Illimity Bank S p A : 2Q20 Results presentation

2Q20 results

4 August 2020

Key highlights

Corrado Passera, CEO

1

-

: €10mln net profit

in 2Q20 on a pro-forma basis despite an even more selective approach and

: no deterioration in the SME Division loan book, strong cash flow in the DCIS Division

on a pro-forma basis

1Q19

2Q19

3Q19

4Q19

1Q20

2Q20

Data in €mln

	10.3
	4.5
	2.1
(5.9)	(5.4)
(6.8)

2

-

Recovery in activity since June	Strong performance continued
and new customers acquisition	in gross cash flow despite
even during lockdown	limited contribution from judicial
Profitable use of public support	strategies
measures

Unique value proposition to exploit UTP portfolios

opportunities leveraging on

cross-competencies

Investments in user experience is paying off: strong

increase in number of

transactions and active customers

Launch of illimity Hubs: opening the platform to non-financial partners - a further step in our unique open banking strategy

3

-

		A	B	C	A+B+C
		Originated Business(1)	Terms	Advanced		BP 2018-23
		inception to date	agreed(2) to	Total	Target 2020
		pipeline(3)
Data in €mln		(31 July 2020)	be signed
Customer loans where not otherwise stated
Non accounting figures		~2,096	~231	~670	~3,000 ~3,000-3,500
	Cross-over	425(4)	~82	~121	~628	~300
	& Acq. Finance
SME	Turnaround	196(5)	~18	~50	~264	600-700
Division	Factoring	T/O 339(7)				~300
137(6)	~115	~101(8)	~353
	Distressed Credit	913	-	~346	~1,259	1,700-2,000
	Investments
Distressed	Senior Financing	425	~16	~52	~493	100-200
Credit I&S	Servicing(9)	~8,600	-	~1,800	~10,400	5,100-6,300
Division	AUM (GBV/Managed assets)

Notes: Non accounting figures; (1) This aggregate includes both the SME loans granted/purchased and the distressed credit investments booked in the period already income-producing, and the value of the deals
signed but yet to be booked, owing to a settlement structure based on multiple tranches or to a time lag between the signing of the master agreement and the date of loan disbursement/onboarding. This aggregate
additionally includes part of the net loans to existing customers of BIP, due to their features considered consistent with illimity's SME segment for about €65mln. It includes also the portfolio sold; (2) Deals in final stage
of the formalization of the agreement/contractual terms; (3) Specific business opportunities for which the bank envisages there is a reasonable expectation to close the transactions in the forthcoming months; (4)	4
Including BIP core SME for about €65mln and contribution of high yield bond for €23mln; (5) It also includes financial instruments, such as quasi-equity instruments, which are included in the balance sheet item "20. c)
Other financial assets mandatorily at fair value" for accounting purposes; (6) Outstanding at 31 July 2020; (7) Turnover related to Factoring only for the year 2020; (8) Credit line to be granted; (9) The AUM of the

servicing unit includes the gross book value of distressed credit and the value of property and capital goods managed by IT Auction.

-

We aim at reaching a

In 2020 we - also in response to the changes and the new opportunities we see across our markets - which

reinforced by and further boosted by our

5

2Q20 Financial review

Francesco Mele, CFO & Head of Central Functions

6

• Doubled net profit without trading contribution

Net customer loans and investments up 9% qoq on selective volume

growth concentrated in the last part of the quarter(1)

Steady revenue with good progression in net interest income, lower

commissions and no trading profits

SME Division resilient performance with first recognition of a credit

revaluation event in Turnaround

DCIS Division: strong performance in gross cash flow and steady generation of profits from closed positions

Provisioning stabilising in 2Q20

7

Notes: (1) Figures restated to include €49mln of real estate assets owned directly by the Bank as a result of a datio in solutum transaction and other repossession workout strategies, accounted for as tangible assets.

