Banco BPM S p A : Presentation of Banco BPM 9M 2020 Group Results

9M 2020 Group Results Presentation

5 November 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 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 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.

9M 2020 Group Results Presentation 2

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 2019 and 2020 have been reclassified accordingly.
• 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.
• 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 30/09/2019 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 30/09/2019 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. Starting from Q2 2019, the loans subject to this transaction (€607m GBV and €156m NBV as at 30/06/2019) have been reclassified as non-current asset held for sale according to the IFRS5 standard. As at 30/09/2020, the residual amount of these loans stood at €114 m GBV and at €38 m NBV.
• In the area of companies consolidated with the equity method, the second quarter of 2020 has seen the entry of Anima Holding S.p.A., in which Banco BPM holds a stake of 19.385%. In the light of the changes brought about in the governance of the company, this stake, which is considered of strategic nature and which is destined to be held on a stable basis, is deemed to represent a situation of significant influence on the side of Banco BPM.
• Please note that, on 4 April 2020, the Annual Shareholders' Meeting of Banco BPM didn't discuss and vote on item 2 of the agenda (Resolutions on the allocation and distribution of profits); this is in order to acknowledge the guidelines provided by the ECB on 27 March 2020, with which, in order to strengthen the capital resources of relevant banks subject to its monitoring, and in order to be able to make use of the more extensive resources in support of households and businesses in the current situation brought about by the ongoing Covid-19 health emergency, it requested the banks, inter alia, not to proceed with the payment of dividends (still not approved) and not to assume any irrevocable commitment for their payment for the years 2019 and 2020 at least until 1 October 2020. It is also noted that on 27 July 2020, the ECB announced the extension of the afore-mentioned dividend ban from 01/10/2020 to 31/12/2020. 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, 30/06/2020 and 30/09/2020 are here reported including also the net income of the quarters.

9M 2020 Group Results Presentation 3

Agenda

1.	Highlights: Key Achievements & Action Focus	4
2.	9M 2020 Performance Details:	22
	-	Profitability	23
	-	Balance Sheet	28
	-	Funding and Liquidity	29
	- Customer Loans and Focus on Credit Quality	37
	-	Capital Position	43

9M 2020 Group Results Presentation 4

9M 2020 PERFORMANCE: RESILIENCE AND RECOVERY

STRONG OPERATING RESULTS

Rebound in «core» revenues (+9.5% q/q)

Further reduction in costs (-5.2% q/q)

Healthy build-up in Pre-Provision Income (€1.27bn in 9M; +6.4% y/y and +44.9% q/q)

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

ADOPTION OF NEW DERISKING STRATEGY

New impulse to NPE reduction via disposals (up to €1.2bn by YE 2020),

for a total derisking of ~€21.4bn vs. YE 20161

Cost of Risk confirmed at ~100bps for FY 2020E

ACTION FOCUS: STRENGTHEN QUALITY OF PERFORMING LOAN PORTFOLIO

Strengthening of internal credit management

Focus on quality of Moratoria and State-guaranteed lending

SOLID CAPITAL POSITION

Further improvement in capital ratios and buffers (CET 1 FL Adj. 13.6%)2

9M 2020 Group Results Presentation

Note: 1. Decrease of Gross NPEs in the period 31/12/2016 - 30/09/2020, adjusted post upcoming portfolio disposals.	5
2. Including headwinds expected in Q4; see slide 13 for details.

COVID-19: EXPERIENCE OF RECENT MONTHS ENABLING TO FACE THE NEW EMERGENCY

In order to ensure continuity of core banking activities during the first phase of the lockdown, BBPM has implemented Technical and Operational solutions to face the new emergency minimising its impact and preserving commercial effectiveness

New processes for emergency management and

development of customer relationships on a digital basis, empowering the omnichannel approach

Improve smart working: substitute desktop with laptop, deploy collaboration software, increase internet bandwidth, deliver mobile phone, introduce BYOD usage

Regulate branch services: services by appointment, increase Contact Center to manage higher volume, review of process to manage online requests

Personal safety devices: distribution of

masks, plexiglass, gloves and sanitizing gel

Enforce controls: collect from intelligence feeds indicator on security threats, create controls to monitor emerging risks, execute assessment to evaluate exposure

Improve security: introduce multi factor authentication, block access to company cloud services from outside Italy, increase the VPN usage both for site-2-site for suppliers and client-2-site for employees, improve training and awareness for employees and customers

1. Highlights: Key Achievements & Action Focus

6

STRONG REBOUND OF COMMERCIAL ACTIVITIES

Well prepared to face the second wave

DIGITAL

BANKING1

	9M 2020		Y/Y
MOBILE TRANSACTIONS2
#11m		+61.8%
APP USERS
#736k		+35.3%
ONLINE TRANSACTIONS
#24m		+23.6%
DIGITAL SALES	#40k		+21.5%
EXECUTED ORDERS (WEB)	#2.3m		+22.0%

BOOST IN DIGITAL BANKING TO SUPPORT COMMERCIAL ACTIVITY IN CHALLENGING ENVIRONMENT

Share of digital transactions - Households

84%

77%

Dec-19Sept-20

COMMERCIAL

VOLUMES

	Q1 2020	Q2 2020		Q3 2020
INV. PRODUCT PLACEMENTS3
€3.7bn		€2.4bn		€3.2bn		STRONG REBOUND
NEW LENDING4							ACHIEVED IN COMMERCIAL
€5.5bn		€6.9bn		€7.9bn		CAPACITY
o/w: Covid-19 Measures
€0bn		€1.9bn		€5.2bn
guaranteed by the State

Note: 1. Data refer to Households. 2. Transactions on mobile and tablet devices. 3. Include Funds & Sicav, Bancassurance, Certificates and Managed Accounts & Funds of Funds. 4. Include M/L-termMortgages (Secured and Unsecured), Personal Loans, Pool and

Structured Finance.

1. Highlights: Key Achievements & Action Focus

7

COVID-19: KEY MEASURES AT A GLANCE

Lending measures assisted by public guarantees

at €12.0bn as at 30/09/20

Up at €13.0bn end-October, o/w €8.6bn already provided

€ bn				12.0		1.4					10.6
9.5					0.2
															1.2
												4.9
		In progress											Includes:				4.7
			7.5								 €3.5bn already approved
		Funds already
								7.1	 €1.4bn under approval			5.9
		provided
					2.0
					30/06/2020				30/09/20				o/w: 100%			o/w: 70%-90%
											Avg. level of				guaranteed			guaranteed

guarantees at 86%	(include also renegotiations)

Moratoria measures: Total underlying loan exposure at €15.6bn as at 30/09/20

€ bn	15.7		15.6
					Substantially stable
ABI Moratoria		3.1		3.4
					in October
12.6
Government Moratoria					12.2
			GBV as at 30/06/20		GBV as at 30/09/20
								1. Highlights: Key Achievements & Action Focus	8

COVID-19: MEASURES FOSTERING PORTFOLIO QUALITY & SAFETY

• Lower share of moratoria and higher customer propensity for new State-guaranteed lending
• Sound risk profile by rating classes of customers subject to moratoria measures
• Further improvement of the liquidity position of Non-Financial Corporate customers

Moratoria Measures:

Lending measures assisted by

System data1

public guarantees: System data1

BBPM share

BBPM share

5%

>€300

11%

BBPM branch

>€105

bn

bn

market share:

7%

Distribution on loans

under Moratoria by

77%

13%

10%

rating classes as at

30/09/2020

Low-Medium risk

Mid-High risk

High risk

o/w: Exposure to selected

€0.4bn

€0.3bn

sectors2 with "High-potential

impact" from Covid-19

+28.6%

Deposits of

o/w: From

25.6

32.9

Non-Financial

Customers

4.1

6.0

Corporates

under Moratoria

31/03/2020

31/10/2020

Note: 1. ABI Press Release of 14/10/20. 2. Transport & Storage services; Accomodation, Restaurants & Travel Agencies; Textile fibers & Leather; Automotive trade; Means of Transport; Construction.

