Banca Monte dei Paschi di Siena S p A : BMPS 1Q20 Results

BMPS 1Q20 Results

7 May 2020

Highlights of 1Q20 Results

Pre-provision profitCost of riskNet income

EUR 181mln

EUR 315mln

c. 60bps

EUR -244mln

BANKING INDUSTRY

Ordinary component

NII: essentially stable net of "calendar effect"

of whichEUR 193mln

c. 83bps

Includingnon-operating costs for

Fees: strong WM performance before Covid-19

additional provisions related to

EUR 112mln. Quarterly

Costs: constantly under strict control

the impact of more adverse

Including additional

reassessment of DTAs from fiscal

macroeconomic forecasts*

provisions

losses prudentially not booked

Gross NPE ratio

CET1

Liquidity indicators

11.8%

13.6%(transitional)

>150% LCR

(vs 12.4% in Dec-19)

11.9%(fully loaded)***

11.1%(EBA definition)**

>100% NSFR

BANKING INDUSTRY

Net NPE ratio

Total Capital

EUR 21.7bn

16.2%

(transitional)

6.4%

Unencumbered Counterbalancing Capacity

14.5%(fully loaded)***

(c.16% of total assets)

• In analogy with what had already been done in 1Q19, additional provisions for c. EUR 193 million prudentially booked

in the quarter to account for the updated macroeconomic scenario, which anticipates a cumulative 3.4% drop in GDP in 2020-21. See slide 17.

** As per EBA guidelines, ratio between gross impaired loans to customers and banks, net of assets held for sale, and total	2
gross loans to customers and banks, net of assets held for sale. As at 31 December 2019 the ratio stood at 11.3%.

*** Ratios calculated considering the full deduction of IFRS9 FTA.

Covid-19 immediate response

Smart working:

• 90% of staffable to promptly & efficiently work from home, thanks to extensive investments in IT infrastructure and security. Weekly average of employees working remotely surpassing 85%
• Corporate VPN perimeter greatly strengthened and expanded (peaks of c.19,000 remotely connected usersreached)
• Daily updateson new national and

corporate	rules, FAQs	and	live
streaming	meetings	with	top
management

Branch access & digital channel drive:

• Only1.6% of branches closed during pandemic
• Since mid March,branches open 3 mornings a week, accessible by appointment, with new health protection
  protocols introduced*. Ongoing contact with clientsBANKINGthroughINDUSTRYdigital channels
• Digital Retail Bankingtransactions increased from 25% in 2019 to 40%
• ATM deposit transactionsincreased from 55% to over 60%
• Web Collaboration increased 10x(>10k online deals in April vs. <1k in January and February), thanks to extension to Affluent market in addition to Private

Sustaining the economy:

• Timely rollout of financial relief measuresintroduced by the government**: moratorium and guarantees
• Launch ofad-hoc initiatives
• Helping clients access relief measures: dedicated area on the Bank's website, providing information and forms needed to activate public and BMPS financial relief measures,Covid-19toll-freenumber
• Free offer of 1,200 vouchers to access
  "UGO" caregiving services***
• AXA MPShospitalisation allowance doubled for insurance holders

Standing by our customers, protecting our employees and safeguarding business continuity

*	Starting from May 5th, the 1,100 largest branches are open all day, five days a week; 300 more branches are open all
	day, three days a week. Access to all branches only by appointment, to ensure smooth operations and social distancing.	3
**	Law Decrees no. 18 of 17 March 2020 ("Decreto Cura Italia") and no. 23 of 8 April 2020 ("Decreto Liquidità ").
*** UGO start-up won the 2019 Officina MPS competition. At the beginning of the Covid-19 lockdown, its caregiving

services were extended from Milan to Florence and Siena.

Supporting the economy - Moratorium

Moratorium

• c. 90k moratorium applications received, for a total GBV of EUR 10.2bn
• c.25% applications pertain to GMPS ad-hoc initiatives, mainly in favour of households
• Good quality customers applying for moratorium: only 7% of retail portfolio and 15% of corporate portfolio classified as High risk**
• Loans suspended in the framework of"Covid-19" relief measures are not automatically classified as "forborne"(no automatic migration between risk stages) but are clearly identified for monitoring purposes
• The automatic classification as NPEs of past due forborne exposures has been temporarily suspended
• Early warning detection systemactivated on allCovid-19relief measures, including new indicators of potential financial difficulties

Applications received*

Applications Exposure

1. (€/bn)

Total	90k	10.2
Corporates	48k	6.1	c. 15%
High risk portfolio**
% on total	c. 30 %	c. 21%
corporate portfolio
Households	42k	4.1	c. 7%
High risk portfolio**
% on total	c. 4%	c.13%
household portfolio

*	Figures related to MPS Group. Latest update: 30 April 2020 for MPS and 24 April 2020 for subsidiaries.	4
**	High Risk portfolio: portfolio with average PD >8%, included in stage 2 bucket.

Supporting the economy - Guarantees

Guarantees

• New facilities introduced by the "Cura Italia" and "Liquidità" decrees* are entering in thedecision-making framework, being factored into strategies and credit standards
• The intensified use of loans guaranteed by the SME Fund and by SACE, which entail reduced RWAs and cost of credit, will allow the Bank to provide greater liquidity to businesses

Applications received**

• Applications for loans up to EUR 25k, 100% guaranteed by Fondo Garanzia Imprese***:

Applications Exposure

1. (€/bn)

c. 6%

21.8k0.45market share on application sent

to MCC

c. 12 %

High risk portfolio****

• Granting process started for other forms of guaranteed loans (loans 90% guaranteed by Fondo Garanzia Imprese, loans to tourist sector, debt renegotiations, …)

*	See Annex for guarantee schemes introduced by Government with "Cura Italia" and "Liquidità" decrees.
5
**	Latest update: 4 May 2020.
***	Liquidità decree, art 13 par 1m.
****High Risk portfolio: portfolio with average PD >8%, included in Stage 2.

Good commercial performance before Covid-19 crisis

Wealth management gross inflows* (€/mln)

1,278	1,332	978
840	818	616	872
	449
Jan	Feb	Mar	April
2019	2020

New mortgage flows** (€/mln)

698	637	600
	546		541
496	520	521
Jan	Feb	Mar	April
2019	2020

Good performance in the first months of the year, confirming franchise solidity

Positive commercial dynamics in 1Q20:

✓WM gross flows at EUR 3.2bn, c. +22% YoY and +8% QoQ, driven by WM product placement

✓New mortgage flows at EUR 1.9bn, +13% YoY and c. -5% QoQ

BANKING

• Covid-19impacts: March and April flows show a slowdown due to implemented lockdown measures and to the volatility of the financial markets on WM product placements

Current accounts & time deposits (€/bn)

64.1	65.6	68.7
Mar-19	Dec-19	Mar-20

Market confidence restored despite the Covid-19 crisis

Commercial direct funding:positive quarterly trend (current accounts

BANKING

and time deposits increased by c. EUR 3.1bn vs. Dec-19 and by c. EUR 4.7bn vs. Mar-19), also sustained by higher preference of clients for

liquid products considering current emergency

*	Bancassurance + pension funds + mutual funds/sicav + individual portfolios under management.	6
**	New mortgage flows: closings.

