COVID 19: BACK TO NORMAL WITH MORE DIGITAL BUSINESS

1,581 BRANCHES REGULARLY OPEN AS OF TODAY

BRANCHES

(vs. 1,155 in the peak the lockdown, o/w 364 open 2 days per week)

FULL CAPACITY TO BE ACHIEVED IN SEPT. 2020, with the opening of the remaining 147 branches

H1 2020

Y/Y

DIGITAL USERS1:

#1.3M

+15.4%

APP USERS1:

#700K

+54.5%

DIGITAL

ONLINE TRANSACTIONS1:

#16M

+25.3%

DIGITAL SALES:

#27K

+28.4%

EXECUTED ORDERS (WEB):

#1.7M

+35.1%

INV. PRODUCT

PRODUCT PLACEMENTS:

PLACEMENTS

€1.3BN IN JUNE 2020 vs. €0.7bn in May and €0.3bn in April

FEES & COMMISSIONS:

FEES & COMM.

€151M IN JUNE vs. €104m in April, €121m in May (and a monthly average of €147m in Q1 2020)

Note: 1. Households

1. Covid 19: Update on Banco BPM's Response

5

COVID 19: A THREE-STEP APPROACH TO IDENTIFY THE BEST CREDIT MANAGEMENT ACTIONS

PROACTIVE APPROACH ADOPTED: SUPPORT CUSTOMERS WITH THE RIGHT CUSTOMISED PROPOSITION,

IMPLEMENT THE GOVERNMENT SUPPORT MEASURES AND SAFEGUARD BBPM'S CREDIT PORTFOLIO

1

ANALYTICAL ASSESSMENT

AT BORROWER LEVEL

2

RISK-BASED

SEGMENTATION

Analyze Corporate/SME clients to

Input: drivers

assess:

Pre-Covid rating

• potential impact of the evolving

Capital solidity-resilience

market conditions

Sector outlook

• identify financial priorities

Share of wallet

Clients grouped into homogeneous

Output: clusters based on expected Covid impact

clusters based on the results

Low impact

assessment

Impact only in the short term

Potentially high and long-lasting impact

High impact

3

DEFINITION AND IMPLEMENTATION OF DEDICATED STRATEGIES AT BORROWER LEVEL

•

Define the strategy for each

Output: target lists

cluster, taking into account also

Target lists made available to the Relationship

the Group's share of wallet

Managers, with indications on the strategy to be

•

Implementation of Government

adopted at single customer level

support measures, coherently with the strategy

1. Covid 19: Update on Banco BPM's Response 6

COVID 19: NEW LENDING ACTIVITY

Update on Liquidity Decree Measures

New lending activity

€ bn

+13.2%

~€2.0bn as at 30/06/2020

~84%

~16%

(up at €4.0bnas at

31/07/2020)

12.4

10.9

Ordinary business

H1 2019

H1 2020

Covid-19 Measures

Lending measures assisted by public guarantees as at 31/07/20

  • bn

10.2

11.5

€4.9bn

In progress

€2.6bn

Already provided

1.3

7.3

7.5

0.2

1.1

2.9

4.0

Total

"Micro" (<=€30K)

"Other" (>€30K)

Approved

100% guaranteed

70%-90% guaranteed

(Avg. level of

guarantees

Under approval

(include also renegotiations)

at 86%)

Strong speed-up in new

lending since June 2020

1. Covid 19: Update on Banco BPM's Response 7

COVID 19: UPDATE ON MORATORIA MEASURES

Suspended installments

€ bn

2.3

ABI Moratoria

0.4

Cure Italy Decree

1.9 Moratoria

31/07/2020

STRATEGY FOR IDENTIFIED CLUSTERS

Moratoria to 'Low-Medium' risk categories:

Higher flexibility for managing short-term liquidity

Moratoria to 'Mid-High'and 'High' risk categories: Opportunity to define the most appropriate strategy for the customer and for safeguarding BBPM's credit portfolio

Total underlying loan exposure as at 31/07/20

€ bn

16.1

Slight increase vs.

3.2

ABI Moratoria

€15.9bn as at 30/06/201

12.9

Cure Italy Decree

Moratoria

GBV

Distribution by rating classes

76%

14%

10%

Low-Medium

Mid-High risk

High risk

risk

o/w: Exposure to selected

€0.5bn

€0.3bn

sectors2 with "High-potential

impact" from Covid 19

Note: 1. Of which €12.9bn already perfected at the end of June 2. Selected sectors: Transport & Storage services; Accomodation, Restaurants & Travel Agencies; Textile fibers & Leather; Automotive trade; Means of Transport.

1. Covid 19: Update on Banco BPM's Response 8

PERFORMING LOANS: FOCUS ON SENSITIVITY TO COVID 19

Customer loan (GBV) breakdown as at 30/06/201

Other (Public Sector,

No-Profit, etc.)

4.7%

Households

26.5%

€101.8bn

Financials

Non-Financial

Corporates

12.9%

55.9%

Performing portfolio: EAD by risk categories2

31/03/2020

30/06/2020

28.7% 26.3%

35.8% 35.6%

23.3% 24.2%

7.8%

8.5%

4.4%

5.4%

Low

Medium-Low Medium Medium-High

High

Limited exposure to selected sectors3 with "High-potential Impact" from Covid 19

Secured

o/w:

o/w:

o/w:

with Real

Acquisition of

Unsecured but

TOTAL

and/or State

State guar.

with acquisition

guar. as at

already

of State guar.

30/06/20

approved to

in progress

be perfected

Exposure

€8bn

€3bn

€2bn

€3bn

% on Perf. Loans

8%

3%

2%

3%

o/w: with High

€0.4bn

€0.2bn

€0.1bn

€0.1bn

Risk ratings

o/w: with Mid-

€1.0bn

€0.4bn

€0.2bn

€0.4bn

High Risk ratings

From 87.8% as at March to 86.1% as at June

Internal management data.

Note: 1. GBV of on balance-sheet performing exposures, excluding the GACS Senior Notes. Financials include REPOs with CC&G. 2.

Includes all performing customer loans subject to the internal rating process (AIRB). Based on 11 rating classes for rated performing

loans. 3. Selected sectors: Transport & Storage services; Accomodation, Restaurants & Travel Agencies; Textile Fibers & Leather;

Automotive trade; Means of Transport.

1. Covid 19: Update on Banco BPM's Response

9

PERFORMING LOANS: NEW ECL ASSESSMENT DRIVEN BY A MORE SEVERE SCENARIO

Macro

Scenario

Methodological

approach

Government

measures

Q1 2020: Macro-scenario

5.6%

4.5%

3.4%

0.15%

-6.0%

-8.0%

-10.0%

2020

2021

Long Term

Covid 1

Covid 2

Covid 3

Q1 2020

  • Projection based on the average between short-term "Covid" scenario (average IT GDP decline in 2020 = 8%) and long-term "normal" scenario (IT GDP growth = 0.15%)
  • GDP decline impacting credit portfolio on aggregated basis (satellite models)
  • Included in the elaboration based on preliminary information available in the initial phase of the lockdown

Q2 2020: Macro-scenario

6.1%

2.7%

4.8%

2.6%

1.2%

3.5%

2.5%

1.0%

1.0%

Covid impact

on ECL

-8.2%

in H1 2020:

-9.2%

~ €140m

-13.1%

2020

2021

2022

2023

Worst

Base

Best

Q2 2020

  • Multiscenario approach using official ECB estimates
  • GDP decline disaggregated at sector level: projections on credit portfolio take into account sector-specific expectations
  • Updated elaboration based on current outstanding volumes and pipeline of transactions expected to benefit from public guarantees
    1. Covid 19: Update on Banco BPM's Response 10

Agenda

1.

Covid 19: Update on Banco BPM's Response

4

2.

Key H1 2020 Performance Highlights

11

3.

Performance Details:

34

-

Profitability

35

-

Balance Sheet

41

-

Funding and Liquidity

42

- Customer Loans and Focus on Credit Quality

46

-

Capital Position

50

H1 2020 Group Results Presentation 11

H1 2020 NET INCOME: €105.2M STATED AND €128.4M ADJ.1

Resilient performance in the adverse environment: quarterly growth in pre-provision profit (excl. FV2)

€ m

Q1 2020

Q2 2020

NII

474.1

479.5

FEES & COMMISSIONS

440.6

376.4

NET FINANCIAL RESULT

206.8

-82.7

o/w: FV on Own Liabilit ies

206.0

-165.4

TOTAL INCOME

1,160.5

836.1

OPERATING COSTS

-635.0

-613.8

PROFIT FROM OPERATIONS

525.5

222.3

LLPs

-213.2

-263.0

PRE-TAX PROFIT

309.6

-59.2

TAX

-93.8

41.4

SYSTEMIC CHARGES (net of taxes)

-57.5

-18.2

NET INCOME BEFORE PPA

158.2

-34.4

PPA AFTER TAX

-6.6

-12.0

NET INCOME

151.6

-46.4

Based on a re-

exposition of

'FV on own

liabilities' (pre-tax)

into a separate line

item (post tax)

H1 20 Net Income

€105.2m

NEW RECLASSIFIED SCHEME

Q1 2020

Q2 2020

NII

474.1

479.5

FEES & COMMISSIONS

440.6

376.4

NFR (excl. FV on Own Liabilities)

0.8

82.7

TOTAL INCOME

954.4

1,001.5

OPERATING COSTS

-635.0

-613.8

PROFIT FROM OPERATIONS

319.5

387.7

LLPs

-213.2

-263.0

PRE-TAX PROFIT

103.5

106.2

TAX

-25.7

-13.3

SYSTEMIC CHARGES (net of taxes)

-57.5

-18.2

NET INCOME BEFORE PPA & FV

20.3

76.3

PPA AFTER TAX

-6.6

-12.0

FV ON OWN LIABILITIES AFTER TAX

137.9

-110.7

NET INCOME

151.6

-46.4

In H1 2020, NFR was strongly influenced by the effect from the change in BBPM's creditworthiness on the valuation at fair value of own liabilities issued (certificates), triggered by the Covid19 crisis, with no impact on the CET1 calculation.