1. Highlights: Key Achievements & Action Focus

9

COVID-19: PROACTIVE CREDIT MANAGEMENT

NEW AND TAILOR-MADE CREDIT MONITORING & MANAGEMENT PROCESS

STRATEGY FOR LOANS UNDER MORATORIA:

Specific additional monitoring programs, fed by clusters based on economic sectors and Key Risk Indicators

• Targeted action plan identified for each cluster
• Tailor-madecontact campaigns with first focus on customers belonging to the sectors most impacted and/or to the highest risk classes, with a view to analyze the customer's condition and to activate a proactive response

Tailor made campaigns: first results

(exposure in € bn)

12.2

	Positive feedback1
2.7
	received as of today:
	70%

Government Priority portfolio Moratoria

STRATEGY FOR

PERFORMING PORTFOLIO:

Workflow-driven Monitoring

Platform

Early Warning System

• More effective and tailor-madecredit management developed
• Timeliness and accuracy of credit monitoring improved
• Wide selection of triggers for early warning detection of positions in watchlist (includes all counterparties with potential future events of default)

Share of positions in watchlist

WITHOUT overdues

70%

Normalisation rate of positions

exiting from watchlist

94%

Note: 1. Contacted customers declaring no need for further	1. Highlights: Key Achievements & Action Focus 10
intervention from Banco BPM.

SOUND NEW LENDING PERFORMANCE

€20.3bn new Loans in 9M 20201, o/w €7.1bn Covid-19 measures guaranteed by the State

€ bn
+26.6%
16.0	20.3	35%	Ordinary business

65%	Covid-19 Measures

€7.1bn guaranteed

by the State

9M 2019 9M 2020

9M 2020 new lending by risk categories2

32%	37%	34%	34%
23%						23%
										6%	7%	2%	2%
	Low		Medium-Low		Medium			Medium-High		High
					Ordinary Business		Covid-19 Measures

Enterprise & Corporate	New lending: Monthly trend
Households											3.2
										2.6	2.0			2.1
1.5			2.1	1.5			1.7
	1.3
					0.4
0.2		0.2	0.1	0.2	0.3	0.3	0.2	0.4
		Jan. 20	Feb. 20		Mar. 20			Apr. 20		May 20		Jun. 20		Jul. 20		Aug. 20 Sept. 20

• New lending to Enterprises and Corporates +36.5% y/y and +13.3% in Q3
• New lending to Households -20.0% y/y, with recovery in Q3 (+21.3%)
• State-guaranteednew lending (with an average spread at ~1.6%) implies:
• • Increase of the share of lending assisted by guarantees
    (~74% of new lending to Enterprises and Corporates in Q3)
  • Ordinary new lending more concentrated on the best risk categories

Notes: 1. Include M/L-term Mortgages (Secured and Unsecured), Personal Loans, Pool and Structured Finance. Internal management data. 2. Based on rated new lending portfolio, representing ~90% of total new lending.

1. Highlights: Key Achievements & Action Focus 11

P&L AT A GLANCE

Resilient performance in a challenging environment

	Q1 2020	Q2 2020		Q3 2020
NET INTEREST INCOME	€474m		€480m		€520m
FEES & COMMISSION	€441m		€376m		€418m
NFR1	€1m		€83m		€157m
OTHER REVENUES	€39m		€63m		€48m
TOT. REVENUES	€954m		€1,001m		€1,143m
OPERATING COSTS	-€635m		-€614m		-€582m
PRE-PROVISION INCOME	€319m		€388m		€562m
LOAN LOSS PROVISIONS	-€213m		-€263m		-€324m
NET INCOME4	€152m		€-46m		€157m

q/q

9M 2020

+8.4% €1,474m

+11.0% €1,235m

€241m

€150m

+14.2% €3,099m

-5.2% -€1,830m

+44.9% €1,269m

-€801m

€263m

• SOUND QUARTERLY GROWTH OF NII
• SOLID RECOVERY IN FEES AND COMMISSIONS VS. Q2
• STRONG NFR IN Q3, MAINLY THANKS TO THE REVALUATION OF THE SIA STAKE2
• FURTHER REDUCTION IN COSTS, THANKS ALSO TO LOWER VARIABLE PART OF REMUNERATION AND ONE-OFF COVID - RELATED SAVINGS3

SOLID PRE-PROVISION INCOME GENERATION ALLOWING TO FUND FURTHER DERISKING

€ m	Pre-Provision Income	1,269
				562
		388
319
	Q1 20		Q2 20		Q3 20	9M 20

Notes: 1. Exluding FV on own liabilites. 2. Positive valuation effect on the SIA stake (+€147m). 3. See slide 20 for details. 4. Include the result from FV on own liabilities

(after tax): €29.4m in 9M 2020, o/w: €137.9m in Q1; -€110.7m in Q2; €2.2m in Q3.

1. Highlights: Key Achievements & Action Focus 12

CAPITAL POSITION: STRONG CET1 RATIOS

Ratios and buffers further strengthened: well positioned to face the tough scenario1

%	CET 1 Ratios: evolution

CET1	14.6	14.7	15.4	Related to	14.9
Operational and
Phased-in
			Market Risks

12.8	13.3	+23bps	+56bps	14.1	-50bps	13.6
CET1
Fully Loaded
31/12/2019	30/06/2020	FVOCI	Q3 Performance &	30/09/2020	Headwinds	30/09/2020
		Reserves	Other	Stated	expected in Q4	Adjusted

Buffer vs.	+479bps
Min. Cap. Requirement FL
MDA Buffer FL	+335bps

+558bps

+475bps

+508bps

+414bps

• Solid CET 1 ratios, with an improvement even on an Adjusted basis (i.e. including regulatory headwinds expected in Q4 2020)
• Adjusted MDA buffer stands at +414bps on a fully loaded basis, confirming the Group's solid capital position
  Note: 1. Buffers are calculated with the application of CRD V rules. 1. Highlights: Key Achievements & Action Focus 13

NEW ACCELERATED DERISKING STRATEGY

Portfolio disposals up to €1.2bn under way reaffirming Banco BPM's solid derisking

• Two portfolio disposals already at an advanced stage:
• • Project 'Django': UTP portfolio sale
  • Project 'Titan': Bad Loan securitisation (leasing portfolio)
• IFRS 9 impact at CoR level already booked in Q3 due to change in management strategy (Disposal vs. Workout)

UTP 'Project 'Django':

GBV ~€1bn

• #149 positions
• 56% Real Estate/44% Other industrial sectors
• Average vintage: 4.8 years

Status

On 5 November:

• Offers and structure of the transaction formally approved

Next steps

• Closing expected by YE 2020

BAD LOANS 'Project 'Titan':

GBV ~€0.2bn

• Leasing Portfolio contributed to a multi-originator GACS

Status

• DD completed

Next steps

• Tranching finalisation
• Closing expected by YE 2020

• Potential additional single name disposals are also under review and may come forth in Q4
• New disposal strategy maintaining the expected Cost of Risk guidance of about 100 bps for FY 2020, including also potential additional single name disposals

1. Highlights: Key Achievements & Action Focus 14

STRONG REDUCTION IN NPE: WELL AHEAD OF INTERNAL TARGETS

Improvement in asset quality to continue through further derisking

NPE Stock (GBV)

€ bn	10.47	10.09	9.84	9.79
		PD
		0.13	0.10	0.15	0.10
		UTP	6.95	6.42	6.16	6.08
		Bad Loans	3.39	3.56	3.53	3.61
			30/09/19	31/12/19	30/06/20	30/09/20

NPE RATIOS

~8.6

0.1

~ 5.1

~3.4

30/09/20 Adj. post portfolio disposals1

-18% Y/Y

-12% in Q3

	9.4%	9.1%	8.7%			~6.7% including
	8.6%	~7.7%	loans to banks
Gross	5.6%	5.2%	5.0%	4.7%	(as per EBA
Net						definition)
	30/09/19	31/12/19	30/06/20	30/09/20	30/09/20 Adj.
TEXAS RATIO2	58.1%	52.3%	49.3%	45.5%	post portfolio
disposals1

Note: 1. Include Project 'Django' and Project 'Titan'. 2. Net NPEs over Tangible Net Equity (Shareholders' Net Equity - Intangible assets). Data as at 30/09/19 are adjusted for the reclassification of the Profamily non-Captive loan portfolio (see Methodological Notes).