- Steady growth despite selective approach

	Data in €mln
	Reclassified Balance sheet	30.06	31.12	31.03		30.06	30.6/	30.6.2020 /	1	Robust	liquidity	profile:	approximately
	2019	2019	2020		2020	31.3.2020	30.6.2019
			€500mln between cash, net adjusted interbank
1	Cash and cash equivalent	42	772	219		311	42%	634%
		position and liquidity buffers
	Due from banks and other financial institutions	123	345	657		643	(2%)	424%
2	Customer loans	775	1,638	1,662		1,766	6%	128%
	- DCIS1 investments	158	667	674		724	8%	359%		Net customer loans up 6% - and 9% restated
	- DCIS1 senior financing	241	341	334		337	1%	40%	2
	- SME2	247	527	556		613	10%	148%	for repossessed	assets(5)	-	with	good
	- Cross-over & Acq. Finance2	162	261	278		315	13%	95%		contribution from both DCIS and SME Divisions
	- High yield bond	-	-	-		13	n.s.	n.s.
	- Turnaround	59	131	154		156	1%	164%
	- Factoring	26	135	123		129	5%	397%		Securities portfolio at €286mln with reduced
									3
	- Non-core former Banca Interprovinciale	129	103	99	92	(7%)	(29%)
	negative	mark-to-market	from	equity	of
	Financial assets Held To Collect (HTC)	103	-	-		-	0%	n.s.
			approximately €4mln after tax
3
Financial assets Held To Collect & Sell	90	126	335	286	(15%)	218%
	(HTCS)3
	Financial assets measured at FVTPL4	17	9	8	12	61%	(30%)
	Goodwill	22	22	36	36	-	67%	4	Retail & corporate funding up 3% to nearly
	Intangible assets	9	19	22	26	19%	186%	€1.8bn	on further	growth	in	deposits	at
	Other assets (Incl. Tangible and tax assets)	72	95	114	158	39%	118%
		illimitybank.com
	Total assets	1,253	3,025	3,052	3,238	6%	158%
	Due to banks	239	377	468	583	25%	144%
4
Due to customers	381	1,979	1,911	1,915	0%	402%		CET1	capital	up	to	€466mln	mainly
	Shareholders' Equity	549	544	537	563	5%	3%	5
									underpinned by profit generated in the quarter,
	Other liabilities	84	125	135	176	31%	110%
	Total liabilities	1,253	3,025	3,052	3,238	6%	158%		the effect of the buyout of 30% of IT Auction and
										the lower M-t-M of the securities portfolio
5	Common Equity Tier 1 Capital	480	462	439	466	6%	(3%)
	Risk Weighted Assets	995	2,162	2,347	2,548	9%	156%
		Investment & Servicing Division (previously named NPL I&S); (2) This figure includes part of the net loans to existing
Notes: Rounded figures. IT Auction consolidated for the first time in 1Q20; (1) DCIS: Distressed Credit
customers of Banca Interprovinciale, which due to their features are considered consistent with illimity's SME segment; (3) HTCS: Financial assets measured at fair value through comprehensive income; (4) FVTPL: other	8
financial assets at fair value through profit or loss. This item includes equity financial instruments purchased as part of a turnaround transaction and junior tranches acquired as part of senior financing transactions and
investments in distressed energy credit purchased as part of the DCIS division's activities. (5) ~€49mln of real estate assets owned directly by the Bank as of 30.6.2020 as a result of a datio in solutum transaction and other

repossession workout strategies, accounted for as tangible assets.