Note: 1. See slide 39 for details of adjustment elements (mainly

Systemic Charges). 2. Exclude from NFR the FV on own liabilities, 2. Key H1 2020 Performance Highlights 12 which does not impact the capital position.

SOLID H1 2020 PERFORMANCE IN "COVID-19 CONTEXT" (1/3)

OPERATING

PERFORMANCE

(excl. from Revenues the

FV on Own Liabilities)

RESERVES &

UNREALISED GAINS

Q1 2020

Q2 2020

Strong recovery of

Core Revenues in June

(NII + Net Commissions)

TOT. REVENUES

€954m

€1,001m

315

259

282

OPERATING COSTS

-€635m

-€614m

April 20 May 20 June 20

PRE-PROVISION INCOME

€319m

€388m

31/03/20

30/06/20

DELTA Q/Q

Corresponding to

RESERVES OF DEBT

-€198m

€32m

+€230m

+40bps on CET 1 ratio

SECURITIES AT FVOCI

in Q2 20

>€110m at the

end of July 2020

Excellent performance

UNREALISED GAINS ON

of debt securities

€300m

€545m

+€245m

DEBT SECURITIES AT AC1

portfolio

>€660m at the end of July 2020

Notes: 1. Unrealised Gains on Debt Securities at AC are not included

2. Key H1 2020 Performance Highlights

13

in the 'Comprehensive Profitability', nor in the Capital position.

SOLID H1 2020 PERFORMANCE IN "COVID-19 CONTEXT" (2/3)

30/06/20

DELTA Y/Y

DELTA Q/Q

+1.1%

CORE NET PERF. LOANS

€95.0bn

+4.1%

CUSTOMER VOLUMES

+3.2%

C.A. & DEPOSITS

€93.1bn

+8.7%

+7.0%

AUM

€57.8bn

+2.1%

31/12/19

31/03/20

30/06/20

GROSS NPE RATIO

9.1%

8.8%

8.7%

ASSET QUALITY

NET NPE RATIO

5.2%

5.0%

5.0%

TEXAS RATIO2

52.3%

50.1%

49.3%

Volume growth confirmed also in July vs. June1:

    • Loans +1%
  • Core Funding +2%

Note: 1. Internal Management data of the Commercial Network as at 31/07/20. 2. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets).

2. Key H1 2020 Performance Highlights

14

SOLID H1 2020 PERFORMANCE IN "COVID-19 CONTEXT" (3/3)

Benefiting also from

TLTRO III take-up

LIQUIDITY & FUNDING

LCR

NSFR

UNENCUMBERED

ELIGIBLE SECURITIES

193%

>100%

€24.2bn

Including additional sources of available liquidity, total liquid assets stand at €37.3bn

CAPITAL RATIOS

CAPITAL BUFFERS

CET1 RATIO

TC RATIO

PHASED-IN

14.7%

17.9%

FULLY LOADED

13.3%

16.3%

ON CET 1 RATIO

ON TC RATIO

(vs. Min. requirement)

(MDA buffer)

PHASED-IN

+633bps

+506bps

FULLY LOADED

+479bps

+335bps

Further capital strengthening in Q2:

  • FL CET1 ratio: +42bps
  • FL TCR ratio: +27bps
  • FL MDA Buffer increases by 27bps in Q2
  • FL MDA Buffer well above strategic target of min. 250 bps

2. Key H1 2020 Performance Highlights 15

NET INTEREST INCOME: HIGHLIGHTS

Net Interest Income

NII: Evolution Breakdown

€ m

€ m

474.1

479.5

154.4

160.4

164.7

474.1

+0.6

+0.9

+3.9

479.5

Apr -20May-20Jun-20

Q1 20

Q2 20

Q1 20

Comm.

NPE

TLTRO

Q2 20

NPE: 29.1m

29.9m

banking

contribution

Commercial spreads

1.90

1.87

1.85

1.85

1.87

1.81

1.47

1.43

1.34

1.33

1.36

1.40

-0.43

-0.44

-0.51

-0.52

-0.51

-0.41

Q1 19

Q2 19

Q3 19

Q4 19

Q1 20

Q2 20

Asset spread

Customer spread

Liability spread

EURIBOR 3M

-0.31

-0.32

-0.39

-0.41

-0.41

-0.30

QUAR. AVG.

Key asset spread drivers:

  • Segment mix: volume growth mostly concentrated in Corporate Segment, in particular in MLT lending
  • Rating mix: higher volumes addressed towards lowest-risk borrowers to preserve the overall quality of the loan portfolio

2. Key H1 2020 Performance Highlights 16

VOLUMES AT A GLANCE

Solid commercial performance in a challenging environment

€ bn

30/06/19 31/12/19 31/03/20 30/06/20 % chg.Y/Y % chg. YTD % chg. Q/Q

Net Performing Customer Loans

100.3

100.3

102.6

103.0

2.7%

2.7%

0.4%

o/w: Core Performing Customer Loans1

91.2

91.1

94.0

95.0

4.1%

4.3%

1.1%

- Medium/Long - Term Loans

61.2

62.5

64.4

67.1

9.6%

7.3%

4.3%

- Current Accounts

10.7

10.5

10.4

9.4

-11.5%

-10.0%

-9.5%

- Other Loans

19.4

18.1

19.2

18.5

-4.6%

2.0%

-3.6%

Direct Funding2

105.2

108.9

111.5

114.4

8.8%

5.1%

2.7%

C/A & Deposits (Sight + Time)

85.6

87.8

90.2

93.1

8.7%

6.0%

3.2%

Bonds

14.4

16.1

16.6

16.4

14.1%

2.2%

-1.0%

Certificates

3.3

3.2

3.0

3.1

-4.2%

-3.4%

3.7%

Other

2.0

1.8

1.7

1.8

-5.5%

2.3%

8.3%

Indirect Funding3

89.4

89.7

82.2

88.4

-1.1%

-1.5%

7.5%

o/w: AUM

56.7

58.3

54.1

57.8

2.1%

-0.8%

7.0%

- Funds & Sicav

37.7

39.0

35.0

38.8

2.9%

-0.7%

10.9%

- Bancassurance

14.8

15.4

15.3

15.1

1.4%

-2.1%

-1.5%

- Managed Accounts & Funds of Funds

4.1

3.9

3.8

4.0

-3.1%

2.6%

4.6%

Resilient trend in loans of the

Commercial Network confirmed also in July:

+€1bn vs. June4

Strong support from Core Funding of the Commercial Network confirmed also in July: +€2bn vs. June4

Strong recovery in AUM in Q2, due both to volumes (+€1.4bn) and market effect (+2.3bn)

Notes: 1. Exclude GACS senior notes, REPOs and Leasing. 2. Restated excluding REPOs and including Capital-Protected Certificates. 3. Restated excluding Capital-Protected Certificates from AUC. 4. Internal Management data of the Commercial Network as at 31/07/20.

Customer Loans as at 30/06/19 are adjusted for the reclassification of

the Profamily non-Captive loan portfolio (see Methodological Notes).

2. Key H1 2020 Performance Highlights

17

SOUND LENDING PERFORMANCE OF THE NETWORK

€12.4bn New Loans in H1 2020

(Management data of the commercial network1)

€ bn

+13.2%

10.9

12.4

Enterprise &

9.0

11.1

+22.3%

Corporate

Households

1.9

1.3

-30.2%

H1 2019

H1 2020

2020 Quarterly trend

2020 Monthly trend

+27.3%

Enterprise & Corporate

Households

5.5

6.9

2.6

2.9

1.5

2.1

1.5

2.0

+26.7%

1.3

4.9

6.2

0.3

0.3

0.4

+32.2%

0.2

0.2

0.1

0.2

0.6

0.8

Jan. Feb. Mar. Apr. May. Jun. Jul.