1. Highlights: Key Achievements & Action Focus 15

SAFE TREND ACROSS ASSET QUALITY METRICS & PROVISIONS

	MIGRATION RATES	31/12/19	30/06/20	30/09/20		COVERAGE	31/12/19	30/06/20	30/09/20
				(annualised)	(annualised)
	DEFAULT RATE					56.2%	56.1%
	1.2%	1.1%	1.0%		BAD LOANS	57.6%
	(from Performing
	Loans to NPEs)					UTP	39.1%	39.3%	42.7%
	NPE DANGER RATE	11.1%	8.1%	7.7%		PAST DUE	25.9%	25.6%	21.8%
	(from UTP to Bad
	Loans)					TOTAL NPE	45.0%	45.1%	48.0%
	CURE RATE	5.1%	3.7%	3.5%
	(from UTP to
	Performing Loans)				% of Secured NPE	61%	60%	61%
						on Total NPE (GBV)

64.1%

incl.

write-offs

Post Django and Titan disposals, coverage levels are expected to return broadly in line with previous quarters

51.2%

incl.

write-offs

LLPs: quarterly evolution

Annualised Cost of Risk (in bps)

• m

Covid 19 related top-up in generic provisions

	263.0	324.3	Includes IFRS 9 impact on	69	73	98	Includes Covid 19-related top-
213.2		selected portfolio
~70			up in generic provisions (H1)
~70		disposals (Django & Titan)
				and IFRS 9 impact on selected
143.2	193.0						portfolio disposals (Q3)

Q1 20	Q2 20	Q3 20	9M 19	FY 19	9M 20

1. Highlights: Key Achievements & Action Focus 16

SOLID BALANCE SHEET POSITION CONFIRMED

CUSTOMER

VOLUMES

CORE NET PERF. LOANS

C.A. & DEPOSITS

AUM

30/09/20	DELTA Y/Y	DELTA Q/Q
€96.5bn	+4.9%	+1.6%
€96.5bn	+10.8%	+3.7%
€58.0bn	+0.7%	+0.3%

Volume growth confirmed also in Oct. vs. Sept.1:

• • Loans +0.6%
• Core Funding +3%

LIQUIDITY &

FUNDING2

LCRNSFR

198% >100%

UNENCUMBERED

ELIGIBLE SECURITIES

€25.8bn

Successful issuance activity in 2020:

AT1 in Jan. (€400m), Senior NP in Feb. (€750m)

and T2 in Sept. (€500m)

DEBT SECURITY

PORTFOLIO

PERFORMANCE

RESERVES OF DEBT SECURITIES AT FVOCI

UNREALISED GAINS ON

DEBT SECURITIES AT AC3

30/06/20		30/09/20	DELTA Q/Q
				Corresponding to
€32m		€166m	+€134m
	+23bps on CET 1 ratio
				in Q3 2020
€545m		€756m	+€211m

Note: 1. Internal Management data of the Commercial Network as at 31/10/2020. 2. Monthly LCR (September 2020) and Quarterly NSFR (Q3 2020); unencumbered eligible securities as at 31/10/2020. 3. Included neither in the P&L results, nor in the Capital Position.

1. Highlights: Key Achievements & Action Focus 17

NET INTEREST INCOME: HIGHLIGHTS

Net Interest Income		NII: Evolution Breakdown

€ m				+8.4%
474.1	479.5	519.9

Q1 20	Q2 20	Q3 20
NPE contribution: 29.1m	29.9m	25.9m

Commercial spreads

€ m		+47.4	519.9
479.5	+3.9
-7.0
		-4.0
		Including -€15m from
		TLTRO III extra liquidity
		reinvestment

Q2 20 Comm.	NPE	TLTRO	Non	Q3 20
banking	contrib.	Interest	Comm.
		Income	banking1

1.90		1.87	1.85		1.85	1.87		1.81	1.82
1.47		1.43	1.34		1.33	1.36		1.40	1.25
-0.43		-0.44	-0.51		-0.52	-0.51		-0.41	-0.57
	Q1 19			Q2 19		Q3 19			Q4 19		Q1 20			Q2 20		Q3 20
							Asset spread					Customer spread				Liability spread	EURIBOR 3M
-0.31	-0.32	-0.39		-0.41	-0.41		-0.30	-0.48
		QUAR. AVG.
																Notes: 1. Includes: ALM, financial activities, Hedging, interest
																on Bonds (Retail and Institutional) and other elements.

Key asset spread drivers:

• Segment mix: volume growth mostly concentrated in Corporate Segment, in particular in MLT lending
• Rating mix: stronger lending with lower-risk borrowers and with State guarantees to preserve the overall quality of the loan portfolio

1. Highlights: Key Achievements & Action Focus 18

NET FEES: ROBUST QUARTERLY REBOUND

				Q/Q trend							Q3 monthly trend
	€ m				+11.0%							€ m
	440.6
	376.4		417.7			143.7			142.9
											131.1
	220.2								197.3
	169.8								66.8	63.4		67.0
	220.4	206.6						220.3			76.9	67.6		75.8
			Q1 20	Q2 20					Q3 20			July -20	Aug-20	Sept-20
		Commercial Banking Fees			Management & Advisory

• Net fees and commissions come in at €417.7m in Q3 (+11.0% q/q), with healthy progress both in Commercial fees (+6.6% q/q) and Management & Advisory fees (+16.2% q/q)
• Monthly trend of Investment product placements in Q3 shows a sound recovery in September, confirmed also in October

Investment product placements: monthly trend1

€ bn				Lockdown
						impact
1.3	1.5								1.4
									1.0	1.2			1.2
					0.9						1.0
									0.7
					0.3

Note: 1. Management data of the commercial network.

Include Funds & Sicav, Bancassurance, Certificates and 1. Highlights: Key Achievements & Action Focus 19 Managed Accounts & Funds of Funds.

OPERATING COSTS: QUARTERLY COMPARISON

Total Operating Costs

Quarterly average recurring costs in 2017-20203

€ m		-8.4%	-5.2%				€ m	735.1	676.6	649.9	619.8
635.0	613.8	1				2
	581.5
													FY 17		FY 18		FY 19		9M 20
	Q1 20		Q2 20			Q3 20
							Avg. Q		Avg. Q		Avg. Q		Avg. Q

Includes benefit

from lower

variable

remuneration

o/w: Staff costs

o/w: Other admin. costs

o/w: D&A

€ m

-14.8%

€ m

+3.4%

€ m

+5.6%

-10.3%

+3.7%

+5.0%

419.0

1

397.9

357.0 2

154.6

154.1

159.8

64.8

61.4

61.7

Q1 20

Q2 20

Q3 20

Q1 20

Q2 20

Q3 20

Q1 20

Q2 20

Q3 20

Note: 1. Mainly due to lower variable remuneration (ca. €20m). 2. Includes contribution from lower variable remuneration and one-off Covid 19-related savings, for a total of ca. €60m. 3. Net of non-recurring items and, for 2017 and 2018, net also of PPA to ensure a homogeneous comparison. See slide 25 for 9M 2020 non-recurring items.