1

2

3

4

5

6

7

• Doubled net profit without trading

contribution

	Data in €mln					1	Growth	in	net	interest	income	only	partially
	Reclassified Profit & Loss	4Q19	1Q20	2Q20	2Q20/	benefiting from the business originated at the end of
	1Q20 %				the quarter. Interest income includes €0.8mln arising
	Interest income	27.5	32.1	33.2	4%				from the	first recognition	of	a credit revaluation
	Interest expenses1	(9.0)	(10.2)	(8.9)	(13%)
				event on a Turnaround transaction
	Net interest income	18.5	21.8	24.3	11%
				Net fees affected by lower contribution from factoring
	Net fees and commissions	1.5	2.5	2.1	(15%)		2
							and IT Auction's subdued activity due to Law court
	Net result from trading	8.9	3.7	(0.0)	n.s.
	Net other income/expenses	1.6	0.0	0.2	n.s.				inactivity
	Gains from closed purchased distressed credit	9.1	9.1	7.9	(13%)
				Steady stream of gains from closed distressed credit
	positions2
						3
	Operating income	39.7	37.2	34.5	(7%)		positions	either sold to	third parties or agreed with
	Staff costs	(9.1)	(11.3)	(13.2)	17%				debtors (DPO(3))
	Other operating expenses	(19.0)	(16.3)	(12.9)	(21%)
				Operating costs largely flat vs 1Q20; include €0.9mln
	Depreciation & Amortisation	(1.1)	(1.8)	(2.0)	11%		4
	Operating costs	(29.2)	(29.4)	(28.2)	(4%)		of costs related to the ESOP(4)	plan (a cost typically
	Operating profit	10.4	7.8	6.4	(18%)				booked in the second quarter of each year)
	Loan loss provision charges	(1.0)	(2.7)	(1.2)	(55%)
	Value adjustments on purchased distressed	(8.2)	2.8	4.6	64%	5	Stabilisation	of	collective	provisioning following
	credit	1Q20 conservative approach
	Value adjustments on HTC securities and loans	0.0	(0.3)	0.2	n.s.
	to banks				€4.6mln	Distressed	Credit	positive		value
	Other net provisions	0.1	(0.5)	0.2	n.s.	6
	adjustments	mostly driven	by	actual	cash		flow in
	Provisions for risks and charges	0.1	0.1	(0.1)	n.s.
				excess of expectations
	Profit (loss) before tax	1.4	7.2	10.0	40%
	Income tax	0.6	(2.7)	0.3	n.s.		7	Positive tax effect due to goodwill tax recognition
	Net result	2.1	4.5	10.3	130%
																			9
Notes: Rounded figures. IT Auction consolidated for the first time in 1Q20; (1) Interest expenses restated to exclude costs related to Debt for leasing, now included as administrative costs; (2) Gains from definitive
closure of non-performing exposures either through disposal to third parties or through discounted payoff agreed with the debtor; (3) Discounted pay off recovery strategy (the so-called "saldo e stralcio"); (4) Employee
Stock Ownership Plan.

• KPIs confirming strong asset quality and

liquidity

4Q19 1Q20 2Q20

Cost-Income	73%	79%	82%
Organic Cost of Risk	46bps	124bps	52bps
(bps) annualised(1)
Gross Organic NPE	4.2%	4.2%(3)	4.2%
ratio(2)
LCR	>1,000%	>1,000%	>1,000%
CET1 ratio	21.4%	18.7%	18.3%

• Cost of risk at 52bps on normalization of provisioning after very conservative approach in 1Q20; coverage ratio of performing loans(4) stable at 1.56%
• Organic NPE ratio stable at around 4%
• Ample liquidity buffer
• NSFR comfortably above minimum requirements
• CET1 ratio at 18.3%

Notes: (1) Ratio of loan loss provisions to net loans to customers end of period (€926.4mln as of 2Q20) from factoring, cross-over, acquisition finance, BIP legacy book and senior financing - thus excluding UTP
loans purchased or originated as part of the Turnaround business and the investments in Distressed Credit portfolios; (2) Ratio of gross NPE to total gross loans to customers from factoring, cross-over,
acquisition finance, BIP legacy book and senior financing to non-bank Distressed Credit investors - thus excluding UTP loans purchased or originated as part of the Turnaround and the investments in Distressed	10
Credit portfolios. Any failure to reconcile the stated figures arise exclusively from rounding; (3) Restated for the exclusion of loans to financial institutions other than banks (4) Excluding factoring.

- Building up CET1 capital

18.7%		CET1 ratio			18.3%
Data in €mln
		3.6	2.3	0.5	(4.1)
	6.7			466.2

7.8

10.3

439.0

1Q20	2Q20	IT Auction	M-t-M	IFRS9	DTA	Other	Intangible	2Q20
capital	securities	prudential
CET1	net profit	decrease	impacts	increase	CET1
increase	portfolio	filter

• Including special shares(1) and estimated benefit from the EU banking package, CET1 ratio would reach around 19.5% on a pro-formabasis
• Increase in RWA density as of June 2020 expected to revert in 2H20
• Capital optimisation initiatives expected to generate 5-10% RWA relief

2Q20/1Q20 €mln

2,347

RWA

2,548

Note: Rounded figures. (1) Following EBA approval process.