Q1 2020

Q2 2020

20

20

20

20

20

20

20

  • Customer loan growth in H1 2020 supported by the strong performance in new M/L-Term lending to Enterprises and Corporate
  • New State-guaranteed lending facilities represent ~29% of new lending in Q2 (~€2bn as at 30/06/20, up at €4bn as at end-July)
  • State-guaranteednew lending (with an average spread at ~1.6%) implies:
    • Increase of the share of lending assisted by guarantees ~60% of total new lending in July (~70% of new lending to
      Enterprises and Corporates)
    • Non-State-guaranteednew lending (ordinary business) more concentrated on the best risk categories

Notes: 1. Include M/L-term Mortgages (Secured and Unsecured), Personal Loans, Pool, ST/MLT Structured Finance. Exclude Agos and Profamily volumes sold by the network, but not consolidated by the Group. Exclude ST lending other than Structured Finance.

2. Key H1 2020 Performance Highlights

18

STRONG AND WELL DIVERSIFIED BOND FUNDING

Bond funding as at 30/06/2020

Nominal

16.0%

Cap.-Protected

amounts

Covered

Certificates

Bonds1

€20.3bn

29.9% Senior

31.8%

Preferred

€3.7bn, o/w: ~€1.7bn

not included in Own

18.5%

3.7% Senior

Funds Phased-in, but

Non-preferred

representing MREL-

Subordinated

eligible funding

(T1, AT1 and T2)

  • Total bonds outstanding at €20.3bn
  • Very manageable amount of wholesale bond maturities in H2 2020 (€2.4bn), considering €1.15bn already issued in H1 2020 (Jan. and Feb.) and the strong liquidity position (with unencumbered eligible assets at €24.2bn, highly exceeding total bonds outstanding)
  • New Senior Non-Preferred successfully issued in February 2020, for a total of €750m, with a spread of 193bps

H1 2020: €1.15bn already issued, 48% of wholesale bond maturities of the year

€ bn

Wholesale bond issues

2.40

1.75

1.15

0.50

0.75

0.40

FY 17

FY 18 FY 19 H1 20

Jan-20

Feb-20

AT1 Senior Non Pref.

Managerial data based on nominal amounts.

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

Wholesale bond maturities

2.4

0.7No maturities

registered in H1

1.7

H2 2020

Subordinated Senior Pref.

2. Key H1 2020 Performance Highlights 19

SOLID LIQUIDITY POSITION: LCR AT 193% & NSFR >100%1

Eligible Securities2

Up at >€28bn

€ bn

54.0

54.5

63.4

as at 31 July 2020

TOTAL LIQUID ASSETS AT €37.3BN, o/w:

Unencumb. Eligible

19.9

22.6

24.2

€24.2bn Unencumbered Eligible Securities

securities

Encumbered with

13.3

18.1

13.2

€8.5bn of Excess ECB deposits (~€5bn average in H1 2020)

Repos & other

26.0

€2.0bn HQLA lent3

Encumbered with

20.8

13.8

€2.6bn Marketable securities (unencumb. non-eligible)

ECB

31/12/19

31/03/20

30/06/20

ECB exposure: breakdown as at 30/06/2020

TLTRO II completely

TLTRO III

reimbursed in June 2020

25.5

Other

(€10.4bn)

€26.0bn

TLTRO III drawn:

0.5

- €1.5bn in Dec. 2019

3-month refinancing

- €2.0bn in March 2020

operations in USD,

- €22.0bn in June 2020

reimbursed on

2 July 2020

  • Sizeable funding contribution also from long-term bilateral refinancing operations at €3.4bn euro (net of haircuts), with an average maturity of 1.7 years
  • Still large potential room for TLTRO III, with maximum take-up of €35.7bn (+€10.2bn vs. current exposure)

Internal management data, net of haircuts.

Notes: 1. Monthly LCR (June 2020) and Quarterly NSFR (Q2 2020). 2. Includes assets received as collateral. 3. Refers to securities lending (uncollateralized high quality liquid assets).

2. Key H1 2020 Performance Highlights 20

NET FEES AND COMMISSIONS

Y/Y trend

Q/Q trend

Monthly trend restored

€ m

-8.0%

€ m

€ m

-14.6%

888.2

816.9

440.6

424.8

376.4

150.8

389.9

121.5

104.1

220.2

169.8

75.7

55.3

38.8

463.4

427.0

220.4

206.6

65.3

66.2

75.1

April -20

May-20

June-20

H1 19

H1 20

Q1 20

Q2 20

Commercial Banking Fees

Management & Advisory

  • Net fees and commissions come in at €376.4m in Q2 (-14.6% Q/Q), with April and May strongly hit by the Covid-19 crisis
  • Monthly Net fees and commissions are building up again during Q2, with June back at a solid performance level of €150.8m

Investment product placements: monthly trend1

€ bn

Lockdown

impact

1.2

1.5

1.3

0.9 0.3 0.7

Jan-20Feb-20Mar-20Apr-20May-20Jun-20

2. Key H1 2020 Performance Highlights 21

FINANCIAL PORTFOLIO: NET FINANCIAL RESULT AND RESERVES/UNREALISED GAINS

Net Financial Result

€ m

206.8

NFR excl. FV on

Own Liabilities

82.7

-82.7

0.8

Q1 20

Q2 20

Q1 20

Q2 20

  • Stated NFR at -€82.7min Q2 (against €206.8m in Q1) is strongly impacted by valuation effects on own liabilities
  • The change in FVO included in the stated NFR (-€165.4m in Q2 vs. +€206.0m in Q1) has no impact on capital
  • Excluding the FVO effect, NFR reached a positive result of €82.7m in Q2

Reserves of Debt Securities at FVOCI

Unrealised gains on Debt Securities at AC1

Pre-tax, in € m

>€110m as at

36

71

31/07/20202

32

Not included in the P&L

-198

results, but included in

the Capital Position

30/06/19

31/12/19

31/03/20

30/06/20

Pre-tax, in € m

520545

318300

30/06/19 31/12/19 31/03/20 30/06/20

>€660m as at

31/07/20202

Included neither in

the P&L results, nor in the Capital Position

Notes: 1. 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. 2 Internal management estimates.

2. Key H1 2020 Performance Highlights 22

DEBT SECURITIES: INCREASING THE WEIGHT OF THE AC PORTFOLIO

Evolution & Composition of Debt Securities

€ bn

34.2

34.5

31.2

34.5

38.3

31.6

32.9

Debt securities

30.2

o/w: €2.9m

o/w: Italian

26.7

at FVTPL

20.7

17.7

20.0

19.4

15.5

18.2

21.7

Govies

31/12/16 31/12/17 31/12/18 31/03/19 30/06/19 31/12/19 31/03/20 30/06/20

Share of Italian Govies on Debt securities

84%

69%

54%

59%

53%

Mainly

56%

50%

57%

concentrated

in AC portfolio

(see next slide)

30/06/201930/06/2020

Classification

of Debt

Securities

FVOCI

FVOCI

38.5%

33.2%

AC

€13.3bn

AC

€34.5bn

€12.7bn

€38.3bn

56.7%

51.9%

€17.9bn

€21.7bn

FVTPL

€3.3bn

FVTPL

€3.9bn

9.6%

10.1%

2. Key H1 2020 Performance Highlights 23

FOCUS ON GOVIES PORTFOLIO

Italian Govies at AC

Italian Govies at FVOCI

63% maturing by next year

Italian Govies at FVTPL

€ bn

+€2.9bn in Q2

11.0

10.0

10.9

13.8

30/06/19 31/12/19 31/03/20 30/06/20

Duration in years1

3.9

3.3

  • bn

6.2

4.6

5.0

5.0

30/06/19 31/12/19 31/03/20 30/06/20

Duration in years1

2.3

1.6

  • bn

+0.6bn in Q2

2.2

2.3

2.9

0.9

30/06/19 31/12/19 31/03/20 30/06/20

Non-ITGovies at AC

Non-ITGovies at FVOCI

€ bn

-€0.3bn in Q2

€ bn

5.4

5.7

6.5

6.2

4.5

4.4

4.8

4.8

30/06/19 31/12/19 31/03/20 30/06/20

30/06/19 31/12/19 31/03/20 30/06/20

Duration in years1

2.4

2.4

Duration in years1

4.3

3.1

Non-ITGovies at FVTPL

  • bn

+€0.2bn in Q2

0.6

0.7

0.4

0.2

30/06/19 31/12/19 31/03/20 30/06/20

Notes: 1. Management data, including hedging strategies.

2. Key H1 2020 Performance Highlights

24

OPERATING COSTS: QUARTERLY COMPARISON

Total Operating Costs

Quarterly average costs in 2017-20201

€ m

€ m

-3.3%

735.1

676.6

649.9

623.3

635.0

613.8

FY 17

FY 18

FY 19

H1 20

Q1 20

Q2 20

Avg. Q

Avg. Q

Avg. Q

Avg. Q

o/w: Staff costs

o/w: Other admin. costs

o/w: D&A

€ m

-5.0%

€ m

c.+€5m

€ m

-0.3%

Covid 19-

+0.5%

419.0

397.9

related

61.7

154.6

154.1

61.4

Q1 20

Q2 20

Q1 20

Q2 20

Q1 20

Q2 20

Note: 1. Net of non recurring items and, for 2017 and 2018, net also of PPA to ensure a homogeneous comparison.