Widiba's first quarter 2020: no impact from Covid-19

Bank's, current Customers' and Advisors' activities did not come to a halt, showing on the contrary

anincrease throughout all business fields vs. the same period of last year

Transactional

First quarter 2020 characterised

Platform

Banking

Investments*

by

Covid-19

impact,

but

no

Business

(#/mln)

+32%

(#/mln)

+13%

(#/k)

+80%

setbacks

on

business

or

Continuity

6.8

4.7

209.9

innovation

5.2

4.2

116.6

As a native Digital Bank, Widiba

YTD

YTD

YTD

YTD

YTD

YTD

kept on working by means of

April '19

April '20

April '19

April '20

April '19

April '20

100% paperless processes with

(*) Advisory + execution

smart

working

&

remote

advisory

enabled

for

all

The innovation plan remains the main focus of the Bank, despite the contingency,

employees

and

financial

with relevant features for customers and advisors launched during the Covid-19 pandemic

advisors

In

April

the

acceleration

Open Banking

Mobile Platform

Robo for Advisor

continues throughall economic

Innovation

Connection with other banks completed

Technology and user experience

Fully digital transactions in place

and maincommercial metrics:

andmulti-account solution launched

upgraded,with the launch of the

for Widiba Advisors,

Continuity

newconversational tool

includinginsurance products

✓c.EUR +230mln net direct and

indirect flows YTD

✓c.EUR +20knew customers

YTD

7

Solid capital ratios, above regulatory requirements

CET1 ratio (%)

Buffer

Total Capital ratio (%)

Buffer

c. 475bps

c.257bps

vs. amended

16.7

vs. SREP

SREP

14.7

16.2

13.6

14.7

14.5

12.7

11.9

SREP:

10.14%

13.64%

Original SREP

8.83%

New SREP with art. 104 relief

measures on P2R

Dec-19

Mar-20

Dec-19

Mar-20

Transitional CET1

Fully-loadedIFRS9-FTA

Transitional TC

Fully-loadedIFRS9-FTA

• Solid capital ratios, with buffers above 2020 SREP Overall Capital Requirements
• Capital relief from amendments to SREP decision and flexibility on capital requirements/RWA for Covid 19 crisis:
• • Buffer at c. 475bps following the anticipated application of CRD V art. 104 (c. 344bps vs. original SREP)
  • Buffer at c. 725bps including flexibility on CCB
  • Expected impact from TRIM/update models (c. EUR 3bn RWA increase*) postponed to end 2020/beginning 2021
• Quarterly trend mainly impacted by thephase-in of the IFRS9 FTA, 1Q20 net result, worsened FVTOCI reserves affected by spread widening for Covid-19 crisis and increase in RWA mainly due to credit risk

* MPS internal estimates, to be confirmed by ECB.	8

Funding & Liquidity

Main	Counterbalancing		LCR
Capacity
liquidity
EUR 21.7bn		>150%
indicators
(c. 16% of total assets)

Main events of the quarter:

Access to wholesale funding market:EUR 400mln T2 bonds(Jan-20)

• + EUR 750mln senior bonds (Jan-20)

• Complete reimbursement of Government Guaranteed Bonds (GGBs)matured in January (EUR 4bn) and March (EUR 4bn). Expected positive contribution to P&L for c. EUR 140mln per year, coming from the savings on fees paid for the State guarantee and for coupons, plus reduced liquidity excess
• Covid-19impact:no impact in Q1 on liquidity position and indicators:

• Credit lines: to date, negligible impact in the use of credit lines for non- financial companies (almost stable). Probable increased drawing over coming months is expected to be matched by positive components (i.e. increased value of counterbalancing for reduction of ECB haircuts)
• Direct funding: commercial direct funding in retail segment sustained by higher preference of clients for liquid products (current accounts and time deposits) considering strong financial market volatility

NSFR	All liquidity indicators
well above requirements
>100%	after reimbursement of

EUR 8bn GGBs in 1Q20

Funding strategy:

In the coming months, the funding strategy will be designed and adapted according to the evolution of the scenario:

• Bond issues:will be planned or postponed, depending on primary market conditions
• TLTRO III:use may be increased, compared with original plans, considering that maximum available amount for BMPS has been increased to c. EUR 26bn (vs. previous limit of c. EUR 16bn)
• LTRO:New LTROs and Pandemic Emergency LTROs (PELTROs) will be drawn according to needs and positive impact on NII

Actions will be designed so as to be neutral or positive on liquidity position and LCR/NSFR

9

Agenda

• 1Q20 Results
• Details on 1Q20 Results
• Annex

10

1Q20 P&L: highlights

P&L(€/mln)	1Q19	2Q19	3Q19	4Q19		1Q20
Net Interest Income	409	404	355	333		327
Fees and commissions	359	364	356	371		370
Financial revenues*	45	77	141	151		39
Other operating income/expenses**	-8	-63	-11	2		-6
Total revenues	804	782	840	857		729
Operating costs	-569	-577	-549	-594		-548
Pre-provision profit	235	205	291	263		181
Total provisions***	-144	-110	-139	-194		-316
Net operating result	91	95	152	69		-135
Non-operating items	-114	-60	-70	-109		-112
Profit (Loss) before tax	-23	35	82	-40		-246
Tax expense/recovery	57	34	13	-1,179		4
PPA & other items	-6	-4	-1	-1		-1
Net income (loss)	28	65	94	-1,220		-244
					*

**

***

• Pre-provisionprofit at EUR 181mln:
• • NII impacted by ongoing pressure on lending (lower average volumes and asset spread) and increased cost of wholesale funding for the bonds issued inJan-20
  • Fees & commissions almost stable QoQ, despite the sharp reduction in placement flows which occurred progressively in March as a result ofCovid-19, thanks to the sustained activity in the first months of the year and to the lower cost of State guarantee following the reimbursement of GGBs
  • Ongoing reduction of operating costs
• Cost of risk at 83bps,affected by the changed macroeconomic scenario emerging from the spread of the pandemic; ordinary cost of risk at c. 60bps
• Net result at EUR-244mln,including non-operating costs for EUR 112mln. Quarterly reassessment of DTAs from fiscal losses prudentially not booked

Starting from 1Q20, the portion relating to loans to customers of P&L items 100a, 110b, 130a and 140, plus item 200a, have been traced back to a single aggregate called «Cost of customer loans», with main impacts on items «Financial revenues», «Total provisions» and «Non-operating items». 2019 figures were restated to ease the comparison of the Group's performance results. (See Annex)

Financial revenues include: dividends/income from trading investments, net result from trading/hedging, gains/losses on disposals/repurchases, net result from financial assets/liabilities at FVTPL.

2Q19 includes EUR -49mln costs for the unwinding of the Juliet servicing agreement.

Includes the new item "Cost of customer loans" (see Annex), provisions on securities at amortised cost and FVTOCI,	11
and provisions on loans to banks.

Net Interest Income
						Net interest incomedown by 1.9% QoQ, mainly impacted by:
	Net Interest Income (€/mln)					▪persisting pressure on asset margins
							▪slightly decreased average loan volumes (EUR -0.7bn in the
	409	404					quarter)
						▪increased cost of wholesale funding, ascribable to institutional
			355		-1.9%
			333		bonds issued in January 2020, only partially offset by the
				327
						reimbursement of GGBs
Commercial
392	383	362	355	345		▪"calendar effect": 1 less day in 1Q20 than in 4Q19 (EUR -4mln)
NII* (€/mln):
	1Q19	2Q19	3Q19	4Q19	1Q20		Commercial rates spreadstable QoQ, with a simultaneous marginal
							decline in lending rates and cost of funding

Spread** (%)
2.32	2.26	2.17	2.13	2.12
2.00	1.94	1.86	1.84	1.84
0.32	0.32	0.31	0.29	0.28
1Q19	2Q19	3Q19	4Q19	1Q20

Quarterly avg commercial lending rate		Quarterly avg commercial funding rate		Spread

Average rates on new mortgage flows**

	1Q19	2Q19	3Q19	4Q19	1Q20
Households	2.4%	2.0%	1.6%	1.7%	2.1%
Small businesses	2.9%	3.0%	2.8%	2.5%	2.4%
Corporates	1.9%	1.9%	2.1%	1.5%	1.3%
Total	2.3%	2.2%	1.8%	1.8%	1.8%

* Net interest income on commercial loans to customers and on commercial direct funding.	12

** Figures from operational data management system.

Fee and Commission Income

Fees (€/mln)
			+3.1%
	359	364		371	-0.3%	370
	356
	1Q19	2Q19	3Q19	4Q19		1Q20
of which
GGB	-23	-24	-24	-24		-13
commissions:

				1Q20	1Q20
€/mln	1Q19	4Q19	1Q20	vs.	vs.
				4Q19	1Q19
Wealth Management fees:	155	166	174	4	.6%	11	.7%
WM Placement	49	53	63	18.6%	27.8%
Continuing	85	89	88	-0.9%	4.0%
Custody	10	9	10	18.2%	-1.1%
Protection	11	15	12	-21.2%	10.8%
Traditional Banking fees:	246	260	228	-12	.5%	-7	.5%
Credit facilities	119	126	107	-15.1%	-10.2%
International business	12	11	13	10.5%	1.9%
Payment services and client	115	123	108	-11.9%	-5.7%
expense recovery
Other	-43	-55	-31	-43	.1%	-26	.6%
TOTAL NET FEES	359	371	370	-0	.3%	3	.1%

Net fees and commissionsalmost stable QoQ and increased by 3.1% vs. 1Q19 despite sharp slowdown in operations linked to Covid-19 pandemic:

• WM fees increase, sustained by the significant placement flows observed in the first months of the year
• Traditional banking fees trend impacted by lower income from Compass and from payment services (which had benefited from typicalend-of- year movements in 4Q19)
• Reduced cost of State guarantee resulting from the reimbursement of Government Guaranteed Bonds (EUR 4bn in January and EUR 4bn in March)

13

Financial Revenues*

Dividends/Income from investments (€/mln)

1Q19 2Q19 3Q19 4Q19 1Q20

Dividends/Income from investments	16	27	37	15	12

Trading/Disposal/Valuation Hedging of Financial Assets (€/mln)

1Q19 2Q19 3Q19 4Q19 1Q20

Net result from trading/hedging	36	23	31	-8	-25

Dividends, similar income and gains (losses) on equity

investmentsinclude the contribution from the joint venture with

AXA

Trading/disposal/valuation/hedging of financial assets/others:

▪EUR -25mln from trading/hedging, mainly due to MPS Capital

Services results, impacted by the unfavorable financial

markets context. MPS Capital Services Govies portfolio has

shown an increase in Italian Govies at FVTPL in the quarter

Gains/losses on disposals/repurchases

Net result from financial assets/liabilities at FVTPL

Total

6	13	91	8	52
-13	15	-19	136	0
29	50	104	135	27

▪EUR	+52mln	positive	results	from	gains	on
disposals/repurchases, mainly generated (c. EUR +49mln) by
recomposition of Govies portfolio in the Banking Book
▪Nil net result from financial assets/liabilities at FVTPL. 4Q19
impacted by the revaluation of financial assets (Sorgenia and

Starting from 1Q20, the portion relating to loans to customers of P&L items 100a, 110b, 130a and 140, plus item 200a, have been traced back to a single aggregate called «Cost of customer loans», with main impacts on items «Financial revenues», «Total provisions» and «Non-operating items». 2019 figures were restated to ease the comparison of the Group's performance results. (See Annex)

Tirreno Power)

* The item includes: Dividends/income from trading investments, Net result from trading/hedging,	14
Gains/losses on disposals/repurchases, Net result from financial assets/liabilities at FVTPL.

Operating Costs

Operating Costs (€/mln)
		-3.6%
	577		594	-7.7%
569	549	548
1Q19	2Q19	3Q19	4Q19	1Q20

• Operating costsfor 1Q20 decrease by c. EUR 46mln (-7.7%) QoQ and by c. EUR 21mln (-3.6%) YoY
• • Personnel expensesincrease by 1.2% QoQ due to collective labour agreement renewal effects; on a yearly basis, 3.2% decrease driven by personnel exits (mainly through the Solidarity Fund in Mar/May-19 and for the deconsolidation of MP Belgio in Jun-19)
  • Other admin expensesare lower than 4Q19, when they had been affected by seasonality, and down by -2.4% compared to 1Q19
  • Depreciation & Amortisationdecreases in the quarter by c. EUR 14mln, mostly for lower impairments

Personnel Expenses (€/mln)

Other Admin Expenses (€/mln)

369	357	354	352	357	140	152	137	172	136
		-20.8%
			+1.2%
1Q19	2Q19	3Q19	4Q19	1Q20	1Q19	2Q19	3Q19	4Q19	1Q20

Depreciation & Amortisation (€/mln)
61	68		69
	57	-20.0%56
1Q19	2Q19	3Q19	4Q19	1Q20

FTEs* 22.5K	22.2K	22.2K	22.0K	22.1K	Branches 1,529	1,529	1,529	1,422	1,421
				-1.9%					-7.1%
				YoY					YoY

* The number of FTEs refers to the effective workforce and therefore does not include employees who were seconded	15
outside of the Group's perimeter.

Cost of Risk & Coverage

Cost of Customers loan* (€/mln)

315

Cost of Risk (bps)

192

83

144

110

137

70

63

64

73

c.

60bps

net of

additional

provisions for

new scenario

1Q19

1H19

9M19

FY19

1Q20**

1Q19

2Q19

3Q19

4Q19

1Q20

Non-performing Exposures Coverage (%)

	Mar-19	Dec-19	Mar-20
Bad Loans	61.3	53.6	54.5
(sofferenze)
Unlikely-to-Pay Loans	45.3	43.4	44.3
Past Due Loans	17.4	23.5	25.4
Total NPEs	53.3	48.7	49.6

Cost of customer loans at EUR 315mln for the quarter,
prudentially including c. 193mln of additional provisions
related to update macroeconomic scenario post Covid-19 (see
next slide)
Ongoing reduction of Gross NPE ratio: 11.8% (vs. 12.4% in
Dec-19), with NPE stock down from EUR 11.9bn in Dec-19
to EUR 11.6bn. Net NPE ratio at 6.4% (6.8% in Dec-19)
* Starting from 1Q20, the portion relating to loans to customers of P&L items 100a, 110b, 130a and 140,
plus item 200a, have been traced back to a single aggregate called «Cost of customer loans», with main
impacts on items «Financial revenues», «Total provisions» and «Non-operating items». 2019 figures were	16
restated to ease the comparison of the Group's performance results. (See Annex)
** Net loan loss provisions since the beginning of the period (annualised ordinary component + extraordinary

component)/end-of-period loans.

Focus on Cost of customer loans: Covid-19 impacts

Cost of risk affected by the downward revision of GDP growth estimates induced by the changed macroeconomic scenario emerging from the spread of Covid-19 (expected c. 3.4% cumulative drop in GDP in 2020-21).

(€/mln)	1Q20
Extraordinary reassessment of loans to include	193
macro scenario update for Covid-19 crisis
o.w. additional provisions on PE portfolio	119
o.w. additional provisions on NPE portfolio	74
Ordinary cost of customer loans	122
Total cost of customers loans 1Q20	315

PE portfolio:prudentially, performing loan portfolio revised ahead of publication of ECB scenario expected by June and full implementation of national economic relief measures (moratorium and guarantees). Worsening scenario lead to a migration of EUR 1.7bn from Stage 1 to Stage 2.

	Cost of credit	Exposures	Coverage pre-	Exposures	Coverage
PE portfolio	impact	pre-update	update	post-update	post-update
	(€/mln)	(€/bn)	(%)		(€/bn)	(%)
Stage 1	15	74.7	0.10%		73.0	0.12%
Stage 2	104	11.9	3.36%		13.6	3.70%
Total	119	86.5	0.54%		86.5	0.68%

NPE portfolio:reassessment of portfolio subject to statistical evaluation(c. 35% of total loan book GBV)

	Cost of credit	Exposures subject	Coverage pre-	Coverage post-
NPEs	impact	to update	update	update
	(€/mln)	(€/bn)	(%)	(%)
Past due	1	0.1	25.68%	26.71%
UTP	51	1.6	34.30%	37.47%
Bad loans	22	3.3	42.06%	42.74%
Total	74	5.0	39.17%	40.66%

Review of the remaining part of the NPE portfolio, subject to analytical assessment, will be carried out in 2020 based on the analysis of debtors' situations at the time

17

Asset Quality Migration Matrix

NPE Inflows from Performing* (€/bn)

Default rate

1.1% vs. 1.4% FY19

0.3	0.3	0.3	0.3	0.2
1Q19	2Q19	3Q19	4Q19	1Q20

Migration from UTPs/PDs to Bad

Loans* (€/bn)				Danger rate
				15.7%
				vs. 8.8% FY19
0.3	0.2	0.2	0.1	0.2

1Q19

2Q19

3Q19

4Q19

1Q20

NPE Outflows to Performing* (€/bn)

Cure rate

6.4%

vs. 10,1% FY19

			0.5
0.2	0.1	0.1		0.1
1Q19	2Q19	3Q19	4Q19	1Q20

Cash recovery of Bad Loans* (€/mln)

Recovery rate

4.1% vs. 7.3% FY19

			240
71	99	145	111	65
74
1Q19	2Q19	3Q19**	4Q19**	1Q20

*	Data from operational data management system. For 2020: cash + signature + FV. For 2019: cash + signature.	18
**	Including recoveries on bad loan disposals. EUR 185mln recoveries on bad loan disposals in 3Q19 & 4Q19.