1. Highlights: Key Achievements & Action Focus 20

FINAL REMARKS & 2020 OUTLOOK

9M 2020 Performance: Net income at €263m

• Strong Pre-ProvisionIncome: at €1.27bn, with solid quarterly progression
• New derisking strategy aimed at ensuring a further improvement in asset quality: Gross NPE ratio Adj. down at 7.7%
• Solid capital position & wide capital buffers, even after factoring in headwinds expected in Q4: Adjusted CET 1 FL at 13.6%
• Quality of loan portfolio supportedby significant acquisition of State guarantees

FY 2020 Outlook

Uncertain environment: new Government measures introduced to protect health while minimizing impact on economic activities Building on the recent experience, Banco BPM is equipped to confirm an overall positive performance for FY 2020

Core Revenues:

Operating Costs:

Asset Quality:

Capital:

• NII to be supported by a healthy trend in lending as well as by the positive TLTRO III effect
• Fees expected to confirm their recovery, subject to the evolution of the Covid-19 situation
• Strict cost control to continue, in response to the external environment
• Execution of announced derisking transactions and exploration of additional opportunities
• Cost of risk expectation confirmed at around 100bps
• Solid MDA buffer confirmed, well above the minimum strategic target of +250 bps

1. Highlights: Key Achievements & Action Focus 21

Agenda

1.	Highlights: Key Achievements & Action Focus	4
2.	9M 2020 Performance Details:	22
	-	Profitability	23
	-	Balance Sheet	28
	-	Funding and Liquidity	29
	- Customer Loans and Focus on Credit Quality	37
	-	Capital Position	43

9M 2020 Group Results Presentation 22

9M 2020 QUARTERLY P&L RESULTS

€ m	P&L STATED		Q1 2020	Q2 2020	Q3 2020	Chg. q/q
	NII	474.1	479.5	519.9	8.4%
	FEES & COMMISSIONS	440.6	376.4	417.7	11.0%
	NET FINANCIAL RESULT	0.8	82.7	157.3	90.2%
	TOTAL INCOME	954.4	1,001.5	1,143.3	14.2%
	STAFF COSTS	-419.0	-398.0	-357.0	-10.3%
	OTHER ADMIN .COSTS	-154.6	-154.1	-159.8	3.7%
	D&A	-61.4	-61.7	-64.8	5.0%
	OPERATING COSTS	-635.0	-613.8	-581.5	-5.2%
	PROFIT FROM OPERATIONS	319.5	387.7	561.8	44.9%
	LLPs	-213.2	-263.0	-324.3	23.3%
	OTHER 2	-2.7	-18.5	2.0	n.m.
	PRE-TAX PROFIT	103.5	106.2	239.5	n.m.
	TAX	-25.7	-13.3	-22.5	69.0%
	SYSTEMIC CHARGES (net of taxes)	-57.5	-18.2	-53.0	n.m.
	NET INCOME BEFORE PPA	20.3	76.3	166.5	118.3%

	€ m		P&L ADJUSTED1		Q1 2020	Q2 2020	Q3 2020	Chg. q/q
	NII			474.1	479.5	519.9	8.4%
	FEES & COMMISSIONS	440.6	376.4	417.7	11.0%
	NET FINANCIAL RESULT	0.8	82.7	157.3	90.2%
	TOTAL INCOME	954.4	1,001.5	1,143.3	14.2%
	STAFF COSTS	-419.0	-398.0	-388.5	-2.4%
	OTHER ADMIN .COSTS	-154.6	-154.0	-159.8	3.8%
	D&A			-59.8	-61.1	-64.5	5.5%
	OPERATING COSTS	-633.4	-613.2	-612.8	-0.1%
	PROFIT FROM OPERATIONS	321.0	388.3	530.5	36.6%
	LLPs			-213.2	-263.0	-324.3	23.3%
	OTHER 2			-2.5	-13.5	1.0	n.m.
	PRE-TAX PROFIT	105.3	111.8	207.2	85.4%
	TAX			-26.3	-14.8	-12.0	-18.7%
	SYSTEMIC CHARGES (net of taxes)	-57.5	-	-53.0	n.m.
	NET INCOME BEFORE PPA	21.5	98.3	144.7	47.2%

PPA AFTER TAX	-6.6	-12.0	-11.4	-4.5%		PPA AFTER TAX	-6.6	-12.0	-11.4	-
FV ON OWN LIABILITIES AFTER TAX	137.9	-110.7	2.2	n.m.	FV ON OWN LIABILITIES AFTER TAX	137.9	-110.7	2.2	n.m.
NET INCOME	151.6	-46.4	157.3	n.m.		NET INCOME	152.8	-24.4	135.5	n.m.

Notes: 1. Adjusted for non-recurring items shown in slide 25. 2. Other includes: Profit (loss) on FV measurement of tang. assets, Net adj . on other financial assets, Net provisions for risks & charges, Profit (loss) on the disposal of equity and other investments.

2. 9M 2020 Performance Details 23

P&L: ANNUAL AND QUARTERLY 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 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

9M 2019		9M 2020		Chg. Y/Y	Chg. Y/Y
					%
1,507.1		1,473.5		-33.6	-2.2%
97.3	107.1	9.7	10.0%
1,604.4		1,580.6		-23.8	-1.5%
1,332.3		1,234.6		-97.7	-7.3%
59.9		43.3		-16.6	-27.8%
143.8	240.8	97.0	67.4%
1,536.0		1,518.7		-17.3	-1.1%
3,140.4		3,099.3		-41.1	-1.3%
-1,259.5		-1,173.9		85.6	-6.8%
-488.8		-468.5		20.3	-4.2%
-199.7	-187.9	11.8	-5.9%
-1,947.9		-1,830.3		117.6	-6.0%
1,192.5		1,269.0		76.5	6.4%
-558.0		-800.6		-242.6	43.5%
-27.5		-5.7		21.8	-79.2%
4.2		-8.3		-12.4	n.m.
-8.4		-6.7		1.7	-20.1%
336.8	1.5	-335.2	-99.5%
939.5		449.2		-490.3	-52.2%
-132.4		-61.5		70.9	-53.6%
-88.4		-128.7		-40.3	45.6%
6.3	4.0	-2.3	-36.2%
725.0		263.1		-461.9	-63.7%
-11.0		-29.9		-18.9	n.m.
-12.8	29.4	42.2	n.m.
701.2		262.5		-438.7	-62.6%

Q1 2020	Q2 2020	Q3 2020
474.1	479.5	519.9
22.3	48.0	36.8
496.4	527.5	556.7
440.6	376.4	417.7
16.7	14.9	11.7
0.8	82.7	157.3
458.1	473.9	586.7
954.4	1,001.5	1,143.3
-419.0	-398.0	-357.0
-154.6	-154.1	-159.8
-61.4	-61.7	-64.8
-635.0	-613.8	-581.5
319.5	387.7	561.8
-213.2	-263.0	-324.3
-0.3	-5.0	-0.3
-4.7	-3.7	0.1
2.2	-9.8	0.9
0.1	0.1	1.3
103.5	106.3	239.5
-25.7	-13.3	-22.5
-57.5	-18.2	-53.0
0.0	1.5	2.5
20.3	76.3	166.5
-6.6	-12.0	-11.4
137.9	-110.7	2.2
151.6	-46.4	157.3

Chg. Q/Q Chg. Q/Q

%

40.4 8.4%

-11.3-23.5%

29.1 5.5%

41.3 11.0%

-3.2-21.4%

74.6 90.2%

112.7 23.8%

141.9 14.2%

41.0 -10.3%

-5.7	3.7%
-3.1	5.0%

32.2 -5.2%

174.1 44.9%

-61.3 23.3%

4.7 -93.8%

1. n.m.

1. n.m.

1. n.m.

133.2 n.m

-9.2 69.0%

-34.8 191.7%

1.0 64.0%

90.2 n.m

1. -4.5%

1. n.m.