2. Key H1 2020 Performance Highlights 25

STRONG IMPROVEMENT ACROSS ASSET QUALITY METRICS

Reduction in NPE stock and ratios, with strong coverage confirmed

NPE Stock (GBV)

NPE Stock (NBV)

€ bn 10.7

10.1

9.9

9.8

-8.0% Y/Y

€ bn

6.2

5.5

5.4

5.4

-12.8% Y/Y

0.11

0.10

0.11

0.15

-0.4% in Q2

-0.6% in Q2

0.09

0.07

0.08

0.11

7.3

6.4

6.3

6.2

4.7

3.9

3.8

3.7

3.3

3.6

3.5

3.5

1.4

1.6

1.6

1.5

30/06/19

31/12/19

31/03/20

30/06/20

30/06/19

31/12/19

31/03/20

30/06/20

Bad Loans

UTP

PD

Bad Loans

UTP

PD

9.6%

9.1%

8.8%

8.7%

31/12/19

31/03/20

30/06/20

63.0%

incl.

TOTAL NPE

5.8%

5.2%

5.0%

5.0%

BAD LOAN COVERAGE

56.2%

55.3%

56.1%

write-offs

RATIOS

UTP COVERAGE

39.1%

39.6%

39.3%

30/06/19

31/12/19

31/03/20

30/06/20

PD COVERAGE

25.9%

23.7%

25.6%

3.0%

3.2%

3.1%

3.1%

1.5%

1.5%

48.6%

BAD LOAN

1.3%

1.4%

TOTAL NPE COVERAGE

45.0%

45.0%

45.1%

incl.

RATIOS

30/06/19

31/12/19

31/03/20

30/06/20

% of Secured NPE

61%

60%

60%

write-offs

on Total NPE (GBV)

Gross

Net

Note: Data as at 30/06/19 are adjusted for the reclassification of the

2. Key H1 2020 Performance Highlights

26

Profamily non-Captive loan portfolio (see Methodological Notes).

FLOWS & MIGRATION RATES

MIGRATION RATES

31/12/19

30/06/20

(annualised)

DEFAULT RATE

1.2%

1.1%

(from Performing Loans1 to NPEs)

NPE DANGER RATE

11.1%

8.1%

(from UTP to Bad Loans)

CURE RATE

5.1%

3.7%

(from UTP to Performing Loans1)

  • H1 2020 shows a slight improvement in the Default rate as well as a better Danger rate vs. FY 2019
  • The challenging macroeconomic scenario in Q2 2020 impacted mainly the outflows to performing loans

Inflows to NPEs

Outflows to Perf. Loans

€ m

€ m

650

569

261

308

201

125

81

43

H1 19

H1 20

Q1 20

Q2 20

H1 19

H1 20

Q1 20

Q2 20

Note: 1. Total Performing loans to customers, including also the Senior

Notes of the two GACS transactions (Exodus and ACE).

Flows from UTP to Bad Loans

  • m

505

261

178

83

H1 19

H1 20

Q1 20 Q2 20

2. Key H1 2020 Performance Highlights 27

COST OF RISK

LLPs: quarterly evolution

  • m

213.2

263.0

Covid 19-

208.4

220.5

related top-up

197.7

152.0

70

70

in generic

provisions1

143.2

193.0

Q1 19

Q2 19

Q3 19

Q4 19

Q1 20

Q2 20

  • LLPs at €476.2m in H1 2020 include €140m of a Covid-19-related top- up in generic provisions
  • Annualised CoR at 88 bps, with a physiological level of 62 bps

Cost of Risk2

Annualised, in bps (EoP)

Stated CoR

66

73

88

Physiological CoR

62

H1 2019

FY 2019

H1 2020

Note: 1. Impact of the macroeconomic crisis (Covid-19) on the ECL Assessment of Performing Loans. 2. CoR calculated including also loans classified at IFRS 5, for coherence with related LLPs.

2020 quarterly analysis

7997

53

71

Q1 2020

Q2 2020

2. Key H1 2020 Performance Highlights 28

STRONG BRANCH PRESENCE IN REGIONS WITH LOWER NPE RATIO

Geographic data

Gross NPE ratio

Regional branch market shares

Peer 1

Peer 2

Peer 3

# Regions

6

7

>13%

16.8%

8.9%

11.0%

1.5%

4.2%

11-13%

6.3%

13.9%

14.4%

9-11%

3.8%

7.2%

12.6%

3

4

11.7%

<9%

7.4%

10.4%

15.2%

10.2%

Avg. Italy

14.7%

11.1%

6.7%

7.5%

Supportive in safeguarding the Group's asset quality profile

Note: Italian regions have been divided into clusters according to ranges of NPE ratios, with a calculation based on loans to the private sector (excluding the public sector)

Source: Bankit as at 31/12/2019

2. Key H1 2020 Performance Highlights 29

COST OF RISK: HISTORICAL TREND ANALYSIS

Cost of Risk: evolution of key components

Flow-driven LLPs / Inflows (€ m)

€ m

1,941

1,400

1,661

2

1,200

285

Flow-driven

293

Disposals

Flow-

1,000

244

714

800

driven

FY18

Performing/

600

779

LLPs

FY19

400

Covid impact

215 24

476

200

H120

FY17

1,197

941

Stock-driven

-

(Annualised)

140

570

123

1,100 1,200 1,300 1,400 1,500 1,600

(73)

(31)

213

Flows to NPE

2017

2018

2019

30/06/2020

CoR

154

184

73

88

Stock-driven LLPs / BoP Stock (€ m)

(bps)

1,400

FY17

Stock of gross NPEs: evolution1

1,200

Stock-1,000

€ bn

FY19

driven

800

FY18

600

LLPs

30.0

25.4

400

H1 20

11.8

10.1

200

(Annualised)

01/01/2017

01/01/2018

01/01/2019

01/01/2020

-

5,000

15,000

25,000

35,000

Note: 1. Data at the beginning of the period, with NPE stock

Stock BoP

2. Key H1 2020 Performance Highlights

30

levels as driver of the Cost of Risk sustained during the period.

STRONG CAPITAL RATIOS & BUFFERS

CET 1 ratios further strengthened: Well positioned to face the tough scenario

Fully Loaded Capital Ratios: evolution

Phase-In Ratios

%

TOTAL

15.6%

16.1%

16.3%

17.9%

TIER 1

13.3%

14.0%

14.4%

16.0%

12.8

12.9

-9bps

+40bps

+33bps

-26bps

+3bps

13.3%

14.7

CET 1

31/12/2019

31/03/2020

Anima

FVOCI

SME

RWA and

Q2 Perf.

30/06/2020

30/06/2020

(increase in

Reserves

supporting

Shortfall

& AT1

Phased-in

stake from

factor

Dynamics

15.0% to 19.4%)

Capital buffers1

Strong FL Capital buffers: 479bps on CET 1 ratio and 335bps on TCR (MDA buffer)

Phased-in

Fully

Loaded

ON CET1 RATIO

(Min. requirement)

+633bps

+479bps

ON TC RATIO

(MDA Buffers)

+506bps

+335bps

Capital ratios in Q2 benefitted from the evolution in FVOCI reserves(+40 bps) and

from the SME supporting factor(+33bps)

Q2 saw -26bps mostly from a PD-driven increase in RWA, with only a marginal

benefit from State guarantees perfected as of June (higher benefit to be

registered in H2), partially offset by a reduction in the Shortfall on performing loans

The combined effect of regulatory headwinds and tailwinds is expected to come

in at about -35bps in H2 2020

Note: 1. Calculated with the application of the CRD V rules.

2. Key H1 2020 Performance Highlights 31

FINAL REMARKS

Covid-19 emergency: evolution update

  • Reassuring level of recovery in June 2020, as a return to full commercial capacity is well under way, flanked by a strengthened use of digital and omnichannel-based banking
  • Strong and ongoing support provided to our customer base on the back of the various measures and guarantee schemes mitigating the impact of the adverse environment

H1 2020 performance

  • Stated Net income at €105.2m (Adjusted at €128.4m), with pre-provision profit (excluding the FV on own liabilities) at €707.2m (€387.7m in Q2 and €319.5m in Q1), with a gradual but consistent recovery in commission income during Q2 2020 and with tight ongoing cost containment
  • Prudent provisioning policy, with the inclusion of a €140m top-up in generic loan loss provisions, in the light of the impact expected from the worsening scenario: annualised total CoR at 88bps
  • No deterioration in asset quality, with Net NPE and Net Bad Loan ratios at 5.0% and 1.4% (vs. 5.2% and 1.5% at year- end 2019), respectively, on the back of supportive migration dynamics (default rate at 1.1%)
  • Robust capital position: CET 1 ratio Phased-in at 14.7% and 13.3% Fully Loaded
  • Optimized capital structure, with strong MDA Bufferson total capital: +506bps Phased-In and +335bps Fully Loaded
  • Solid liquidity position confirmed: LCR 193% & NSFR >100%

2. Key H1 2020 Performance Highlights 32

OUTLOOK 2020

NII CONFIRMED AT A STRONG LEVEL, thanks to a solid trend in commercial volumes and

TOP LINE

favourable funding conditions (incl. TLTRO III). The full benefit of TLTRO III is expected in H2

PERFORMANCE

FEES ON TRACK TOWARDS FULL POTENTIAL, based on GDP recovery expected in H2 2020

COST

MANAGEMENT

STRICT COST CONTROL allowing to achieve further efficiency improvements in H2 20

COST

CONFIRMED OUTLOOK OF ~90/100 BPS

OF RISK

CAPITAL SOLID MDA BUFFER, well above strategic target of min. 250 bps

2. Key H1 2020 Performance Highlights 33

Agenda

1.