Non-Operating Items and Taxes

Non-operating items* (€/mln)

-60	-70
-112
-114		-109

	1Q19	2Q19	3Q19	4Q19		1Q20
		1Q19	2Q19	3Q19	4Q19	1Q20
	DGS, NRF & SRF	-61	-27	-36	0	-58
	DTA Fees	-18	-17	-18	-18	-18
	Other	-35	-16	-17	-91	-35
	Total	-114	-60	-70	-109	-112

• Non-operatingitemsat EUR -112mln including:

• • EUR-58mlnfor the annual contribution to the Single Resolution Fund
  • EUR-18mlnfor quarterly DTA fees introduced by Law Decree 59/2016
  • EUR-35mlnmainly related to provisions for risks and charges (EUR -40mln), partially offset by the price adjustment on the sale of MP Belgio (EUR +2mln) and by profits related to the sale of properties (EUR +2mln)
• Taxes for the quarter at EUR 4mln,mainly coming from ACE (Aiuto alla Crescita Economica) benefit.
• • Quarterly reassessment of DTAs from fiscal losses prudentially not booked because of the variability and uncertainty that characterise current macroeconomic estimates and due to the temporary unavailability of updatedmulti-year projections incorporating the macroeconomic and banking scenarios as modified by the spread of the COVID-19 pandemic

Starting from 1Q20, the portion relating to loans to customers of P&L items 100a, 110b, 130a and 140, plus item 200a, have been traced back to a single aggregate called «Cost of customer loans», with main impacts on items «Financial revenues», «Total provisions» and «Non-operating items». 2019 figures were restated to ease the comparison of the Group's performance results. (See Annex)

* Net provisions for risks and charges, gains (losses) on investments/disposals, restructuring costs/one-off	19
costs, DTA fees and SRF, NRF & DGS and gains (losses) on disposal of investments.

Customer Loans

Loans to Customers (€/bn)

81.9				80.1				82.2
16.5				15.9				16.5
					5.0									4.6					4.6
			4.0						4.4						5.7
48.9											49.5
				49.0
7.5					6.1					5.8
		Mar-19					Dec-19			Mar-20
		Non-performing loans		Mortgages		Repos			Current accounts		Other forms of lending

Medium & Long-Term Lending - New Loans (€/bn)**

	2.5	2.8
2.3	2.3

2.0

1Q19

2Q19

3Q19

4Q19

1Q20

• Customer loans up by c. EUR 2.1bn QoQ:
• • EUR +0.5bnincrease in mortgages, with new inflows higher than maturities
  • EUR +1.3bnincrease in repos
  • EUR +0.6bnincrease in other forms of lending
  • EUR-0.3bndecrease in non-performing exposures
• Customer loans up byEUR 0.3bn YoY(c. +EUR 1bn without considering MP Belgio disposal) with the increase on repos and mortgages partly offset by the 2019 NPE disposals/reductions
• Average commercial loans:EUR 72.5bn in 1Q20, decreased by EUR 0.7bn vs. 4Q19(-1.0%QoQ), mainly on corporate customers
• Group's loan market share at 4.70%*as atJan-20,down 15bps YoY

Starting from 1Q20, the reclassified balance sheet was revised in order to ensure greater consistency of the aggregates with the instruments that constitute them. Among the main changes, the introduction of the "Loans" aggregate, subdivided, according to the counterparty, into "Loans to central banks", "Loans to banks" and "Loans to customers". These items comprise credit instruments, regardless of their accounting allocation among financial assets measured at AC or measured at FVTPL or among non-current assets/groups of assets held for sale. 2019 figures were restated to favour the comparison of the Group's performance results (see Annex)

* Lending to domestic customers, comprehensive of non-performing exposures (net of bad loans) and net	20
of institutional repos.

** Figures from operational data management system.

Direct Funding and Liquidity

Direct Funding (€/bn)

92.7	94.2	95.4
8.2	5.4
8.7
	11.7
12.0	14.2
9.5
7.9	6.2
64.1	65.6	68.7

Mar-19		Dec-19				Mar-20
Current accounts and time deposits		Repos		Bonds		Other forms of funding

Unencumbered Counterbalancing Capacity (€/bn)

22.7	24.7	21.7
Mar-19	Dec-19	Mar-20

% of Total	17.2%	18.7%	16.1%
Assets

• Total direct funding up by c. EUR 1.2bn QoQ
• • EUR +0.4bnincrease in funding from commercial customers (mainly in the retail segment)
  • EUR +1.7bnincrease in the current account deposit held by an institutional client
  • EUR-1.0bndecrease in funding from institutional counterparties: GBBs expired in the quarter partly offset by the issuance of senior unsecured (EUR 0.75bn) and T2 (EUR 0.4bn) bonds and by an increase in Repos
• Average commercial direct funding: EUR 71.1bn in 1Q20, stable vs. 4Q19
• Group's direct funding market share at 3.75%*inJan-20,a 3bps YoY increase
• Unencumbered Counterbalancing Capacityat EUR 21.7bn, 16.1% of total assets (vs. 18.7% inDec-19)after the reimbursement of GGBs in 1Q20
• LCR: >150% and NSFR:>100%

* Deposits and repurchase agreements (excluding repurchase agreements with central counterparties)	21
from resident clients and bonds, net of repurchases, placed with resident clients as first-instance
borrowers.

Wealth Management and Assets Under Custody

Stock of assets under management down QoQ, due to strong negative market effect

Stock of assets under

custodydown QoQ due to a

corporate customer's withdrawal (c. EUR 4.4bn) and the negative market effect

Market shares:

▪Mutual funds stock: 4.7%**

• Bancassurance savings: 7.2%** (+110bps YoY)
• Bancassurance protection: 6.3%*** (o/w motor 9.6%***)

Wealth Management Mix (€/bn)

Mutual Funds/Sicav

Individual Portfolios Under Mgmt

Life Insurance Policies

57.6	57.8	58.6	59.3	54.4
25.4	25.8	26.4	27.0	26.0
5.2	5.1	5.1	5.1	4.6
27.1	27.0	27.1	27.2	23.9
Mar-19	Jun-19	Sep-19	Dec-19	Mar-20

Assets Under Custody (€/bn)

42.0 42.3 42.4 42.5

34.7

Mar-19Jun-19Sep-19Dec-19Mar-20

Wealth Management gross inflows* (€/bn)

3.2

2.6	2.7	2.9		3.0

1Q19 2Q19 3Q19 4Q19 1Q20

of which

Bancassurance	1.2	1.2	1.2	1.3	1.3
(€/bn):
Wealth Management net inflows* (€/bn)
			0.2
	-0.1	-0.2		0.0	0.0
	1Q19	2Q19	3Q19	4Q19	1Q20

of which

Bancassurance0.3 0.3 0.3 0.3 0.4 (€/bn):

*	Bancassurance + pension funds + mutual funds/sicav + individual portfolios under management.
**	Mutual funds market share as at Jan-20, bancassurance savings products market share related to AXA	22
	products as at Feb-20. Latest available data. For mutual funds market share, data is not comparable with
	previous quarter as the analysis methodology has changed.

*** Market share related to AXA products as at Dec-19. Latest available data.

Capital Structure

(€/bn)4Q19 1Q20

TBV	8.1	7.8
Transitional	8.6	8.0
CET1
Fully loaded	7.4	7.0
CET1*
RWAs	58.6	59.3

Fully loaded CET1* (%)

Total Capital (%)

Fully loaded Total Capital* (%)

Phased-in CET1 ratio (%)

14.7													13.6
-0.3	-0.4	-0.1	-0.2	-0.1

Dec-19	IFRS 9 phase-in 1Q20 net result FVTOCI reserves	RWAs	Other effects	Mar-20
12.7				11.9
16.7				16.2
14.7				14.5

• Phased-inCET1 at 13.6% (c. -114bps vs. 4Q19). Phased-in Total Capital at 16.2% (c. -48bps vs. 4Q19)
• Quarterly capital ratios evolution mainly affected by:
• • phase-inof the IFRS9 FTA (EUR -176mln)
  • 1Q20 net result
  • FVTOCI reserves negatively impacted by spread widening forCovid-19 pandemic
  • Increased RWAs (c. EUR +0.7bn) mainly in credit risk (c. EUR +0.5bn) and in market & operational risk (c. EUR +0.2bn)

*Including EUR 1.4bn full impact of IFRS9 FTA.	23

Focus on Italian Govies Portfolio*

Italian Govies Portfolio (€/bn)					AMORTISED COST (nominal value)
												FVTPL (net of short positions)
18.0										FVTOCI
	0.1		16.6			17.3	15.4		15.9
2.7			0.1				3.8
					3.1									5.1				5.1
							3.9
15.2		13.4				4.8			5.5
					9.6
									5.5			5.3
2016	2017		2018	2019		1Q20