1. n.m

2. 9M 2020 Performance Details 24

ADJUSTED P&L: DETAILS ON NON-RECURRING ITEMS

Reclassified income statement		9M 2020		9M 2020		One-off		Non-recurring items and
		adjusted
(in euro million)							extraordinary systemic charges
Net interest income		1,473.5		1,473.5		0.0
Income (loss) from investments in associates	107.1	107.1	0.0
carried at equity
Net interest, dividend and similar income		1,580.6		1,580.6		0.0
Net fee and commission income		1,234.6		1,234.6		0.0
Other net operating income		43.3		43.3		0.0
Net financial result		240.8		240.8		0.0
Other operating income		1,518.7		1,518.7		0.0
Total income		3,099.3		3,099.3		0.0
Personnel expenses	-1,173.9	-1,205.5	31.6		Covid- related savings
Other administrative expenses		-468.5		-468.5		0.0
Amortization and depreciation		-187.9		-185.5		-2.4		Adjustments on intangible assets
Operating costs		-1,830.3		-1,859.4		29.1
Profit (loss) from operations		1,269.0		1,239.8		29.2
Net adjustments on loans to customers		-800.6		-800.6		0.0
Profit (loss) on FV measurement of tangible assets	-5.7	0.0	-5.7		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

-8.3		-8.3		0.0
-6.7		-6.7		0.0
1.5	0.0	1.5		Real Estate gains
449.2		424.3		24.9
-61.5	-53.1	-8.4		Extraordinary fiscal items
-128.7	-110.5	-18.2		Additional contribution to Italian resolution fund
4.0		3.8		0.2		Other
263.1		264.4		-1.3
-29.9	-29.9	0.0
29.4	29.4	0.0
262.5		263.9		-1.4

2. 9M 2020 Performance Details 25

ADJUSTED 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

Net adjustments on other financial assets

Net provisions for risks and charges

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

9M 2019 adjusted

1,507.1

97.3

1,604.4

1,332.3

59.9

143.8

1,536.0

3,140.4

-1,259.5

-488.8

-197.0

-1,945.3

1,195.1

-558.0

4.2

-2.2

639.1

-153.3

-73.1

5.8

418.4

-11.0

-12.8

394.6

9M 2020 adjusted

1,473.5

107.1

1,580.6

1,234.6

43.3

240.8

1,518.7

3,099.3

-1,205.5

-468.5

-185.5

-1,859.4

1,239.8

-800.6

-8.3

-6.7

424.3

-53.1

-110.5

3.8

264.4

-29.9

29.4

263.9

Chg. Y/Y

-33.6

9.7

-23.8

-97.7

-16.6

97.0

-17.3

-41.1

54.0

20.3

11.5

85.8

44.7

-242.6

-12.4

-4.5

-214.8

100.2

-37.4

-2.0

-154.0

-18.9

42.2

-130.7

Chg. Y/Y

%

-2.2%

10.0%

-1.5%

-7.3%

-27.8%

67.4%

-1.1%

-1.3%

-4.3%

-4.2%

-5.9%

-4.4%

3.7%

43.5%

n.m.

n.m.

-33.6%

-65.4%

51.1%

-34.7%

-36.8%

n.m.

n.m.

-33.1%

2. 9M 2020 Performance Details 26

COMPREHENSIVE PROFITABILITY

• m

1. P&L NET INCOME
2. OTHER NET INCOME DIRECTLY ACCOUNTED TO EQUITY
   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	Q3 2019	Q1 2020	Q2 2020	Q3 2020		9M 2019	9M 2020
155.4	447.6	98.2	151.6	-46.4	157.3		701.2	262.5
110.5	13.5	159.2	-289.7	151.1	76.7		283.2	-61.9
91.5	64.3	126.0	-180.1	154.3	89.5		281.8	63.8
19.5	-31.9	26.3	-114.9	-5.4	-17.2		14.0	-137.5

A.+B.	COMPREHENSIVE NET INCOME	265.9 461.1 257.4		-138.1 104.7 234.0		984.5	200.6
	OF THE GROUP

2. 9M 2020 Performance Details 27

RECLASSIFIED BALANCE SHEET AS AT 30/09/2020

Reclassified assets (€ m)						Chg. y/y			Chg. YTD			Chg. in Q3
30/09/2019	31/12/19	30/06/20	30/09/20		Value	%		Value	%		Value	%
Cash and cash equivalents	808	913	838	806		-2	-0.2%		-107	-11.7%		-32	-3.8%
Loans and advances measured at AC	114,967	115,890	121,213	125,680		10,712	9.3%		9,790	8.4%		4,466	3.7%
- Loans and advances to banks	9,305	10,044	12,825	16,962		7,657	82.3%		6,917	68.9%		4,137	32.3%
- Loans and advances to customers (*)	105,662	105,845	108,389	108,718		3,055	2.9%		2,872	2.7%		329	0.3%
Other financial assets	39,548	37,069	43,885	46,954		7,406	18.7%		9,885	26.7%		3,069	7.0%
- Assets measured at FV through PL	8,428	7,285	9,075	10,548		2,120	25.2%		3,263	44.8%		1,473	16.2%
- Assets measured at FV through OCI	13,112	12,527	13,112	13,853		741	5.7%		1,326	10.6%		741	5.6%
- Assets measured at AC	18,008	17,257	21,698	22,553		4,545	25.2%		5,296	30.7%		855	3.9%
Equity investments	1,354	1,386	1,577	1,638		284	21.0%		252	18.2%		61	3.9%
Property and equipment	3,450	3,624	3,522	3,497		47	1.4%		-127	-3.5%		-25	-0.7%
Intangible assets	1,262	1,269	1,261	1,248		-14	-1.1%		-21	-1.7%		-12	-1.0%
Tax assets	4,827	4,620	4,628	4,618		-209	-4.3%		-1	0.0%		-10	-0.2%
Non-current assets held for sale and discont. operations	1,562	131	105	111		-1,451	-92.9%		-20	-15.4%		6	5.3%
Other assets	2,616	2,136	2,385	2,101		-515	-19.7%		-35	-1.6%		-284	-11.9%
Total	170,395	167,038	179,415	186,654		16,259	9.5%		19,616	11.7%		7,239	4.0%
Reclassified liabilities (€ m)	30/09/2019	31/12/19	30/06/20	30/09/20		Value	%		Value	%		Value	%
Due to banks	29,613	28,516	32,930	31,888		2,275	7.7%		3,372	11.8%		-1,042	-3.2%
Direct Funding	111,312	109,506	115,234	115,417		4,105	3.7%		5,910	5.4%		183	0.2%
- Due from customers	96,880	93,375	98,769	99,424		2,544	2.6%		6,049	6.5%		654	0.7%
- Debt securities and financial liabilities desig. at FV	14,432	16,131	16,464	15,993		1,561	10.8%		-138	-0.9%		-471	-2.9%
Debts for Leasing	753	733	682	672		-81	-10.7%		-60	-8.2%		-10	-1.4%
Other financial liabilities designated at FV	8,087	10,919	11,499	19,588		11,501	142.2%		8,669	79.4%		8,089	70.3%
Liability provisions	1,475	1,487	1,278	1,187		-288	-19.5%		-300	-20.2%		-91	-7.1%
Tax liabilities	543	619	612	638		94	17.3%		18	2.9%		26	4.2%
Liabilities associated with assets held for sale	50	5	4	3		-47	-94.9%		-3	-50.4%		-2	-40.0%
Other liabilities	6,997	3,366	4,942	4,804		-2,193	-31.3%		1,438	42.7%		-138	-2.8%
Minority interests	37	26	25	22		-15	-39.9%		-4	-15.5%		-3	-10.3%
Shareholders' equity	11,528	11,861	12,211	12,436		908	7.9%		575	4.8%		225	1.8%
Total	170,395	167,038	179,415	186,654		16,259	9.5%		19,616	11.7%		7,239	4.0%

Note: * "Customer loans" include the Senior Notes of the two GACS transactions and, as at 30/09/19, excludeProfamily non-captive portfolio classified

as discontinued operations (see Methoodological Notes).

30/09/2019 data are restated for the incorporation of the effects due to the change of the valuation criteria applied to the Group's properties and artworks starting from 31/12/2019.