Covid-19: Update on Banco BPM's Response

4

2.

Key H1 2020 Performance Highlights

11

3.

Performance Details:

34

-

Profitability

35

-

Balance Sheet

41

-

Funding and Liquidity

42

- Customer Loans and Focus on Credit Quality

46

-

Capital Position

50

H1 2020 Group Results Presentation 34

RECLASSIFIED P&L: QUARTERLY EVOLUTION

Reclassified income statement

Q1 2019

Q2 2019

Q3 2019

Q4 2019

Q1 2020

Q2 2020

Chg. Y/Y

Chg. Y/Y

Chg. Q/Q

Chg. Q/Q

(in euro million)

%

%

Net interest income

499,2

512,1

495,8

474,0

474,1

479,5

-32,6

-6,4%

5,4

1,1%

Income (loss) from investments in associates

36,8

32,6

28,0

33,9

22,3

48,0

15,4

47,2%

25,8

115,7%

carried at equity

Net interest, dividend and similar income

535,9

544,7

523,8

507,9

496,4

527,5

-17,2

-3,2%

31,2

6,3%

Net fee and commission income

434,5

453,7

444,1

462,2

440,6

376,4

-77,3

-17,0%

-64,2

-14,6%

Other net operating income

24,2

17,9

17,8

16,1

16,7

14,9

-3,1

-17,1%

-1,9

-11,3%

Net financial result

72,3

10,7

41,7

207,4

206,8

-82,7

-93,4

n.m.

-289,5

n.m.

Other operating income

531,0

482,3

503,5

685,7

664,1

308,5

-173,8

-36,0%

-355,6

-53,5%

Total income

1.067,0

1.027,0

1.027,3

1.193,5

1.160,5

836,1

-191,0

-18,6%

-324,4

-28,0%

Personnel expenses

-425,9

-418,0

-415,6

-437,1

-419,0

-398,0

20,0

-4,8%

21,1

-5,0%

Other administrative expenses

-167,0

-163,1

-158,6

-149,8

-154,6

-154,1

9,0

-5,5%

0,5

-0,3%

Amortization and depreciation

-63,3

-67,7

-68,6

-69,3

-61,4

-61,7

6,0

-8,9%

-0,3

0,5%

Operating costs

-656,2

-648,9

-642,8

-656,1

-635,0

-613,8

35,1

-5,4%

21,2

-3,3%

Profit (loss) from operations

410,8

378,2

384,4

537,4

525,5

222,3

-155,9

-41,2%

-303,2

-57,7%

Net adjustments on loans to customers

-152,0

-197,7

-208,4

-220,5

-213,2

-263,0

-65,3

33,0%

-49,8

23,3%

Profit (loss) on FV measurement of tangible assets

-7,5

-19,3

-0,7

-131,0

-0,3

-5,1

14,2

-73,6%

-4,8

n.m.

Net adjustments on other financial assets

-4,0

4,0

4,1

1,6

-4,7

-3,7

-7,7

n.m.

0,9

-19,9%

Net provisions for risks and charges

4,4

-10,1

-2,7

-62,6

2,2

-9,8

0,3

-2,9%

-12,0

n.m.

Profit (loss) on the disposal of equity and other

0,2

336,6

0,0

-3,6

0,1

0,1

-336,5

n.m.

0,0

41,8%

investments

Income (loss) before tax from continuing

252,0

491,7

176,7

121,2

309,6

-59,2

-550,9

n.m.

-368,8

n.m.

operations

Tax on income from continuing operations

-53,7

-27,4

-44,9

-26,6

-93,8

41,4

68,8

n.m.

135,2

n.m.

Systemic charges after tax

-41,6

-15,2

-31,5

-4,5

-57,5

-18,2

-2,9

19,2%

39,3

-68,4%

Income (loss) attributable to minority interests

1,2

3,2

1,8

9,2

0,0

1,5

-1,7

-52,3%

1,6

n.m.

Net income (loss) gross of PPA

157,9

452,3

102,1

99,4

158,2

-34,4

-486,7

n.m.

-192,6

n.m.

Purchase Price Allocation after tax

-2,5

-4,7

-3,8

-3,7

-6,6

-12,0

-7,3

n.m.

-5,4

82,2%

Net income (loss) for the period

155,4

447,6

98,2

95,8

151,6

-46,4

-494,0

n.m.

-198,0

n.m.

3. Performance Details: Profitability 35

RECLASSIFIED P&L: ANNUAL COMPARISON

Reclassified income statement (in euro million)

Net interest income

Income (loss) from investments in associates

carried at equity

Net interest, dividend and similar income

Net fee and commission income

Other net operating income

Net financial result

Other operating income

Total income

Personnel expenses

Other administrative expenses

Amortization and depreciation

Operating costs

Profit (loss) from operations

Net adjustments on loans to customers

Profit (loss) on FV measurement of tangible assets

Net adjustments on other financial assets

Net provisions for risks and charges

Profit (loss) on the disposal of equity and other

investments

Income (loss) before tax from continuing operations

Tax on income from continuing operations

Systemic charges after tax

Income (loss) attributable to minority interests

Net income (loss) gross of PPA

Purchase Price Allocation after tax

Net income (loss) for the period

H1 2019

H1 2020

Chg. Y/Y

Chg. Y/Y

%

1.011,3

953,6

-57,7

-5,7%

69,4

70,3

0,9

1,3%

1.080,7

1.023,9

-56,8

-5,3%

888,2

816,9

-71,3

-8,0%

42,1

31,6

-10,5

-25,0%

83,0

124,1

41,0

49,4%

1.013,3

972,6

-40,7

-4,0%

2.094,0

1.996,5

-97,5

-4,7%

-843,9

-817,0

26,9

-3,2%

-330,2

-308,7

21,5

-6,5%

-131,1

-123,1

8,0

-6,1%

-1.305,1

-1.248,7

56,3

-4,3%

788,9

747,8

-41,2

-5,2%

-349,6

-476,2

-126,6

36,2%

-26,8

-5,4

21,4

-79,8%

0,0

-8,4

-8,4

n.m.

-5,7

-7,6

-1,9

34,0%

336,8

0,2

-336,6

-99,9%

743,7

250,4

-493,3

-66,3%

-81,1

-52,4

28,7

-35,4%

-56,9

-75,7

-18,8

33,1%

4,5

1,5

-3,0

-66,3%

610,1

123,8

-486,4

-79,7%

-7,2

-18,5

-11,4

n.m.

603,0

105,2

-497,8

-82,5%

3. Performance Details: Profitability 36

RESTATED P&L: ANNUAL AND QUARTERLY COMPARISON

…with restatement of FV on own liabilities into a separate line item (post-tax)

Reclassified income statement

H1 2019

H1 2020

Chg. Y/Y

Chg. Y/Y

Q1 2020

Q2 2020

Chg. Q/Q

Chg. Q/Q

(in euro million)

%

%

Net interest income

1.011,3

953,6

-57,7

-5,7%

474,1

479,5

5,4

1,1%

Income (loss) from investments in associates

69,4

70,3

0,9

1,3%

22,3

48,0

25,8

115,7%

carried at equity

Net interest, dividend and similar income

1.080,7

1.023,9

-56,8

-5,3%

496,4

527,5

31,2

6,3%

Net fee and commission income

888,2

816,9

-71,3

-8,0%

440,6

376,4

-64,2

-14,6%

Other net operating income

42,1

31,6

-10,5

-25,0%

16,7

14,9

-1,9

-11,3%

Net financial result

82,4

83,5

1,0

1,2%

0,8

82,7

82,0

n.m.