Portfolio at FVTOCI:

Duration

(years)

~4.9

~3.6

~2.8

~2.3

~2.3

Credit spread sensitivity

(€/mln, before tax, for 1bp increase in BTP/Bund spread)

-8.9

-5.6

-2.9

-1.5

-1.4

• Italian Govies portfolio slightly increased QoQmainly due to FVTPL component, with banking book (FVTOCI/AC) slightly decreased. Sensitivities virtually unchanged
• • FVTPL (trading)portfolio increases due to MPS Capital Services' activity as primary dealer for Italian government bonds

1. Average portfolio duration: ~0.7Y

• 1. Credit spread sensitivity: c. EUR-0.3mln, before tax, for 1bp change (c. EUR -0.1mln in Dec-19)
• FVTOCIslightly decreases with maturities/sales more than offsetting purchases
• 1. Gross FVTOCI** reserves negative at c. EUR-59mln, worsened vs. December (EUR -11mln) due to impact of Covid-19 financial and economic shock on BTP- Bund spread
• ACportfolio stable QoQ for the compensation between purchases and maturities/sales
• 1. Average portfolio duration: 8Y (8.1Y inDec-19)

1. Marginal portfoliore-composition, with positive impact on P&L of c. EUR 50mln

*	Figures from operational data management system. Nominal values for Italian govies at amortised cost.	24
**	Net FVTOCI reserve deducted from capital for regulatory purposes: c. EUR -40mln in Mar-20 (c. EUR -
	8mln in Dec-19).

Potential impacts on capital from newly approved and proposed measures*

Capital ratios

Measures

• Opportunity to operate temporarily below P2G and CCB capital levels
• Six-monthpostponement of TRIM impact on books
• Early introduction of revised SME Supporting Factor
• Exemption of certain software assets from capital deduction
• Conversion of DTAs into tax credits upon disposal of impaired loans
• IFRS 9 transitional rules - add back to CET1 of increases in provisions as of 1/1/2020 on performing loans

Potential impact

• Potential buffer on CET1 and Total Capital of c. EUR 2.3bn
• c. EUR 3bn RWA increase** at end of 2020/beginning of 2021
• Estimated benefit of35-40bps on CET1
• Estimated max. benefit of20-25bps on CET1
• Estimated max EUR 110mln benefit from conversion of DTAs in case of NPE disposals for EUR 2bn
• CET1 increase (estimated at 31 March) for c. EUR 107mln (+16bps)

These potential impacts are on top of the relief of CET1 for EUR 370mln (c. 60bps) coming from the new composition of the P2R

* ECB decisions of 12 March and 20 March 2020; EBA proposal of 22 April 2020; Italian Law Decree

no. 18 of 17 March 2020 (so-called «Cura Italia» Decree); Targeted changes to CRR proposed by the 25European Commission on 28 April 2020.

** MPS internal estimates, to be confirmed by ECB.

Potential impacts on funding & liquidity from newly approved measures*

Funding & Liquidity

Measures

• Opportunity to operate temporarily below the 100% LCR requirement, if needed
• Changes to TLTRO3:
• • increased potential access
  • removal of bid limit per operation
  • early repayment option available after one year
  • reduced interest rate
  • lending performance threshold reduction to 0%
• Introduction of new LTROs untilJun-20 and of the new PELTROs from May-20 to Dec-20 (at a more favourable rate than MROs)
• Easing of collateral eligibility criteria for access to liquidity providing operations

Potential impact

• LCR target confirmed well above minimum threshold
• Possible increased access to TLTRO3 up to a maximum of c. EUR 26bn (compared to the previous ceiling of c. EUR 16bn), potentially as early as the June auction. Potential impact on NII up to 1% for the first year (from June 2020 to June 2021) and of 0.5% for the following 2 years
• Flexibility with LTRO/PELTRO in case of short/medium term liquidity needs and/or to optimise cost of funding.

LTROs accessed for EUR 5bn to date, with a c. EUR 6.5 million benefit on Q2 NII

• c. EUR 2.5 billion positive contribution to counterbalancing capacity from Q2

* ECB decisions of 12 March, 8 April, 22 April and 30 April 2020.	26

Agenda

• 1Q20 Results
• Details on 1Q20 Results
• Annex

27

1Q20 P&L: Highlights

€ mln	4Q19	1Q20	Change		1Q19	1Q20	Change
(QoQ%)		(YoY%)
Net Interest Income	333	327	-1.9%		409	327	-20.0%
Net Fees	371	370	-0.3%		359	370	+3.1%
Financial revenues*	151	39	-74.2%		45	39	-12.9%
Other operating income/expenses	2	-6	n.m.		-8	-6	-22.7%
Total revenues	857	729	-14.9%		804	729	-9.3%
Operating Costs	-594	-548	-7.7%		-569	-548	-3.6%
of which personnel costs	-352	-357	+1.2%		-369	-357	-3.2%
of which other admin expenses	-172	-136	-20.8%		-140	-136	-2.4%
Pre-provision profit	263	181	-31.3%		235	181	-23.0%
Total provisions**	-194	-316	+62.4%		-144	-316	n.m.
of which cost of customer loans	-192	-315	+64.0%		-144	-315	n.m.
Net Operating Result	69	-135	n.m.		91	-135	n.m.
Non-operating items***	-109	-112	+2.6%		-114	-112	-2.3%
Profit (Loss) before tax	-40	-246	n.m.		-23	-246	n.m.
Taxes	-1,179	4	n.m.		57	4	-93.2%
PPA & Other Items	-1	-1	-10.5%		-6	-1	-79.6%
Net profit (loss)	-1,220	-244	+80.0%		28	-244	n.m.

Starting from 1Q20, the portion relating to loans to customers of P&L items 100a, 110b, 130a and 140, plus item 200a, have been traced back to a single aggregate called «Cost of customer loans», with main impacts on items «Financial revenues», «Total provisions» and «Non-operating items». 2019 figures were restated to ease the comparison of the Group's performance results. (See Annex)

*	Including dividends/income from investments, trading/disposal/valuation/hedging of financial assets.
**	Includes the new item "Cost of customer loans" (see Annex), provisions on securities at amortized cost	28
	and FVTOCI, and provisions on loans to banks.
*** Net provisions for risks and charges, gains (losses) on investments/disposals, restructuring costs/one-off

costs, DTA fees and SRF, NRF & DGS and gains (losses) on disposal of investments.

Balance Sheet

Total Assets (€/mln)

	Mar-19	Dec-19	Mar-20	QoQ%	YoY%
Loans to Central banks	5,773	9,405		-13.8%	40.5%
8,110
Loans to banks	4,571	5,543	4,939	-10.9%	8.0%
Loans to customers	81,901	80,135	82,206	2.6%	0.4%
Securities assets	25,749	24,185	26,006	7.5%	1.0%
Tangible and intangible assets	2,993	2,909	2,871	-1.3%	-4.1%
Other assets*	11,136	10,019	10,138	1.2%	-9.0%
Total Assets	132,122	132,196	134,269	1.6%	1.6%

Total Liabilities (€/mln)

	Mar-19Dec-19Mar-20	QoQ%	YoY%
Deposits from customers	80,728	80,063	83,680	4.5%	3.7%
Securities issued	11,958	14,154	11,687	-17.4%	-2.3%
Deposits from central banks	16,694	16,042	15,998	-0.3%	-4.2%
Deposits from banks	5,476	4,137	4,752	14.9%	-13.2%
Other liabilities**	8,175	9,520	10,223	7.4%	25.1%
Group net equity	9,089	8,279	7,927	-4.3%	-12.8%
Non-controlling interests	2	2	2	-5.6%	-29.2%
Total Liabilities	132,122	132,196	134,269	1.6%	1.6%

Starting from 1Q20, the reclassified balance sheet was revised in order to ensure greater consistency of the aggregates with the instruments that constitute them. The main changes concerned:

•The introduction, in the Assets side, of a "Loans" aggregate, subdivided, according to the counterparty, into "Loans to central banks", "Loans to banks" and "Loans to customers". These items comprise credit instruments, regardless of their accounting allocation among financial assets measured at amortised cost or measured at fair value through profit & loss, or among non-current assets/groups of assets held for sale.

•The introduction, in the Assets side, of a "Securities assets" aggregate, which includes the more specifically financial instruments, regardless of their accounting allocation among financial assets measured at fair value through profit & loss, measured at fair value through other comprehensive income or measured at amortised cost, or among non- current assets/groups of assets held for sale.