2. 9M 2020 Performance Details 28

DIRECT FUNDING

Solid position confirmed in Core funding, with a strong further increase in core deposits Direct customer funding1 (withoutRepos)

€ bn										+10.3%
													+7.8%			117.4
		Capital-protected Certificates	106.5		108.9				114.4	3.1	3.3
											1.7
		Other						3.1	1.8	3.2			1.8	15.9
		14.4	1.9		16.11.6					16.4 1.7								1.6
		Bonds					1.8
		Time deposits	85.2		86.2				91.4						94.8		+€8.7bn YTD
		C/A & Sight deposits	(80.0%)		(79.1%)				(79.9%)						(80.8%)
(%) Share on total
30/09/2019	31/12/2019			30/06/2020		30/09/2020
			CHANGE	30/09/19		31/12/19	30/06/20	30/09/20	In % Y/Y			In % YTD			In % Q3
			C/A & Sight deposits	85.2		86.2	91.4		94.8			11.3%			10.1%			3.8%
			Time deposits	1.8		1.6	1.7		1.6			-10.8%			0.0%			-2.1%
			Bonds	14.4		16.1	16.4		15.9			11.1%			-0.7%			-2.8%
			Other	1.9		1.8	1.8		1.7			-11.8%			-5.7%			-7.8%
			Capital-protected Certificates	3.1		3.2	3.1		3.3			5.5%			2.3%			5.9%
			Direct Funding (excl. Repos)	106.5		108.9	114.4		117.4	10.3%			7.8%			2.6%

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 (€1.31bn at September 2020 vs. €7.98bn at September 2019), mainly transactions with Cassa di
Compensazione e Garanzia.	29
2. 9M 2020 Performance Details

BONDS OUTSTANDING: WELL DIVERSIFIED PORTFOLIO

Bonds Outstanding as at 30/09/2020

Nominal		17.3% Cap.-Protected
amounts	Covered		Certificates
	Bonds1		25.3% Senior
	32.4%	€19.9bn
	Preferred
€4.2bn, o/w: ~€1.8bn		3.8% Senior
not included in Own	21.3%	Non-preferred
Funds Phased-in, but
Subordinated
representing MREL-
eligible funding	(T1, AT1 and T2)

Wholesale bond issues since 2017

• Total bonds outstanding at €19.9bn
• Successful issuance activity in 2020, 68% of FY 2020 Wholesale bond maturities: AT1 in Jan. (€400m), Senior Non-Preferredin Feb. (€750m) and T2 in Sep. (€500m)
• Very manageable amount of wholesale bond maturities in Q4 2020 (€1.4bn) and FY 2021 (€2.4bn), considering the strong liquidity position (with unencumbered eligible assets at €22.1bn, highly exceeding total bonds outstanding)

Wholesale bond maturities

€ bn	Focus on Wholesale bonds issued in 9M 2020:	€ bn	2.4

2.40

1.751.65

0.50

FY 17 FY 18 FY 19 9M 20

68% of FY 2020 maturities		1.4		0.5
				€1bn Senior
	0.75				0.8
	0.50	maturities
0.40	0.7
	registered in 9M
				1.2
					0.7
Jan-20	Feb-20	Sep-20		Q4 2020	FY 2021
Senior Non Pref.	AT1	Tier 2	Senior Pref.	Subordinated	Covered Bonds

Managerial data based on nominal amounts.	2. 9M 2020 Performance Details	30
Notes: 1.	Include also Repos with underlying retained Covered Bonds.

BOND MATURITIES: LIMITED AND MANAGEABLE AMOUNTS

					Institutional bond maturities						Retail bond maturities
€ bn			3.75				€ bn												0.50
								2.43	2.50
								0.45
1.41
		0.77							0.12												0.50
0.71
		1.21	1.25														0.01
												0.11
					0.70
										0.01
					Q4 2020		FY 2021				FY 2022					Q4 2020			FY 2021	FY 2022
				Senior Pref.			Subordinated 1				Covered Bonds 2							Senior Pref.			Subordinated 1
					Aggregate senior &														Aggregate senior &
				subordinated in the period													subordinated in the period
					2020-2022: €4.6bn														2020-2022: €0.6bn

Managerial data based on nominal amounts, including calls.

Note: 1. With negligible impact on T2 Capital. See slide 43 for details. 2. Include also the maturities of Repos with underlying retained Covered Bonds: €0.45bn in 2021 and €0.50bn in 2022.

2. 9M 2020 Performance Details 31

SECURITIES: INCREASED WEIGHT OF THE AC PORTFOLIO

€ bn										30/09/19	31/12/19	30/06/20	30/09/20			Chg. y/y		Chg. YTD	Chg. in Q3
			Debt securities									34.2		31.2	38.3			39.9			16.5%		27.7%			4.2%
			Equity securities, Open-end funds & Private equity	2.2		2.5	1.6			1.9			-14.5%		-26.2%			19.5%
			TOTAL SECURITIES									36.4		33.8	39.9			41.8			14.6%		23.6%			4.8%
							Focus on Debt Securities: Evolution & Composition
€ bn									32.9		34.2		31.2		38.3				39.9
				31.6	30.2																		o/w: €3.0bn
		Debt securities
																																				at FVTPL
		o/w: Italian	26.7	20.7													21.7				23.9
		17.7		19.3
							15.5
		Govies
31/12/16	31/12/17	31/12/18		30/09/19	31/12/19	30/06/20			30/09/20

Classification

of Debt

Securities

	30/09/2019			30/09/2020
FVOCI				FVOCI
36.8%
			33.8%
€12.6bn			AC			AC	Italian Govies mainly
€34.2bn	€13.5bn	€39.9bn
	52.6%		56.5%	concentrated in the AC
			€18.0bn				€22.6bn	portfolio (see next slide)
	FVTPL	€3.6bn			FVTPL	€3.8bn	2. 9M 2020 Performance Details 32
	10.6%				9.7%

FOCUS ON GOVIES PORTFOLIO

Italian Govies at AC

Italian Govies at FVOCI

48% maturing by next year

Italian Govies at FVTPL

€ bn	+7.0% in Q3

10.9 10.0 13.8 14.8

• bn

+24.3% in Q3

5.9 4.6 5.0 6.2

• bn

+0.4% in Q3

2.5	2.9	3.0
	0.9

30/09/19	31/12/19	30/06/20	30/09/20	30/09/19	31/12/19	30/06/20	30/09/20
Duration in years1	3.3	2.9	Duration in years1	1.6	1.9

	Non-ITGovies at AC				Non-ITGovies at FVOCI
€ bn		-1.6% in Q3			€ bn
								-8.9% in Q3
5.6	5.7	6.2	6.1	4.1	4.4	4.8	4.4
30/09/19	31/12/19	30/06/20	30/09/20	30/09/19	31/12/19	30/06/20	30/09/20
Duration in years1	2.4	2.3			Duration in years1	3.1	2.6

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

30/09/19

31/12/19

30/06/20

30/09/20

Non-ITGovies at FVTPL

• bn

-3.0% in Q3

0.6 0.7 0.4 0.4

30/09/19 31/12/19 30/06/20 30/09/20

2. 9M 2020 Performance Details 33

FINANCIAL PORTFOLIO: NET FINANCIAL RESULT AND

RESERVES/UNREALISED GAINS

Net Financial Result

(excl. FV on Own Liabilities1)

€ m

157.3

82.7

0.8

Q1 20

Q2 20

Q3 20

• NFR at €157.3m in Q3 (against €82.7m in Q2 and €0.8m in Q1), strongly impacted by the positive valuation effect on the SIA stake (+€147m)

Reserves of Debt Securities at FVOCI

Unrealised gains on Debt Securities at AC2

Pre-tax, in € m

166

~€210m as at

Pre-tax, in € m

~€827m as at

31/10/20203

756

71

31/10/20203

520

545

32

Not included in the P&L

300

-198

results, but included in

Included neither in

31/12/19

31/03/20

30/06/20

30/09/20

the Capital Position

the P&L results, nor in

31/12/19 31/03/20

30/06/20 30/09/20

the Capital Position

Notes: 1. Impact from the change in FV on Own Liabilities (before tax) at +€206.0m in Q1 2020, -€165.4m in Q2 2020 and +€3.3m in Q3 2020. These amounts have been reclassified into a separate item after tax. 2. Debt Securities accounted at Amortised Costs are subject to a specific policy which sets dedicated limits to the amount of disposals allowed throughout the year. 3. Internal management data.