Other operating income

1.012,7

932,0

-80,7

-8,0%

458,1

473,9

15,9

3,5%

Total income

2.093,4

1.955,9

-137,5

-6,6%

954,4

1.001,5

47,0

4,9%

Personnel expenses

-843,9

-817,0

26,9

-3,2%

-419,0

-398,0

21,1

-5,0%

Other administrative expenses

-330,2

-308,7

21,5

-6,5%

-154,6

-154,1

0,5

-0,3%

Amortization and depreciation

-131,1

-123,1

8,0

-6,1%

-61,4

-61,7

-0,3

0,5%

Operating costs

-1.305,1

-1.248,7

56,3

-4,3%

-635,0

-613,8

21,2

-3,3%

Profit (loss) from operations

788,4

707,2

-81,2

-10,3%

319,5

387,7

68,3

21,4%

Net adjustments on loans to customers

-349,6

-476,2

-126,6

36,2%

-213,2

-263,0

-49,8

23,3%

Profit (loss) on FV measurement of tangible assets

-26,8

-5,4

21,4

-79,8%

-0,3

-5,0

-4,7

n.m.

Net adjustments on other financial assets

0,0

-8,4

-8,4

n.m.

-4,7

-3,7

0,9

-19,9%

Net provisions for risks and charges

-5,7

-7,6

-1,9

34,0%

2,2

-9,8

-12,0

n.m.

Profit (loss) on the disposal of equity and other

336,8

0,2

-336,6

-99,9%

0,1

0,1

0,0

41,8%

investments

Income (loss) before tax from continuing

743,1

209,8

-533,3

-71,8%

103,5

106,3

2,7

2,6%

operations

Tax on income from continuing operations

-80,9

-39,0

41,9

-51,8%

-25,7

-13,3

12,4

-48,3%

Systemic charges after tax

-56,9

-75,7

-18,8

33,1%

-57,5

-18,2

39,3

-68,4%

Income (loss) attributable to minority interests

4,5

1,5

-3,0

-66,3%

0,0

1,5

1,6

n.m.

Net income (loss) gross of PPA and net of valuation

609,7

96,6

-513,2

-84,2%

20,3

76,3

56,1

n.m.

effect on own liabilities

Purchase Price Allocation after tax

-7,2

-18,5

-11,4

n.m.

-6,7

-12,0

-5,3

79,7%

Fair value on own liabilities after Taxes

0,4

27,2

26,8

n.m.

137,9

-110,7

-248,7

n.m.

Net income (loss) for the period

603,0

105,2

-497,8

-82,5%

151,5

-46,4

-197,9

n.m.

3. Performance Details: Profitability 37

ADJUSTED P&L: ANNUAL COMPARISON

…with restatement of FV on own liabilities into a separate line item (post-tax)

Reclassified income statement

H1 2019

H1 2020

Chg. Y/Y

Chg. Y/Y

(in euro million)

adjusted

adjusted

%

Net interest income

1.011,3

953,6

57,7

-5,7%

Income (loss) from investments in associates

69,4

70,3

-0,9

1,3%

carried at equity

Net interest, dividend and similar income

1.080,7

1.023,9

56,8

-5,3%

Net fee and commission income

888,2

816,9

71,3

-8,0%

Other net operating income

42,1

31,6

10,5

-25,0%

Net financial result

82,4

83,5

-1,0

1,2%

Other operating income

1.012,7

932,0

80,7

-8,0%

Total income

2.093,4

1.955,9

137,5

-6,6%

Personnel expenses

-843,9

-817,0

-26,9

-3,2%

Other administrative expenses

-330,2

-308,7

-21,5

-6,5%

Amortization and depreciation

-130,4

-121,0

-9,4

-7,2%

Operating costs

-1.304,4

-1.246,6

-57,8

-4,4%

Profit (loss) from operations

789,0

709,3

79,7

-10,1%

Net adjustments on loans to customers

-349,6

-476,2

126,6

36,2%

Profit (loss) on FV measurement of tangible assets

0,0

0,0

0,0

-

Net adjustments on other financial assets

0,0

-8,4

8,4

n.m.

Net provisions for risks and charges

9,6

-7,6

17,2

-179,0%

Profit (loss) on the disposal of equity and other

0,0

0,0

-

investments

Income (loss) before tax from continuing

449,0

217,1

232,0

-51,7%

operations

Tax on income from continuing operations

-103,8

-41,1

-62,7

-60,4%

Systemic charges after tax

-41,6

-57,5

15,9

38,2%

Income (loss) attributable to minority interests

3,9

1,3

2,7

-67,9%

Net income (loss) gross of PPA and net of valuation

307,6

119,7

187,9

-61,1%

effect on own liabilities

Purchase Price Allocation after tax

-7,2

-18,5

11,4

n.m.

Fair value on own liabilities after Taxes

0,4

27,2

-26,8

n.m.

Net income (loss) for the period

300,8

128,4

172,4

-57,3%

3. Performance Details: Profitability 38

ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

...with restatement of FV on own liabilities into a separate line item (post-tax)

Reclassified income statement

H1 2020

H1 2020

One-off

adjusted

(in euro million)

Net interest income

953,6

953,6

0,0

Income (loss) from investments in associates

70,3

70,3

0,0

carried at equity

Net interest, dividend and similar income

1.023,9

1.023,9

0,0

Net fee and commission income

816,9

816,9

0,0

Other net operating income

31,6

31,6

0,0

Net financial result

83,5

83,5

0,0

Other operating income

932,0

932,0

0,0

Total income

1.955,9

1.955,9

0,0

Personnel expenses

-817,0

-817,0

0,0

Other administrative expenses

-308,7

-308,7

0,0

Amortization and depreciation

-123,1

-121,0

-2,1

Operating costs

-1.248,7

-1.246,6

-2,1

Profit (loss) from operations

707,2

709,3

-2,1

Net adjustments on loans to customers

-476,2

-476,2

0,0

Profit (loss) on FV measurement of tangible assets

-5,4

0,0

-5,4

Non-recurring items and extraordinary systemic charges

Adjustments on intangible assets

Application of the new valuation model on properties and artworks

Net adjustments on other financial assets

Net provisions for risks and charges

Profit (loss) on the disposal of equity and other investments

Income (loss) before tax from continuing operations

Tax on income from continuing operations

Systemic charges after tax

Income (loss) attributable to minority interests

Net income (loss) gross of PPA and net of valuation effect on own liabilities

Purchase Price Allocation after tax

Fair value on own liabilities after Taxes

Net income (loss) for the period

-8,4

-8,4

0,0

-7,6

-7,6

0,0

0,2

0,2

Real Estate gains

209,8

217,1

-7,3

-39,0

-41,1

2,1

Extraordinary positive fiscal items

-75,7

-57,5

-18,2

Additional contribution to Italian resolution fund

1,5

1,3

0,2

Other

96,6

119,7

-23,1

-18,5

-18,5

0,0

27,2

27,2

0,0

105,2

128,4

-23,2

3. Performance Details: Profitability 39

COMPREHENSIVE PROFITABILITY

    • m
  2. P&L NET INCOME
  3. OTHER NET INCOME DIRECTLY ACCOUNTED TO EQUITY

  4. o/w Tangible assets at Fair Value

o/w Reserves of Debt Securities at FVOCI (net of tax)

o/w Reserves of Equity Securities at FVOCI (net of tax)

Q1 2019

Q2 2019

Q1 2020

Q2 2020

H1 2019

H1 2020

155.4

447.6

151.6

-46.4

603.0

105.2

110.5

13.5

-289.7

151.1

124.0

-138.7

0.0

0.0

0.0

0.0

0.0

0.0

91.5

64.3

-180.1

154.3

155.8

-25.7

19.5

-31.9

-114.9

-5.4

-12.3

-120.3

H1 2019 Net Income

includes

the capital

gains from the sale of

Profamily Captive and

from the JV on the NPL

platform

(€326.2m

post-tax)

H1 2020 Net Income

includes a Covid-19-

related top-up in

generic

provisions

A.+B.

COMPREHENSIVE NET INCOME

265.9 461.1

-138.1

104.7

727.0

-33.4

OF THE GROUP

(€93.7m post-tax)

3. Performance Details: Profitability 40

RECLASSIFIED BALANCE SHEET AS AT 30/06/2020

Reclassified assets (€ m)

Restated

Chg. y/y

Chg. YTD

Chg. in Q2

30/06/19

31/12/19

31/03/20

30/06/20

Value

%

Value

%

Value

%

Cash and cash equivalents

795

913

755

838

44

5.5%

-74

-8.1%

83

11.0%

Loans and advances measured at AC

112,408

115,890

116,021

121,213

8,805

7.8%

5,323

4.6%

5,192

4.5%

- Loans and advances to banks

7,308

10,044

8,004

12,825

5,516

75.5%

2,780

27.7%

4,821

60.2%

- Loans and advances to customers (*)