11

- Securities M-t-M moving in right direction

Securities portfolio

335286

Mar-20Jun-20

HTCS

Portfolio composition

30 June 2020

10.1%

29.0% €286mln

60.9%

Senior corporate	Subordinated
bonds	bonds

Italian Govt. bonds

Dynamic treasury

management

• Dynamic treasury portfolio

management to reduce exposure to market volatility

• Portfolio size in line with target of 10% of total assets by YE20
• M-t-Mat approx. €4mln on 30 June, further reduced to around €2mln as of today
• Duration 3.6 years
• Average yield approx. 1.0%

Note: Rounded figures.

12

- Balanced and inexpensive funding

Maturity mix

Total funding €2.5bn

32%30%

38%

Sight Short Term Medium-Long Term

Medium-Long Term funding maturity 3.5 years

~1.5% blended average cost of funding

€185mln TLTRO-III

Note: Non accounting figures; short term maturity includes funding with residual maturity below 18 months.

13

- Looking positively at full year 2020

Significant volumes expected in the last part of 2020 with SME volumes concentrated in

3Q and DCIS seasonally stronger in 4Q20

Strong progression in net interest income driven by business origination coupled with limited growth in interest expenses, due to the re-compositionof funding towards less expensive maturities and mix

Rebound in net commission on revamping business activity in IT Auction and factoring

Costs increase will also reflect investments in new strategic initiatives, some of which

are set to bear fruit as early as 4Q20

Recently introduced initiatives and measures - in support of the economy and the banking sector - will be beneficial in terms of stabilising provisions and contributing to capital optimisation strategies

14

SME Division

Enrico Fagioli

15

- Specialist partner of Italian SME

Cross-over and Acquisition Finance

SMEs with industrial potential and support of external growth strategies

Turnaround finance

Unlikely-to-pay corporate exposures with potential to return to a performing status

Factoring

Support to industrial districts value chain

• Cross-over
• Acquisition Financing
• Refinancing
• Restructuring
• New finance
• UTP portfolios
• Short-termfinancing through factoring

16

• Growth and pipeline with a selective

approach

Visible recovery in business origination since June

• Encouraging signs of recovery starting from June after Covid-19 related slowdown in business origination in April and May
• Continual selective approach
• Strong pipeline for 2H20

First deals with public guarantees signed: risk mitigation, capital optimisation and opportunity to originate new business

Launch of high yield bonds desk capitalising on deep market knowledge

Turnaround business model put to work: first credit revaluation booked

17

• Originated business: selectiveness and return on capital

Selective approach

• 397 deals analysed since

inception worth ~€4.2bn in

nominal value

• 265 deals declined worth

~€3.0bn

• 13 deals with terms

agreed and to be signed

shortly worth ~€100mln

• 21 deals currently under

evaluation in advanced

status worth ~€171mln

• Other opportunities

identified for additional

Data in €mln

Customer loans unless otherwise stated

Non accounting figures

Cross-over

& Acq. Finance

Turnaround(5)

Factoring

A	Originated	B	C	A+B+C
business(1)
	Inception to date	Terms	Advanced		BP 2018-23
	agreed(2) to	Total
	(31 July 2020)	pipeline(3)	Target 2020
	be signed
	425(4)	~82	~121	~628	~300

196	~18	~50	~264	600 - 700
	T/O(7) 339	~101(8)
137(6)	~115	~353	~300

~€360mln

50 deals signed since

inception

Total SME	758	~215	~272 ~1,245 ~1,200-1,300
Originated business

Notes: Non accounting figures; (1) This aggregate includes the loans originated/purchased in the period, thus already income-producing, and the deals signed but yet to be booked, due to a settlement structure in multiple tranches or to a time lag between the signing and the date of loan disbursement; (2) Deals in final stage of the formalization of the agreement/contractual terms; (3) Specific business opportunities for which the bank envisages there is a reasonable expectation to close the transactions in the forthcoming months; (4) Including BIP core SME for about €65mln and contribution from high yield bond for €23mln; (5) It also includes 18 financial instruments, such as quasi-equity instruments, which are included in "20. c) Other financial assets mandatorily at fair value" for accounting purposes; (6) Outstanding at 31 July 2020; (7) Turnover related to Factoring only for the year 2020; (8) Credit line to be granted.