•The introduction, in the Liabilities side, of a "Securities issued" aggregate, separating it from the previous reclassified item "Deposits from customers and securities issued"

(see Annex)

*	Cash and cash equivalents, derivatives assets, equity investments, tax assets, other assets.	29
**	Financial liabilities held for cash trading, derivatives, provisions, tax liabilities, other liabilities.

Lending & Direct Funding

Total Lending (€/mln)

	Mar-19Dec-19Mar-20	QoQ%	YoY%
Current accounts	4,997	4,626	4,552	-1.6%	-8.9%
Mortgages	48,878	49,046	49,549	1.0%	1.4%
Other forms of lending	16,458	15,921	16,550	3.9%	0.6%
Reverse repurchase agreements	4,033	4,434	5,723	29.1%	41.9%
Impaired loans	7,534	6,108	5,833	-4.5%	-22.6%
Total	81,901	80,135	82,206	2.6%	0.4%

Direct Funding * (€/mln)

	Mar-19Dec-19Mar-20	QoQ%	YoY%
Current accounts	54,652	56,046	59,299	5.8%	8.5%
Time deposits	9,441	9,594	9,449	-1.5%	0.1%
Repos	7,943	6,174	9,516	54.1%	19.8%
Bonds	11,958	14,154	11,687	-17.4%	-2.3%
Other types of direct funding	8,691	8,250	5,416	-34.3%	-37.7%
Total	92,686	94,217	95,367	1.2%	2.9%

* Deposits from customers and Securities Issued	30

Focus on commercial net interest income*

		1Q19		2Q19		3Q19		4Q19		1Q20
Net interest income (€/mln, %)		average	average	average	average		average	average		average	average		average	average
		volumes	rates	volumes	rates		volumes	rates		volumes	rates		volumes	rates
Commercial Loans		74.6		2.32%		74.9	2.26%	73.5		2.17%	73.2	2.13%	72.5	2.12%
Retail (including small businesses)		39.5		2.49%		39.7	2.46%	39.8		2.38%	40.4	2.32%	40.5	2.30%
Corporate		30.3		2.01%		30.7	1.94%	29.6		1.87%	29.3	1.86%	28.6	1.84%
Non-performing		4.8		2.81%		4.5	2.66%	4.1		2.29%	3.5	2.23%	3.4	2.26%
Commercial Direct funding		67.8 -0.32%		69.0 -0.32%	69.9 -0.31%	71.0 -0.29%	71.1 -0.28%
Retail (including small businesses)		45.6		-0.31%		46.5	-0.31%	47.9		-0.31%	48.5	-0.31%	48.3	-0.29%
Corporate		18.2		-0.27%		18.3	-0.25%	17.7		-0.21%	18.8	-0.17%	18.2	-0.13%
Non-performing		0.3		-0.07%		0.3	-0.04%	0.3		-0.02%	0.4	-0.02%	0.3	-0.02%
Other customers		3.7		-0.72%		4.0	-0.75%	4.0		-0.75%	3.4	-0.75%	4.2	-0.75%
Other commercial components**		19			17			14			13			12
Commercial NII		392		383		362		355		345
Non-commercial NII***		17			21			-8			-21		-18
Total Interest Income		409		404		355		333		327
							* Figures from operational data management system.					31
							** Including commissions on advances, amortised cost, interest on arrears, interest adjustments.
							*** Positive contribution mainly from govies portfolio and, starting from 2Q18, from the securitised senior

notes retained by the Bank. Negative contribution from cost of institutional funding.

Focus on DTAs

Current Italian fiscal regulations do not set any time limit to the use of fiscal losses against the taxable income of subsequent years.

Definition

Regulatory treatment

1M20

1. Convertible DTAs
   Non-convertible
2. losses

1. DTAs related towrite-downs of loans, goodwill and other intangible assets are convertible into tax credits (under Law 214/2011)*

1. DTAs onnon-convertible fiscal losses and DTAs on ACE

(Allowance for Corporate Equity) deductions

1. May be recovered in subsequent years only if there is positive taxable income, but may both be carried forward indefinitely

• 100% included inRisk-Weighted Assets like any credit
• 100% deducted from shareholders' equity (CET1)

EUR 1.0 bn

(stable vs.4Q19)

EUR 0.4 bn

(stable vs.4Q19)

Other

3non-convertible DTAs

o	DTAs generated as a result of negative valuation ➢Deducted	from CET1 if they exceed 10% of
	reserves, provisions for risks and charges, capital increase	adjusted CET1 and if, added to significant
	costs and temporary differences primarily relating to	holdings, they exceed 17.65% of adjusted CET1.
	provisions for guarantees and commitments, provisions	Amounts in excess of the two thresholds are
	for doubtful debts vs. Banks, impairments on property,	deducted from CET1. Amounts equal to the
	plant and equipment and personnel costs (pension funds	thresholds	250% included in Risk-Weighted
	and provisions for staff severance indemnities)	Assets
o	May only be used in case of tax gains**, and therefore

carry an average recoverability risk

EUR 0.5 bn

(stable vs.4Q19)

4	DTAs not recordedoDTAs not recorded in balance sheet due to the	➢	N.A.	EUR 3.1 bn
in balance sheet	probability test
			(+0.1bn vs.4Q19)

* Recovery is certain, regardless of the presence of future taxable income.	32
**In the case of IRES DTAs, the part that is not absorbed by taxable profit before reversal of convertible
DTAs is transformed into non-convertible losses DTAs; in the case of IRAP DTAs, the part that is not

absorbed by taxable profit before reversal of convertible DTAs is not recoverable.

Focus on legal risks

Legal risks at 31/03/20

Legal risks from financial information

EUR 4.8bn total petita,classified

Overall

claims connected to litigations arising from the

Claims related to disclosed financial

31/03/20

31/12/19

by disbursement risk profile:

financial information disclosed by the Bank to the market

information (2008-2015)€/mln

❖Probable:c. EUR 2.2bn (for

in the period between 2008 and 2015 are estimated in

EUR 1.8bn at the end of March 2020

which

provisions

of 0.5bn



The Bank deems the risk of disbursement "probable" for

Civil litigations brought by

795

883

have

been

allocated)

shareholders

claims regarding the 2008-2011 period (legal proceeding

❖Possible:c. EUR 1.7bn (no

n° 29634/14, threatened litigations) and thus recognises

provisions,

while

deems risk

"not probable"

for

claims

Threatened litigations*

809

858

BANKING INDUSTRY

allocated

for

(legal proceeding n° 955/16, threatened litigations)

provisions

are

such disputes: as required by

relating

to

the

2012-2015 period, for

which no

Admitted civil parties proceeding

accounting

standards,

provisioning has been booked

137

137

n° 29634/14**

significant

amounts

are

The Bank does not disclose booked provisions, inasmuch

disclosed)

this information could seriously affect its position in the

Admitted civil parties proceeding

95

95

existing litigations and in the negotiations of potential

no955/16**

❖Remote:

c.

EUR

0.9bn

(no

out-of-court settlement agreements

Agreements reached for the out-of-court settlement of

provisions are allocated and no

no. 3

disputes,

relating to

civil litigations

on

capital

Total

1,836

1,973

disclosures

are

provided

for

increases, led to

a c. EUR

90mln decrease

in

claims

such disputes)

booked for the quarter

Lockdown Impact

The ongoing Covid-19 health emergency, with the resulting suspension of the activity of all Italian Judicial Offices contained in the "Cura Italia"

BANKING INDUSTRY

Decree, led to the postponement of all the hearings scheduled during the period, without producing significant effects on the developments in the Group's pending criminal and labour proceedings

*Neither threatened litigations nor diamonds claims are included in the total PetitumAmount.	33
**Not all claiming parties have quantified damages.