105,100

105,845

108,018

108,389

3,289

3.1%

2,543

2.4%

371

0.3%

Other financial assets

39,184

37,069

39,485

43,885

4,701

12.0%

6,816

18.4%

4,401

11.1%

- Assets measured at FV through PL

7,496

7,285

7,301

9,075

1,579

21.1%

1,790

24.6%

1,774

24.3%

- Assets measured at FV through OCI

13,764

12,527

13,206

13,112

-652

-4.7%

585

4.7%

-94

-0.7%

- Assets measured at AC

17,925

17,257

18,978

21,698

3,774

21.1%

4,441

25.7%

2,721

14.3%

Equity investments

1,320

1,386

1,329

1,577

257

19.5%

191

13.8%

248

18.7%

Property and equipment

3,527

3,624

3,585

3,522

-5

-0.1%

-102

-2.8%

-63

-1.7%

Intangible assets

1,261

1,269

1,270

1,261

0

0.0%

-9

-0.7%

-9

-0.7%

Tax assets

4,876

4,620

4,698

4,628

-248

-5.1%

9

0.2%

-69

-1.5%

Non-current assets held for sale and discont. operations

1,545

131

139

105

-1,440

-93.2%

-26

-19.7%

-33

-24.1%

Other assets

2,920

2,136

2,057

2,385

-535

-18.3%

249

11.7%

327

15.9%

Total

167,837

167,038

169,339

179,415

11,579

6.9%

12,377

7.4%

10,077

6.0%

Reclassified liabilities (€ m)

30/06/19

31/12/19

31/03/20

30/06/20

Value

%

Value

%

Value

%

Due to banks

31,189

28,516

21,873

32,930

1,741

5.6%

4,414

15.5%

11,056

50.5%

Direct Funding

110,185

109,506

111,660

115,234

5,048

4.6%

5,727

5.2%

3,574

3.2%

- Due from customers

95,698

93,375

95,018

98,769

3,072

3.2%

5,394

5.8%

3,751

3.9%

- Debt securities and financial liabilities desig. at FV

14,487

16,131

16,641

16,464

1,977

13.6%

333

2.1%

-177

-1.1%

Debts for Leasing

782

733

707

682

-100

-12.7%

-51

-6.9%

-25

-3.5%

Other financial liabilities designated at FV

8,104

10,919

16,900

11,499

3,395

41.9%

579

5.3%

-5,401

-32.0%

Liability provisions

1,552

1,487

1,417

1,278

-274

-17.7%

-209

-14.1%

-140

-9.8%

Tax liabilities

503

619

669

612

108

21.6%

-8

-1.2%

-58

-8.6%

Liabilities associated with assets held for sale

40

5

5

4

-36

-89.4%

-1

-17.3%

-1

-13.7%

Other liabilities

4,174

3,366

3,965

4,942

769

18.4%

1,576

46.8%

977

24.6%

Minority interests

39

26

26

25

-14

-36.3%

-2

-5.8%

-2

-5.9%

Shareholders' equity

11,270

11,861

12,116

12,211

941

8.3%

350

2.9%

95

0.8%

Total

167,837

167,038

169,339

179,415

11,579

6.9%

12,377

7.4%

10,077

6.0%

Note: * "Customer loans" include the Senior Notes of the two GACS transactions and, as at 30/06/19, excludeProfamily non-captive portfolio classified as discontinued operations (see Methoodological Notes).

30/06/2019 data are restated for the incorporation of the effects due to the change 3. Performance Details: Balance Sheet 41

of the valuation criteria applied to the Group's properties and artworks starting from 31/12/2019.

DIRECT FUNDING

Solid position confirmed in core deposits, which account for 80% of the total Direct customer funding1 (withoutRepos)

€ bn

+8.8%

+2.7%

Capital-protected Certificates

105.2

108.9

111.5

114.4

3.0

1.8

3.1

2.0

3.3

1.8

3.2

1.7

16.4

Other

14.4

16.1

16.6

1.7

Bonds

1.8

1.6

1.6

Time deposits

83.8

86.2

88.6

91.4

C/A & Sight deposits

(79.7%)

(79.25%)

(79.5%)

(80.0%)

(%) Share of total

30/06/2019

31/12/2019

31/03/2020

30/06/2020

CHANGE

30/06/19

31/12/19

31/03/20

30/06/20

In % Y/Y

In % YTD

In % Q1

C/A & Sight deposits

83.8

86.2

88.6

91.4

9.1%

6.1%

3.1%

Time deposits

1.8

1.63

1.56

1.66

-9.7%

2.1%

6.6%

Bonds

14.4

16.1

16.6

16.4

14.1%

2.2%

-1.0%

Other

2.0

1.8

1.7

1.8

-5.5%

2.3%

8.3%

Capital-protected Certificates

3.3

3.2

3.0

3.1

-4.2%

-3.4%

3.7%

Direct Funding (excl. Repos)

105.2

108.9

111.5

114.4

8.8%

5.1%

2.7%

Note:

1. Direct funding restated according to a management logic: it includes capital-protected certificates, recognized essentially under 'Held-for- trading liabilities', while it does not include Repos (€3.9bn at June 2020 vs. €8.2bn at June 2019), mainly transactions with Cassa di Compensazione e Garanzia.

3. Performance Details: Funding and Liquidity 42

BOND MATURITIES: LIMITED AND MANAGEABLE AMOUNTS

Institutional bond maturities

Retail bond maturities

€ bn

€ bn

3.75

0.50

2.41

2.43

2.50

0.71

0.45

0.14

0.77

1.70

0.11

0.01

1.21

1.25

0,03

H2 2020

FY 2021

FY 2022

H2 2020

FY 2021

FY 2022

Senior

Subordinated

Covered bond 1

Senior

Subordinated

Aggregate senior &

Aggregate senior &

subordinated in the period

subordinated in the period

2020-2022: €5.6bn

2020-2022: €0.7bn

Managerial data based on nominal amounts, including calls.

Note: 1. Include also the maturities of Repos with underlying retained Covered Bonds: €0.45bn in 2021 and €0.50bn in 2022

3. Performance Details: Funding and Liquidity 43

INDIRECT CUSTOMER FUNDING AT €88.4BN

Assets under Management

€ bn

+2.1%

56.7

58.3

+7.0%

57.8

54.1

4.1

3.9

3.8

4.0

14.8

15.4

15.3

15.1

37.7

39.0

35.0

38.8

30/06/2019

31/12/2019

31/03/2020

30/06/2020

Funds & Sicav Bancassurance Managed Accounts and Funds of Funds

Assets under Custody1

  • bn

-6.5%

+8.6%

32.7

31.4

28.1

30.5

30/06/2019

31/12/2019

31/03/2020

30/06/2020

  • Total Indirect Customer Funding at €88.4bn, slightly below the level as at 30 June 2019 (-1.1%), entirely due to the market effect, but with a strong recovery registered in Q2 thanks to volume effect (+€1.8bn) and market effect (+€4.4bn)
  • AUM shows resilience also on an annual basis, driven by Q2 performance. Positive volume effect both y/y (€+1.7bn) and in Q2 (+€1.4bn).
  • AUC decrease by 6.5% y/y, mainly driven by volume effect (-€1.6bn), with a recovery in Q2.

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 42).

3. Performance Details: Funding and Liquidity 44

SECURITIES PORTFOLIO

€ bn

30/06/19

31/12/19

31/03/20

30/06/20

Chg. y/y

Chg. YTD

Chg. in Q2

Debt securities

34.5

31.2

34.5

38.3

10.9%

22.6%

10.9%

- o/w Total Govies

29.9

26.4

29.6

33.1

10.7%

25.2%

11.7%

- o/w: Italian Govies

19.4

15.5

18.2

21.7

11.9%

39.9%

19.6%

IT Govies in % on Debt Securities

56.2%

49.7%

52.6%

56.7%

Equity securities, Open-end funds & Private equity

2.3

2.5

1.7

1.6

-32.6%

-38.2%

-7.3%

TOTAL SECURITIES

36.9

33.8

36.2

39.9

8.1%

18.0%

10.0%

€ bn

30/06/19

31/12/19

31/03/20

30/06/20

Chg. y/y

Chg. YTD

Chg. in Q2

Govies at FVOCI

10.7

9.1

9.8

9.8

-8.4%

7.6%

-0.4%

- Italian

6.2

4.6

5.0

5.0

-18.9%

7.6%

-1.2%

- Non Italian

4.5

4.4

4.8

4.8

6.1%

7.5%

0.3%

Govies at AC

16.5

15.7

17.4

20.0

21.7%

27.2%

15.1%

- Italian

11.0

10.0

10.9

13.8

25.0%

37.8%

27.0%

- Non Italian

5.4

5.7

6.5

6.2

15.0%

8.7%

-4.6%

Govies at FVTPL

2.8

1.6

2.4

3.3

18.3%

104.3%

36.7%

- Italian

2.2

0.9

2.3

2.9

32.7%

232.9%

30.5%

- Non Italian

0.6

0.7

0.2

0.4

-36.0%

-49.3%

116.6%

3. Performance Details: Funding and Liquidity 45

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €12.4bn in H1 20201

Net Customer Loans2

€ bn

106.5

105.8

108.0

108.4

NPE

6.2

5.5

5.4

5.4

100.3

100.3

102.6

103.0

Performing Loans

30/06/2019

31/12/2019

31/03/2020

30/06/2020

CHANGE

NET PERFORMING LOANS

30/06/19

31/12/19

31/03/20

30/06/20

In % y/y

In % YTD

In % q/q

Core customer loans

91.2

91.1

94.0

95.0

4.1%

4.3%

1.1%

- Medium/Long-Term loans

61.2

62.5

64.4

67.1

9.6%

7.3%

4.3%

Net Performing loans in Stage 2

- Current Accounts

10.7

10.5

10.4

9.4

-11.5%

-10.0%

-9.5%

at €6.6bn as at 30/06/20

- Other loans

17.4

16.1

17.3

16.6

-4.4%

3.2%

-4.0%

(€5.7bn as at 31/12/19), with a

- Cards & Personal Loans

2.0

2.0

1.8

1.8

-5.8%

-7.6%

0.0%

coverage of 3.8% (3.5% as at

Leasing

1.0

1.0

0.9

0.9

-12.4%

-5.0%

-1.5%

31/12/19)