2. 9M 2020 Performance Details 34

SOLID LIQUIDITY POSITION: LCR AT 198% & NSFR >100%1

Eligible Assets2

• bn

Unencumbered

Encumbered with Repos & other

Other encumbered with ECB

TLTRO III

TLTRO II

TLTRO II completely reimbursed between March and June 2020

				63.4	64.0
54.0
				22.1
19.9		24.2
13.3		13.2	15.3
	4.0	0.5
		1.5
			26.5
			25.5
		15.3
31/12/19	30/06/20	30/09/20

• TLTRO III drawings:
• • €1.5bn in Dec. 2019
  • €2.0bn in March 2020
  • €22.0bn in June 2020
  • €1.0bn in September 2020

Up at €25.8bn

as at 31 Oct. 2020

OTHER UNENCUMBERED LIQUID ASSETS

• ~€5.4bn average Excess ECB deposits in 9M 20
• €2.2bn HQLA lent3
• €2.4bn Marketable securities (unencumb. non-eligible)
• Sizeable funding contribution also from long-term bilateral refinancing operations at €3.4bn euro (net of haircuts), with an average maturity of 1.5 years
• Still large potential room for TLTRO III, with maximum take-up of €35.7bn (+€9.2bn vs. current exposure)

Internal management data, net of haircuts.

Notes: 1. Monthly LCR (September 2020) and Quarterly NSFR (Q3 2020). 2. Includes assets received as collateral. 3. Refers to securities lending (uncollateralized high quality liquid assets).

2. 9M 2020 Performance Details 35

INDIRECT CUSTOMER FUNDING AT €88.4BN

					Assets under Management									Assets under Custody1
€ bn				58.3		+0.7%		+0.3%							€ bn
57.6					57.8 4.0				58.0
4.0	3.9				4.0								-3.7%
15.2			15.4			15.1				14.8									-0.5%
38.5			39.0			38.8				39.2				31.5	31.4	30.5		30.4
30/09/2019	31/12/2019		30/06/2020			30/09/2020				30/09/2019	31/12/2019	30/06/2020		30/09/2020
	Funds & Sicav		Bancassurance		Managed Accounts and Funds of Funds

• Total Indirect Customer Funding at €88.4bn, basically unchanged vs. 30/06/2020.
• Marginal increase in AUM (+0.3% q/q), mainly thanks to Funds e Sicav, which has compensated the slight decrease in Bancassurance.
• AUC almost stable in Q3; resilience in volume effect on a yearly-basis, being penalized by the price effect (-€1.8bn)

Management data of the commercial network. AUC historic data restated for managerial adjustments.

Note: 1. AuC data are net of capital-protected certificates, as they have been regrouped under Direct Funding (see slide 29).

2. 9M 2020 Performance Details 36

ANALYSIS OF PERFORMING LOAN PORTFOLIO

Customer loan (GBV) breakdown as at 30/09/20201

Staging evolution:

Other (Public Sector,

GACS Senior Notes

Performing Loans in 9M 2020

No-Profit, etc.)

2.2%

4.9%

GBV in € bn

Households

100.6

103.4

104.1

26.1%

€104.1bn

5.9%

6.6%

6.6%

Non-Financial

Financials

Corporates

10.7%

56.2%

31/12/2019

30/06/2020

30/09/2020

Performing portfolio: EAD by risk categories2

Stage 1

Stage 2

		31/03/2020			30/06/2020		30/09/2020
28.7% 26.3% 26.9%	35.8% 35.6% 36.3%	23.3% 24.2% 23.3%
									7.8%	8.5%	8.6%	4.4%	5.4%	5.0%
		Low	Medium-Low	Medium	Medium-High		High

September: 86.5%

June: 86.1%

March: 87.8%

Moderate impact of the Covid -

related crisis on the Performing Loan

portfolio in 9M 2020, thanks to a

range of external support measures

and bank-specific actions

Note: 1. GBV of on balance-sheet performing exposures. Financials include REPOs with CC&G. Internal management data. 2. Includes all performing customer loans subject to the internal rating process (AIRB). Based on 11 rating classes for rated performing loans.

2. 9M 2020 Performance Details 37

NET CUSTOMER LOANS

Satisfactory increase in Performing Loans, with new loans granted at €20.3bn in 9M 20201

Net Customer Loans2

€ bn				107,0			105.8				108.4		108.7
		NPE					6.0			5.5	5.4	5.1	-8.2% YTD
					101.1			100.3				103.0		103.6	+3.3% YTD
		Performing Loans
				30/09/2019	31/12/2019	30/06/2020		30/09/2020
												CHANGE
NET PERFORMING LOANS	30/09/19	31/12/19	30/06/20	30/09/20		In % y/y		In % YTD	In % q/q
Core customer loans	92.0	91.1	95.0	96.5		4.9%		6.0%		1.6%		Net Performing loans in Stage 2
- Medium/Long-Term loans	62.0	62.5	67.1	71.3		15.1%		14.1%		6.3%
- Current Accounts	11.2	10.5	9.4	8.5		-23.5%		-18.7%		-9.7%		at €6.6bn as at 30/09/20,
- Other loans	17.0	16.1	16.6	14.8		-12.6%		-8.1%		-10.9%		stable vs. 30/06/20
- Cards & Personal Loans	1.9	2.0	1.8	1.9		-3.7%		-6.6%		1.2%		(€5.7bn as at 31/12/19), with a
Leasing	1.0	1.0	0.9	0.9		-9.9%		-6.5%		-1.5%		coverage stable at 3.8%
Repos	5.5	5.7	4.7	3.9		-28.4%		-31.7%		-17.3%		(3.5% as at 31/12/19)
GACS Senior Notes	2.6	2.5	2.3	2.3		-12.3%		-9.0%		-2.7%
Total Net Performing Loans	101.1	100.3	103.0	103.6		2.5%		3.3%		0.6%

Notes: 1. Management data. See slide 11 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 30/09/19 are adjusted for the reclassification of the Profamily non-Captive loan portfolio (see Methodological Notes).

2. 9M 2020 Performance Details 38

ASSET QUALITY DETAILS

GROSS EXPOSURES	30/09/2019	31/12/2019	30/06/2020	30/09/2020	Chg. y/y		Chg. YTD		Chg. in Q3
€/m and %	Incl. Profamily				Value	%		Value	%		Value		%
Bad Loans	3,395	3,565	3,530	3,615	220	6.5%		50	1.4%		84		2.4%
UTP	6,949	6,424	6,159	6,076	-872	-12.6%		-347	-5.4%		-82		-1.3%
Past Due	131	98	150	100	-31	-23.4%		2	1.8%		-50		-33.1%
NPE	10,474	10,087	9,839	9,791	-683	-6.5%		-296	-2.9%		-48		-0.5%
Performing Loans	101,438	100,631	103,431	104,064	2,626	2.6%		3,433	3.4%		633		0.6%
TOTAL CUSTOMER LOANS	111,912	110,718	113,269	113,855	1,942	1.7%		3,137	2.8%		585		0.5%
NET EXPOSURES	30/09/2019	31/12/2019	30/06/2020	30/09/2020	Chg. y/y		Chg. YTD		Chg. in Q3
€/m and %	Incl. Profamily				Value	%		Value	%		Value		%
Bad Loans	1,488	1,560	1,549	1,532	44	3.0%		-28	-1.8%		-17		-1.1%
UTP	4,373	3,912	3,739	3,480	-893	-20.4%		-432	-11.0%		-258		-6.9%
Past Due	107	73	111	78	-29	-26.7%		5	7.4%		-33		-29.6%
NPE	5,968	5,544	5,399	5,091	-877	-14.7%		-454	-8.2%		-309		-5.7%
Performing Loans	101,072	100,301	102,989	103,627	2,555	2.5%		3,326	3.3%		638		0.6%
TOTAL CUSTOMER LOANS	107,040	105,845	108,389	108,718	1,678	1.6%		2,872	2.7%		329		0.3%
					Data refer to Loans and advances to customers
COVERAGE	30/09/2019	31/12/2019	30/06/2020	30/09/2020
measured at Amortized Cost, including also the GACS
%	Incl. Profamily
			Senior Notes.
Bad Loans	56.2%	56.2%	56.1%	57.6%
UTP	37.1%	39.1%	39.3%	42.7%	Data as at 30/09/19 are adjusted for the reclassification
Past Due	18.2%	25.9%	25.6%	21.8%
of the	Profamily	non-Captive loan	portfolio	(see
NPE	43.0%	45.0%	45.1%	48.0%
Methodological Notes).
Performing Loans	0.36%	0.33%	0.43%	0.42%
TOTAL CUSTOMER LOANS	4.4%	4.4%	4.3%	4.5%
								2. 9M 2020 Performance Details	39