- Cross-over & Acq. Finance: solid

business origination and de-risking

A

Originated business

B	C		A+B+C	Target
Terms agreed to		Advanced	Total	2020
be signed		pipeline

Data in €mln

Total 425

~82

~121

~628

~300

BIP Core 65

360

60

300

Business origination in the quarter largely with new customers

Selective de-risking of existing portfolio through use of public guarantees

Confirmed selective approach to pipeline

in a dynamic market

Booked(1) Signed but not booked(2)

Notes: (1) Income-producing loans; (2) deals signed but not yet booked, due to a time lag between the signing of the master agreement and the date of loan disbursement.

19

• Bond desk: an extension of our Cross-over activity by capitalising on our industry expertise

Business opportunity

Purchase of listed bonds issued by performing corporates on the secondary market

Strategic rationale	€27mln	INVESTMENT(1)
▪	Profitability booster		CARRYING
▪	Capitalise on our deep industry know-how to exploit undervalued	€23mln
AMOUNT
	bonds' pricing

• Loan book diversification

~10% AVG. YIELD

Main features

• Bonds generally listed on Italian exchanges (MOT, Extra MOT, TLX)
• Hold-to-Collectbusiness model(2)
• Avg. ticket size approx. 3-5mln

20

Notes: (1) Notional amount as of 31 July 2020; (2) After passing SPPI (Sole Payment of Principal and Interest) test.

- Turnaround: ready to acquire going- concern UTP portfolios

	A	B	C	A+B+C	Target
Originated business		Terms agreed to	Advanced	Total	2020
	be signed	pipeline
Data in €mln	196	~18	~50	~264	600 - 700
Total

16 8

188

Booked(1) Signed but not booked(2)

Over €20mln potential revenue

upside(3) from credit revaluation events

- of which first €0.8mln booked in 2Q

No sign of increase in credit risk in

existing portfolio

Emerging new opportunities from public measures for eligible turnaround situations

Notes: (1) Income-producing gross loans origination, including new finance, acquired credit and related instruments. It includes financial instruments, such as quasi-equity instruments, which are included in "20. c) 21 Other financial assets mandatorily at fair value" for accounting purposes; (2) deals signed but not yet booked, due to a time lag between the signing of the master agreement and the date of loan disbursement; (3) Additional potential revenue related to revaluation of equity, quasi-equity instruments and credit revaluation.

- Factoring: strong recovery from June

		A	B	C	A+B+C	Target
Originated business			Terms agreed to	Advanced	Total	2020
		be signed	pipeline
Data in €mln	Total	137	~115	~101	~353	~300

Outstanding(1)

26

135

135

123

129

137

Turnover(2)

	241	298		119	59	339
			161
57
1H19 (3)	2H19	FY19	1Q20	2Q20	July 2020	Year to
						date

New clients acquired even during the lockdown, bringing number of clients(4) to over 100 and debtors to nearly 500

Due to COVID-19forcing a slowdown, our clients' sales and turnover started recovering from June

Notes: Non accounting figures; (1) Outstanding: in a factoring transaction, the outstanding amount is the amount of receivables transferred and not yet collected at a certain date; (2) Turnover: in a factoring transaction, 22 the total amount of receivables transferred over a defined period of time; (3) Start-up phase; (4) The corporate that transfers its account receivables to the bank (so-called factor).

• First impact from significant public measures and guarantees

REGULATORY FRAMEWORK

'Cura Italia'

l. 27/2020

MORATORIUM

• Art. 56 DL 18/2020
• ABI Moratorium
• Bilateral agreements

Agreed requests for ~€86mln

o/w 35% with an already defined refinancing operation with public guarantee

Enhanced monitoring on these positions

'Liquidità'

l. 40/2020

PUBLIC

GUARANTEES(1)

• Fondo Centrale Garanzia
• SACE

~€21mln

~€70-120mln~€160-210mln

~€68mln

Notes: As of 31 July 2020; (1) Refers to Cross-over and Turnaround.