Focus on Asset Quality

Non-Performing Exposures - NPEs (€/mln)

		Gross Book Value
		excluding interest in		Net Book Value		Coverage
		arrears on defaulted
		assets
		FY19	1Q20		FY19	1Q20		FY19	1Q20
	Bad loans(sofferenze)	6,424	6,265	2,982	2,853	53.6%	54.5%
	Unlikely-to-Pay loans	5,386	5,182	3,051	2,887	43.4%	44.3%
	Past due/overdue exposures	98	125	75	94	23.5%	25.4%
	Total NPEs	11,908	11,572	6,108	5,833	48.7%	49.6%

Texas Ratio*(%)

92.2%
	85.6%	85.7%
Mar-19	Dec-19	Mar-20

* Gross NPEs / (tangible equity + provision funds for NPEs).	34

Restructured unlikely-to-pay loans*

Breakdown by Guarantees (€/bn)

	# Tickets**	GBV	Coverage	NBV	% NBV
Secured	155	0.4	34.4%	0.3	24.0%
Personal guarantees	149	0.3	54.5%	0.1	12.0%
Unsecured	483	1.6	51.5%	0.8	64.0%
Total	787	2.3	48.7%	1.2	100.0%
of which Pool other banks		2.0		1.0	85.9%

Breakdown by Industry (€/bn)

	GBV	NBV	% on
	NBV
Construction	0.4	0.1	10.4%
Real estate	0.3	0.1	9.4%
Holdings	0.1	0.0	1.7%
Transportation and logistics	0.2	0.1	12.5%
Other industrial***	0.9	0.5	42.7%
Households	0.0	0.0	1.1%
Other	0.5	0.3	22.1%
Total	2.3	1.2	100.0%

	Breakdown by Vintage (€/bn)
		GBV	<3Y	>3Y
	Secured	0.4	27.1%	72.9%
	Personal guarantee	0.3	24.9%	75.1%
	Unsecured	1.6	45.1%	54.9%
	Total	2.3	39.0%	61.0%

• Average coverage of 48.7%, above Italian average. Net book value EUR1.2bn(24% secured)
• Corporate and SME sectors represent c. 78% of total restructured UTPs
• Positions with GBV > EUR 1m represent >95% of total restructured UTPs
• No specific industry concentration. Construction and real estate sectors amount to c. 20% of total net restructured UTPs

*	Figures from operational data management system.	35
**	The Borrower's exposures may have been tranched based on the underlying collateral.
***	Other Manufacturing (excluding Construction, Real Estate and Transportation).

Other Unlikely-to-Pay*

Breakdown by Guarantees (€/bn)

	# Tickets**	GBV	Coverage	NBV	% NBV
Secured	8,432	1.4	22.9%	1.1	62.3%
Personal guarantees	8,616	0.5	53.0%	0.2	13.6%
Unsecured	98,548	1.0	59.4%	0.4	24.1%
Total	115,596	2.9	40.9%	1.7	100.0%
of which Pool other banks		1.5		0.9	50.8%

Breakdown by Industry (€/bn)

	GBV	NBV	% on
	NBV
Construction	0.4	0.2	14.3%
Real estate	0.3	0.2	12.8%
Holdings	0.0	0.0	0.3%
Transportation and logistics	0.0	0.0	0.8%
Other industrial***	0.8	0.4	23.3%
Households	0.7	0.5	27.7%
Other	0.6	0.4	20.8%
Total	2.9	1.7	100.0%

Breakdown by Vintage (€/bn)

	GBV	< 3Y	> 3Y
Secured	1.4	64.5%	35.5%
Personal guarantees	0.5	61.1%	38.9%
Unsecured	1.0	56.5%	43.5%
Total	2.9	61.1%	38.9%

• Average coverage of 40.9%, above Italian average. Net book value EUR 1.7bn (c.62.3%secured)
• SME andsmall-business sectors represent about 68% of total other UTPs
• Lower vintage compared to restructured UTPs
• Positions with GBV > EUR 1m represent less than 43% of total other UTPs
• No specific industry concentration. Construction and real estate sectors amount to c. 27.0% of total net other UTPs

*	Figures from operational data management system.	36
**	The Borrower's exposures may have been tranched based on the underlying collateral.
*** Other Manufacturing (excluding Construction, Real Estate and Transportation).

Agenda

• 1Q20 Results
• Details on 1Q20 Results
• Annex

37

New cost of risk calculation

			P&L(€ mln)	Dec-19
			Net Interest Income	1,501
			Net Fees and commissions Income	1,450
			Financial revenues	353
				100 a) Financial assets measured at amortised cost (loans)	-5
				110 b) Other financial assets mandatorily at FVTPL (loans)	-56
			Other operating income/expenses	-80
			Total Revenues	3,223
			Operating expenses	-2,290
			Pre-Provision Profit	934
			Net impairment losses (reversals) on:	-611
				Financial assets measured at amortised cost (ordinary)	-814
				Financial assets measured at amortised cost (extraordinary)	209
				Financial assets measured at FVTOCI	-6
			Net operating income	323
			DTA Fees	-71
			Risks and charges related to the SRF, DGS and similar schemes	-123
			Net provisions for risks and charges	-72
				a) Commitments and guarantees issued	84
				b) Other net provisions	-156
			Restructuring costs/one-off costs	0
			Gains (losses) on disposal of investments	-3
			Non-operating Items	-269
			Profit (loss) before tax from continuing operations	53
			Tax expense (recovery) on income from continuing operations	-1,075
			Profit (loss) for the period after taxes	-1,021
			Impairment, PPA and other	-12
			Net profit (loss) for the period	-1,033

	P&L(€ mln)	Dec-19
	Net Interest Income	1,501
	Fees and commissions	1,450
	o/w: cost of State guarantee	-94
	Financial revenues	413
	Other operating income/expenses	-80
	Total Revenues	3,284
	Operating expenses	-2,290
	Pre-Provision Profit	994
	Cost of customer loans	-583
	130a) Financial assets measured at amortised cost (ordinary)	-814
	130a) Financial assets measured at amortised cost (extraordinary)	209
	100a) Financial assets measured at amortised cost (loans)	-5
	110b) Other financial assets mandatorily at FVTPL (loans)	-56
	200a) Commitments and guarantees issued	84
	Net provisions on securities and loans to banks	-5
	Net operating income	406
	DTA Fees	-71
	Risks and charges related to the SRF, DGS and similar schemes	-123
	Net provisions for risks and charges	-156
	Restructuring costs / One-off costs	0
	Gains (losses) on disposal of investments	-3
	Non-operating Items	-353
	Profit (loss) before tax from continuing operations	53
	Tax expense (recovery) on income from continuing operations	-1,075
	Profit (loss) for the period after taxes	-1,021
	Impairment, PPA and other	-12
	Net profit (loss) for the period	-1,033

38

Balance sheet reclassification

				Securities
	Reclassified consolidated Balance Sheet			vs. banks		Assets					Reclassified consolidated Balance Sheet - new
			and vs.	Loans	classifie	Central		Tax
				customers	measure	d as	Banks	Derivatives	assets
				measured at	d at FV	held for
	Assets	31 12 2019		amortised		sale					31 12 2019	Assets
				cost
	Cash and cash equivalents	835								835	Cash and cash equivalents
	Financial assets measured at amortised cost - Banks	15,722	(774)			(9,405)			5,543	Loans to Banks
							9,405			9,405	Loans to Central Banks
	Financial assets measured at amortised cost - Customers	88,985	(9,310)	324	136				80,135	Loans to Customers
	Financial assets measured at fair value	17,393	10,084	(324)	-		(2,968)		24,185	Securities assets
								3,041		3,041	Derivatives assets
	Equity investments	931				-				931	Equity investments
	Tangible and intangible assets	2,885				24				2,909	Tangible and intangible assets
		-							2,763	2,763	Tax assets
	Other assets	5,444				(160)		(73)	(2,763)	2,448	Other assets
	Total assets	132,196	-	-	-	-	-	-	132,196	Total assets
				Securities
				issued	Tax		Central
	Liabilities	31 12 2019		measured at		Derivatives			31 12 2019	Liabilities
		liabilities		Banks
				amortised
				cost & at FV
	Payables - a) Deposits from customers and securities issued	94,217	(14,154)						80,063	Deposits from customers
			14,154						14,154	Securities issued
	Payables - b) Deposits from banks	20,178					(16,042)			4,137	Deposits from banks
							16,042			16,042	Deposits from central banks
	Financial liabilities held for trading	3,883						(1,447)		2,436	Financial liabilities held for cash trading
		-						2,763		2,763	Derivatives
	Provisions for specific use	1,389								1,389	Provisions
		-			3					3	Tax liabilities
	Other liabilities	4,248			(3)			(1,316)		2,929	Other liabilities
	Group net equity	8,279								8,279	Group net equity
	Non-controlling interests	2								2	Non-controlling interests
	Total Liabilities and Shareholders' Equity	132,196	-	-		-	-		132,196	Total Liabilities and Shareholders' Equity