Repos

5.2

5.7

5.3

4.7

-9.4%

-17.4%

-10.0%

GACS Senior Notes

2.8

2.5

2.4

2.3

-16.1%

-6.5%

-4.1%

Total Net Performing Loans

100.3

100.3

102.6

103.0

2.7%

2.7%

0.4%

Notes: 1. Management data. See slide 18 for details. 2. Loans and advances to customers at Amortized Cost, including also the GACS senior notes (Exodus since June 2018 and, moreover, ACE since March 2019).

Data as at 30/06/19 are adjusted for the reclassification of the Profamily non-Captive loan portfolio (see Methodological Notes).

3. Performance Details: Customer Loans and Focus on Credit Quality 46

ASSET QUALITY DETAILS

GROSS EXPOSURES

30/06/2019

31/12/2019

31/03/2020

30/06/2020

Chg. y/y

Chg. YTD

Chg. in Q2

€/m and %

Incl. Profamily

Value

%

Value

%

Value

%

Bad Loans

3,338

3,565

3,517

3,530

192

5.8%

-34

-1.0%

13

0.4%

UTP

7,257

6,424

6,252

6,159

-1,098

-15.1%

-265

-4.1%

-93

-1.5%

Past Due

105

98

106

150

45

42.6%

51

52.1%

44

41.1%

NPE

10,700

10,087

9,875

9,839

-861

-8.0%

-248

-2.5%

-36

-0.4%

Performing Loans

100,648

100,631

102,962

103,431

2,783

2.8%

2,800

2.8%

469

0.5%

TOTAL CUSTOMER LOANS

111,348

110,718

112,837

113,269

1,921

1.7%

2,552

2.3%

432

0.4%

NET EXPOSURES

30/06/2019

31/12/2019

31/03/2020

30/06/2020

Chg. y/y

Chg. YTD

Chg. in Q2

€/m and %

Incl. Profamily

Value

%

Value

%

Value

%

Bad Loans

1,428

1,560

1,571

1,549

121

8.5%

-10

-0.7%

-21

-1.4%

UTP

4,681

3,912

3,778

3,739

-942

-20.1%

-173

-4.4%

-39

-1.0%

Past Due

85

73

81

111

26

30.8%

38

52.7%

30

37.5%

NPE

6,194

5,544

5,430

5,399

-795

-12.8%

-145

-2.6%

-30

-0.6%

Performing Loans

100,276

100,301

102,588

102,989

2,713

2.7%

2,688

2.7%

401

0.4%

TOTAL CUSTOMER LOANS

106,470

105,845

108,018

108,389

1,919

1.8%

2,543

2.4%

371

0.3%

COVERAGE

30/06/2019

31/12/2019

31/03/2020

30/06/2020

%

Incl. Profamily

Bad Loans

57.2%

56.2%

55.3%

56.1%

UTP

35.5%

39.1%

39.6%

39.3%

Past Due

18.9%

25.9%

23.7%

25.6%

NPE

42.1%

45.0%

45.0%

45.1%

Performing Loans

0.37%

0.33%

0.36%

0.43%

TOTAL CUSTOMER LOANS

4.4%

4.4%

4.3%

4.3%

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

Data as at 30/06/19 are adjusted for the reclassification of the Profamily non-Captive loan portfolio (see Methodological Notes).

3. Performance Details: Customer Loans and Focus on Credit Quality 47

IMPROVING TREND IN ASSET QUALITY

NPE, gross book value: -€1.7bn in 2019 and further -€0.3bn in H1 2020

  • bn

11.8

-0.6

+1.2

-2.3

10.1

+0.6

-0.9

9.8

31/12/18

Bad Loan

Inflows from

Cancellations,

31/12/19

Inflows from

Cancellations,

30/06/20

portfolio disposals

Performing

Write-offs,

Performing

Write-offs,

Recoveries, Cure &

Recoveries, Cure &

Other

Other

3. Performance Details: Customer Loans and Focus on Credit Quality 48

UTP LOANS: HIGH SHARE OF RESTRUCTURED AND SECURED POSITIONS

UTP analysis

Breakdown of Net UTPs

€ bn

Unsecured

-4.1% YTD

Secured

6.4

6.2

(%)

Composition

2.5

2.4

2.4

3.7

1,0

(39%)

(39%)

3.9

(28%)

2,7

3.8

(61%)

(61%)

(72%)

GBV

GBV

Adjustments

NBV

Unsec.

Sec.

31/12/19

30/06/20

Coverage ratio:

39.3%

57.1%

27.9%

€ bn

31/12/19

30/6/20

Restructured

1.7

1.6

- Secured

0.9

0.9

- Unsecured

0.8

0.7

Other UTP

2.2

2.1

- Secured

1.9

1.8

- Unsecured

0.3

0.3

3.9

3.7

o/w:

- North

72.6%

72.5%

- Centre

20.9%

20.5%

- South, Islands

6.5%

7.0%

& not resident

% Chg.

-5.9%

0.0%

-12.5%

-4.5%

-5.3%

0.0%

-5.1%

UTP Coverage: +4.3 p.p. since YE 2018

35.0% 35.5%

39.1% 39.3%

Solid level of coverage for unsecured UTP: 57.1%

Net unsecured UTP other than Restructured loans are

limited to €0.3bn

93% of Net UTPs are located in the northern & central

31/12/2018 30/06/2019 31/12/2019 30/06/2020

parts of Italy

3. Performance Details: Customer Loans and Focus on Credit Quality 49

CAPITAL POSITION IN DETAIL

PHASED IN CAPITAL

30/06/19 31/12/19 31/03/20 30/06/20

POSITION (€/m and %)

CET 1 Capital

8.972

9.586

9.449

9.585

T1 Capital

9.404

10.017

10.253

10.388

Total Capital

10.765

11.542

11.636

11.676

RWA

65.236

65.841

65.435

65.090

CET 1 Ratio

13,75%

14,56%

14,44%

14,73%

AT1

0,66%

0,66%

1,23%

1,23%

T1 Ratio

14,42%

15,21%

15,67%

15,96%

Tier 2

2,09%

2,32%

2,11%

1,98%

Total Capital Ratio

16,50%

17,53%

17,78%

17,94%

FULLY PHASED CAPITAL

30/06/19 31/12/19 31/03/20

30/06/20

POSITION (€/m and %)

CET 1 Capital

7.742

8.453

8.423

8.692

T1 Capital

8.044

8.754

9.122

9.390

Total Capital

9.404

10.280

10.506

10.679

RWA

64.968

65.856

65.353

65.317

CET 1 Ratio

11,92%

12,84%

12,89%

13,31%

AT1

0,46%

0,46%

1,07%

1,07%

T1 Ratio

12,38%

13,29%

13,96%

14,38%

Tier 2

2,09%

2,32%

2,12%

1,97%

Total Capital Ratio

14,48%

15,61%

16,08%

16,35%

RWA COMPOSITION

30/06/19

31/12/19

31/03/20

30/06/20

(€/bn)

CREDIT & COUNTERPARTY

57,2

57,7

56,9

56,9

RISK

of which: Standard

30,1

29,3

29,1

29,1

MARKET RISK

2,1

1,9

2,3

2,0

OPERATIONAL RISK

5,7

6,0

6,0

6,0

CVA

0,2

0,2

0,2

0,2

TOTAL

65,2

65,8

65,4

65,1

RWA COMPOSITION

30/06/20

31/12/19

31/03/20

30/06/20

(€/bn)

CREDIT & COUNTERPARTY

57,0

57,7

56,9

57,1

RISK

of which: Standard

29,9

29,3

29,1

29,3

MARKET RISK

2,1

1,9

2,3

2,0

OPERATIONAL RISK

5,7

6,0

6,0

6,0

CVA

0,2

0,2

0,2

0,2

TOTAL

65,0

65,8

65,4

65,3

Ratios as at 31/03/2019 and 31/03/2020 include also the Net Income of the pertinent quarter.

3. Performance Details: Capital Position 50

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.itwww.bancobpm.it(IR Section)

51

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Banco BPM S.p.A. published this content on 06 August 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 06 August 2020 16:53:09 UTC