23

Distressed Credit I&S Division

Andrea Clamer

24

• Building the Italian Corporate Distressed
  Credit champion

Acquisition of secured and unsecured Corporate Distressed

Investment Credit

Senior Financing

Financing solutions for NPL non-bank investors

Servicing	Workout services and remarketing for captive and 3rd
parties' corporate Distressed Credit

		Investment		Servicing	Remarketing
Origination	Due		Pricing	Bidding	Onboarding	Workout &	Remarketing of
Diligence	Recovery	Distressed Credit collaterals

25

• A very positive 2Q20 with limited impact from COVID-19

Outperformance of gross cash flow in 2Q, underpinned by the out-of-court workout component, a key feature of our activity

For the third quarter in a row, our dynamic portfolio strategy generated sizeable profit

Distressed credit market very dynamic and with lower competition - strong

pipeline ahead

26

• Outperformance of cash flow continued despite lockdown

Cash Flow view(1)

Economic quarterly view

Data in €mln					Data in €mln
Cumulativecash flow: actual vs. planned			Interest(2)
		Q2
				139.0
					Investment	21.5
				78.8	Senior	3.6
					Financing
					Total	25.1
	Actual	Planned
	Actual	Expected	Delta		Interest(2)
		Q2
	Cash Flow	Cash Flow	Cash Flow
Q2 20	28.5	18.9	+9.6		Adjustments
	Q2
					12.5
Cumulative	139.0	78.8	+60.1		Adjustments

1H

24.1

Fee income	Adjustments(3)	Revenues
Q2	Q2	Q2

-	12.5	34.0
0.3	-	3.9
0.3	12.5	37.9
		Of which €7.9mln from
		credit disposal or DPO
NBV	Gross IRR	Period from
onboarding
Delta	ERC(4)
Cash Flow	Update
9.6	2.9
Delta	ERC
Cash Flow	Update

39.1(15.0)

Notes: Rounded figures; (1) Cash flow from receivables; (2) Measured based on amortized cost; (3) Outcome of the Distressed Credit business plan periodic review; it includes €7.9mln reclassified in operating income 27 (gains from closed purchased distressed credit positions) and €4.6mln accounted for in value adjustments on purchased distressed credit. (4) Estimated Remaining Collection.

• Revenue from closed positions are core to the DCIS business model

Gains from credit disposal

Gains from

exit strategy Anticipation (DPO)

ACTUAL DPO CASE

Purchase of a minor share of wallet
and gains from sale to creditors		€21k
pursuing debt consolidation	Purchase price
strategy
	Settlement price	€118k

Execution of a win-win strategy for	Profit from DPO	€97k
the bank and the debtor

Dynamic approach to portfolio management facilitated by very conservative pricing

28

• Strong out-of-court workout component drives cash flow performance

	Workout strategy			Actual workout
Data as of 30 June 2020	in pricing model					strategy
(NBV breakdown)		(Cash flow breakdown)
Pricing vs. actual	71%					71%
workout strategy	24%			28%
	5%			1%
On Judicial strategy, real estate asset
value is 50% below market value			Judicial(1)		Out-of-court settlement			Other(2)

Out-of-court

settlement represents >70% of actual gross cash flow - vs ~24%

in pricing model

Type of borrower

Type of borrower

(GBV breakdown)

•

		9%	Retail
Corporate	91%		•

Retail borrowers

strategically non-core(will

be sold in due course)

• 40% of DCIS stock has a
  GBV ticket size > €2.5mln

Our debtors usually

have significant

assets

Notes: (1) Purchase prices as % of GBV in Judicial strategies are generally lower than in out-of court strategies as the result of longer collection period, lower cash flow and higher legal costs; (2) Includes assets	29
repossession (through ReoCo), datio in solutum transactions and blended strategies.