NPE FLOWS

Inflows to NPEs

'Default'

€ m

934	722

						261	308	153
	9M 19		9M 20		Q1		Q2	Q3
						20	20		20

Outflows to Perf. Loans

'Cure'

€ m

265
		179			81	43	55
	9M 19		9M 20		Q1		Q2		Q3
						20	20	20

Flows from UTP to Bad Loans

'Danger'

• m

676

372

					178		111
									83
	9M 19		9M 20			Q1	Q2		Q3
					20		20	20

• 9M 2020 shows an improvement in inflows to NPEs as well as in flows from UTP to Bad Loans vs. 9M 2019
• The challenging macroeconomic scenario has impacted mainly the outflows to performing loans

2. 9M 2020 Performance Details 40

IMPROVING TREND IN ASSET QUALITY

Gross NPEs: -€20.2bn vs. YE 2016, o/w: -€1.7bn in 2019 and an additional -€0.3bn in 9M 2020

• bn

30.0

Down to ~€8.6bn

post Django & Titan

disposals

11.8	-0.6	+1.2	-2.3	+0.7	-1.0
			10.1	9.8

31/12/16	31/12/18	Bad Loan	Inflows from	Cancellations, 31/12/19	Inflows from	Cancellations, 30/09/20
IAS 39	1		portfolio	Performing	Write-offs,	Performing	Write-offs,
		disposals		Recoveries,		Recoveries,
					Cure & Other		Cure & Other

Note: 1. Includes a restatement for managerial purposes (inclusion of a portion of write-offs, in coherence with the restatement done in 2017).

2. 9M 2020 Performance Details 41

UTP LOANS: HIGH SHARE OF RESTRUCTURED & SECURED POSITIONS

UTP analysis

Breakdown of Net UTPs

€ bn		Down to ~€5.1bn	Unsecured
-5.4% YTD	post Django		Secured
		disposal		(%)	Composition
6.4	6.1
2.5	2.3	2.6	3.5	0.9
(39%)	(38%)
3.9				(25%)	2.6
3.8
(61%)
(62%)				(75%)
GBV	GBV	Adjustments	NBV	Unsec.	Sec.
31/12/19	30/09/20
Coverage ratio:	42.7%			62.1%	30.9%

€ bn	31/12/19	30/09/20
Restructured	1.7	1.6
- Secured	0.9	1.0
- Unsecured	0.8	0.6
Other UTP	2.2	1.9
- Secured	1.9	1.6
- Unsecured	0.3	0.3
	3.9	3.5
o/w:
- North	72.6%	72.5%
- Centre	20.9%	20.5%
- South, Islands	6.5%	7.0%
& not resident

% Chg.
-5.8%
8.9%
-22.2%
-14.4%
-14.1%
-16.4%
-11.0%

UTP Coverage: +7.7p.p. since YE 2018

					Post Django
	37.1%	39.1%	39.3%	42.7%	disposal, expected
35.0%		to return broadly in
				line with previous
					quarters
31/12/2018	30/09/2019	31/12/2019	30/06/2020	30/09/2020

• Solid level of coverage for unsecured UTP: 62.1%
• Net unsecured UTP other than Restructured loans are limited to €0.3bn
• 93% of Net UTPs are located in the northern & central parts of Italy

2. 9M 2020 Performance Details 42

CAPITAL POSITION: STRONG RATIOS & BUFFERS

Further strengthening in ratios and buffers: well positioned to face the tough scenario

Fully Loaded Capital Ratios: evolution

Phase-In Ratios

%
TOTAL	15.6%	16.1%	16.3%			17.8%	17.1%	19.3%	18.6%
TIER 1	13.3%	14.0%	14.4%			15.2%	14.6%	16.7%	16.1%
			13.3	+23bps	+56bps	14.1	13.6	15.4	14.9
	12.8	12.9
CET 1
	31/12/2019	31/03/2020	30/06/2020	FVOCI	Q3 Performance	30/09/2020	30/09/2020	30/09/2020	30/09/2020
				Reserves	& AT1 coupon	Stated	Adjusted 2	Stated	Adjusted 2

	Capital Buffers as at 30/09/20201		 Solid CET 1 ratios, with an improvement even
	On Stated ratios	On Adjusted ratios
		on an Adjusted basis (i.e. including regulatory
	MIN. REQ. on CET1	MDA BUFFER	MIN. REQ. on CET1	MDA BUFFER		headwinds expected in Q4 2020): at 13.6% FL
		and 14.9% Phased-in
Phased-in	+704bps	+639bps	+648bps	+572bps		Adjusted MDA buffers stand at +414 bps FL
						and +572 bps Phase-in, confirming the
						Group's solid capital position
Fully Loaded	+558bps	+475bps	+508bps	+414bps	 Leverage ratio as at 30/09/2020 at 5.4% on a
						phase-in and at 5.0% on a fully loaded basis

Note: 1. Buffers calculated with the application of the CRD V rules. 2. Adjusted ratios include the regulatory headwinds
expected in Q4 2020 in relation to Operational and Market risks (for a total of -50bps), while the MDA buffer on the Adjusted	43
Total Capital Ratios includes also the maturity, in November 2020, of a T2 instrument, with a very limited residual recognizable

amount of €14m.

CAPITAL POSITION IN DETAIL

		PHASED IN CAPITAL	31/12/19	31/03/20		30/06/20		30/09/20
		POSITION (€/m and %)
		CET 1 Capital	9,586	9,449			9,585			9,785
		T1 Capital	10,017	10,253			10,388			10,589
		Total Capital	11,542	11,636			11,676			12,253
		RWA	65,841	65,435			65,090			63,381
		CET 1 Ratio	14.56%	14.44%			14.73%			15.44%
		AT1	0.66%	1.23%			1.23%			1.27%
		T1 Ratio	15.21%	15.67%			15.96%			16.71%
		Tier 2	2.32%	2.11%			1.98%			2.63%
		Total Capital Ratio	17.53%	17.78%			17.94%			19.33%
	FULLY PHASED CAPITAL	31/12/19 31/03/20			30/06/20			30/09/20
	POSITION (€/m and %)
	CET 1 Capital	8,453	8,423			8,692			9,006
	T1 Capital	8,754	9,122			9,390			9,704
	Total Capital	10,280	10,506			10,679			11,369
	RWA	65,856	65,353			65,317			63,869
	CET 1 Ratio	12.84%	12.89%			13.31%			14.10%
	AT1	0.46%	1.07%			1.07%			1.09%
	T1 Ratio	13.29%	13.96%			14.38%			15.19%
	Tier 2	2.32%	2.12%			1.97%			2.61%
	Total Capital Ratio			15.61%		16.08%			16.35%			17.80%

	RWA COMPOSITION	31/12/19		31/03/20		30/06/20	30/09/20
	(€/bn)
	CREDIT & COUNTERPARTY	57.7		56.9		56.9	55.0
	RISK
	of which: Standard	29.3		29.1		29.1	29.0
	MARKET RISK	1.9
		2.3		2.0	2.2
	OPERATIONAL RISK	6.0
		6.0		6.0	6.0
	CVA	0.2
		0.2		0.2	0.2
	TOTAL	65.8		65.4		65.1	63.4
	RWA COMPOSITION	31/12/19		31/03/20		30/06/20	30/09/20
	(€/bn)
	CREDIT & COUNTERPARTY	57.7		56.9		57.1	55.5
	RISK
	of which: Standard	29.3		29.1		29.3	29.5
	MARKET RISK	1.9		2.3		2.0	2.2
	OPERATIONAL RISK	6.0		6.0		6.0	6.0
	CVA	0.2		0.2		0.2	0.2
	TOTAL	65.8		65.4		65.3	63.9

Note: 2020 data include also the Net Income of the pertinent quarters.	2. 9M 2020 Performance Details	44

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

[e-mail](IR Section)

45