39

Guarantees provided for by the "Decreto Liquidità"*

COMPANY SIZE		FINANCEABLE		AMOUNT		%DIRECT		ASSESSMENT OF
THRESHOLDS		AMOUNTS		THRESHOLDS		GUARANTEE		BENEFICIARY BY BANK

Guarantee Fund	with up to 499 employees)
Art. 13
SME	(Businesses

No limit on revenues

2019 revenues up

to €3.2mln

No limit on revenues

<5,000 employees

Up to €25k		25% of 2019		100%		Formal assessment of
	revenues			requirements by Bank
Up to		25% of 2019		100%		✓Assessment of
		of which:
€800k		revenues		✓90% government		eligibility criteria
				✓10% other**		✓Document check list
						✓Assessment by Bank
Up to		✓25% 2019 revenue or
€5mln		✓2x personnel costs or		90%		(no evaluation by Fund)
	✓
(max amount		Working capital req. for			✓Assessment guidelines
	the year & investments
per business)		in following 18 months

Art. 1

SACE

in Italy & annual

revenues <€1.5bn

>5,000 employees

in Italy & annual revenues betw. €1.5bn & €5bn

Businesses with annual revenues >€5bn

90%

Maximum value between:

25% of 2019 turnover in Italy

2x 2019 personnel costs in Italy

80%

In the case of a company belonging

to a Group, the consolidated

accounts are taken into account

70%

✓Simplified procedure with assessment by bank (if ITA employees <5,000 and legal entity turnover <€1.5bn) or

✓"Ordinary" procedure for major companies with assessment also by SACE and approval subject to MEF Decree

* Company analysis based on the contents of Law Decree no. 23 of 8 April 2020 (so-called "Decreto Liquidità", to	40
which reference should be made for more information), which details and expands the financial measures contained in
Title III of Law Decree no. 18 of 17 March 2020 (so-called "Decreto Cura Italia")

** Mutual Guarantee Institutions (Confidi) or other funds

Disclaimer

THIS DOCUMENT IS BEING PROVIDED TO YOU SOLELY FOR YOUR INFORMATION. THIS DOCUMENT, WHICH WAS PREPARED BY BANCA MONTE DEI PASCHI DI SIENA S.P.A. (THE "COMPANY" AND TOGETHER WITH ITS CONSOLIDATED SUBSIDIARIES, THE "GROUP"), IS PRELIMINARY IN NATURE AND MAY BE SUBJECT TO UPDATING, REVISION AND AMENDMENT. IT MAY NOT BE REPRODUCED IN ANY FORM, FURTHER DISTRIBUTED OR PASSED ON, DIRECTLY OR INDIRECTLY, TO ANY OTHER PERSON, OR RE-PUBLISHED IN ANY MANNER, IN WHOLE OR IN PART, FOR ANY PURPOSE. ANY FAILURE TO COMPLY WITH THESE RESTRICTIONS MAY CONSTITUTE A VIOLATION OF APPLICABLE LAWS AND VIOLATE THE COMPANY'S RIGHTS.

This document was prepared by the Company solely for information purposes and for use in presentations of the Group's strategies and financials. The information contained herein has not been independently verified, provides a summary of the Group's financial statements and is not complete; complete interim financial statements will be available on the Company's website at www.gruppomps.it. Except where otherwise indicated, this document speaks as of the date hereof and the information and opinions contained in this document are subject to change without notice and do not purport to contain all information that may be required to evaluate the Company. No representation or warranty, explicit or implied, is made as to, and no reliance should be placed on, the fairness, accuracy, completeness, correctness or sufficiency for any purpose whatsoever of the information or opinions contained herein. Neither the Company, nor its advisors, directors, officers, employees, agents, consultants, legal counsels, accountants, auditors, subsidiaries or other affiliates or any other person acting on behalf of the foregoing (collectively, the "Representatives") shall have any liability whatsoever (in negligence or otherwise) for any loss howsoever arising from any use of this document or its contents or otherwise arising in connection with this document. The Company and its Representatives undertake no obligation to provide the recipients with access to any additional information or to update or revise this document or to correct any inaccuracies or omissions contained herein that may become apparent.

This document and the information contained herein do not contain or constitute (and are not intended to constitute) an offer of securities for sale, or solicitation of an offer to purchase or subscribe securities, nor shall it or any part of it form the basis of or be relied upon in connection with or act as any inducement or recommendation to enter into any contract or commitment or investment decision whatsoever. Neither this document nor any part of it nor the fact of its distribution may form the basis of, or be relied on in connection with, any contract or investment decision in relation thereto. Any decision to invest in the Company should be made solely on the basis of information contained in any prospectus or offering circular (if any is published by the Company), which would supersede this document in its entirety.

Any securities referred to herein have not been registered and will not be registered in the United States under the U.S. Securities Act of 1933, as amended (the "Securities Act"). No securities may be offered or sold in the United States unless such securities are registered under the Securities Act, or an exemption from the registration requirements of the Securities Act is available. The Company does not intend to register or conduct any public offer of securities in the United States. This document is only addressed to and is only directed at: (a) in the European Economic Area, persons who are "qualified investors" within the meaning of Article 2(e) of Regulation (EU) 2017/1129, (b) in Italy, "qualified investors", as defined by Article 34- ter, paragraph 1(b), of CONSOB's Regulation No. 11971/1999 and integrated by Article 35, paragraph 1(d) of CONSOB's Regulation No. 20307/2018, (c) in the United Kingdom, (i) persons who have professional experience in matters relating to investments falling within Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, as amended, (the "Order"), (ii) persons falling within Article 49(2)(a) to (d) of the Order ("high net worth companies, unincorporated associations etc."), (iii) persons who are outside the United Kingdom, or (iv) persons to whom an invitation or inducement to engage in investment activity (within the meaning of section 21 of the Financial Services and Markets Act 2000) in connection with the issue or sale of any securities may otherwise lawfully be communicated or caused to be communicated (all such persons together being referred to as "Relevant Persons"). This document is directed only at Relevant Persons and must not be acted on or relied on by persons who are not Relevant Persons. Any potential investment or investment activity to which this document relates is only available to Relevant Persons and will be engaged in only with Relevant Persons.

To the extent applicable, any industry and market data contained in this document has come from official or third-party sources. Third-party industry publications, studies and surveys generally state that the data contained therein has been obtained from sources believed to be reliable, but that there is no guarantee of the fairness, quality, accuracy, relevance, completeness or sufficiency of such data. The Company has not independently verified the data contained therein. In addition, some industry and market data contained in this document may come from the Company's own internal research and estimates, based on the knowledge and experience of the Company's management in the market in which the Company operates. Any such research and estimates, and their underlying methodology and assumptions, have not been verified by any independent source for accuracy or completeness and are subject to change without notice. Accordingly, undue reliance should not be placed on any of the industry or market data contained in this document.

This document may include certain forward-looking statements, projections, objectives and estimates reflecting the current views of the management of the Company and the Group with respect to future events. Forward-looking statements, projections, objectives, estimates and forecasts are generally identifiable by the use of the words "may", "will", "should", "plan", "expect", "anticipate", "estimate", "believe", "intend", "project", "goal" or "target" or the negative of these words or other variations on these words or comparable terminology. These forward-looking statements include, but are not limited to, all statements other than statements of historical facts, including, without limitation, those regarding the Company's and/or Group's future financial position and results of operations, strategy, plans, objectives, goals and targets and future developments in the markets where the Group participates or is seeking to participate. Any forward-looking statements in this document are subject to a number of risks and uncertainties. Due to such uncertainties and risks, readers are cautioned not to place undue reliance on such forward-looking statements as a prediction of actual results. The Group's ability to achieve its projected objectives or results is dependent on many factors which are outside Group's control. Actual results may differ materially from those projected or implied in the forward-looking statements. Such forward-looking information involves risks and uncertainties that could significantly affect expected results and is based on certain key assumptions. Moreover, such forward-looking information contained herein has been prepared on the basis of a number of assumptions which may prove to be incorrect and, accordingly, actual results may vary. All forward-looking statements included herein are based on information available to the Company as of the date hereof. The Company undertakes no obligation to update publicly or revise any forward-looking statement, whether as a result of new information, future events or otherwise, except as may be required by applicable law.

By accepting this document, you agree to be bound by the foregoing limitations. This presentation shall remain the property of the Company.

Pursuant to paragraph 2, article 154-bis of the Consolidated Finance Act, the Financial Reporting Officer, Mr. Nicola Massimo Clarelli, declares that the accounting information contained in this document corresponds to the document results, books and accounting records

41