• A resilient business origination combined with pricing discipline

Strong discipline drives selective approach

•	~€50bn of GBV
	analysed since
	inception
•	~€40bn of GBV
	declined/lost since
	inception
• ~€6bn of GBV signed

Data in €mln

Customer loans unless otherwise stated Non accounting figures

Distressed Credit

Investment

Senior

Financing

A	Originated	B	C	A+B+C
business(1)
	Inception to date	Terms	Advanced		BP 2018-23
	agreed(2) to	Total
	(31 July 2020)	pipeline(3)	Target 2020
	be signed
	913	-	~346	~1,259 1,700-2,000

425

~16

~52

~493

100-200

since inception

• ~€4bn of GBV

currently under

evaluation

Total Originated	1,338	~16	~398	~1,752	1,800-2,200
Business
Servicing(4)	~8,600	-	~1,800	~10,400	5,100-6,300
AUM (GBV/Managed assets)

Notes: Non accounting figures; (1) This aggregate includes the origination/purchase of income-producing loans and Distressed Credit investments, and deals signed but yet to be booked, owing to a settlement structure in multiple tranches or to a time lag between the signing of the master agreement and the date of loan disbursement/onboarding. It includes also the portfolio sold within the Dynamic Portfolio management strategy; (2) Deals in final stage of the formalisation of the agreement/contractual terms; (3) Specific business opportunities for which the bank envisages there is a reasonable expectation to close the transactions in 30 the forthcoming months; (4) The AUM of the servicing unit includes the gross book value of distressed credit and the value of property and capital goods managed by IT Auction.

- Diversified growth

Originated business

Data in €mln

Distressed

Credit

Investment

Senior Financing

Total 913

44

869

(1)

Total 425

13 11

425

(1)

Booked(2) Signed but not booked(3)

Business origination

doubled compared to 2Q19

First investment in the

Energy sector

Very dynamic Special

Situation Real Estate

Notes: Rounded figures; (1) Including September 2018; (2) Income-producing gross loans origination (Distressed Credit senior financing) and Distressed Credit investments (portfolios including leasing and single	31
name); (3) Deals signed but not yet booked, owing to a settlement structure in multiple tranches or to a time lag between the signing of the master agreement and the date of loan disbursement/purchase.

- Portfolio growing steadily

Data as of 30 June 2020

NBV breakdown by type of guarantee

Secured

62%

~€728

mln

38%

Unsecured

KPIs

~€728 Carrying

mln value(1)

1.4x

Cash on Cash multiple

~€1,011	ERC(1) (2)
mln

Not considered €49mln of real estate assets owned

directly by the Bank

• Repossession/datio-in-solutum as part of workout strategy

• To be pursued very selectively

Pre-2010

	13%
Vintage(3)	2015-2019
50%
(GBV breakdown)
37%
	2010-2014

Notes: Rounded figures; (1) This includes distressed credits purchased by the Energy desk, which for accounting purposes are recognised at Fair Value (item 120 c); (2) Estimated Remaining Collections on booked	32
investments; (3) Only considering bad loans.

Digital Operations

Carlo Panella

33

- IT Infrastructure leverage

Phase 1: Completed

Building a fully-fledged and fully in cloud modular platform

Phase 2: Well underway

Continuous innovation based on data, digital platform and AI technologies

Currently on the way:

• A unique solution to manage NPL
• A brand new system to manage complex credit solutions, with flexibility
• A tool to support customer management in UTP portfolios

34

Direct Banking

Carlo Panella

35

- Combined features of illimitybank.com

make it unique
CURRENT	• Focused on the Retail segment and
	ACCOUNT	designed together with our
		customers

THIRD PARTY

Lending,

Insurances, …

PFM

ILLIMITY

CONNECT

PAYMENTS

DEPOSIT

CARDS

• A complete offer, thanks to the integration of illimity products with third parties products
• PSD2 native, open by design
• Fully digital bank, but with a human touch
• Born to support customers in their saving goals, thanks to advanced analytics to give users insight and a better understanding of their financial wellbeing

36

• illimitybank.com now a benchmark in customer engagement

• Funding goals over-achieved thanks to a stable €1.8bn

funding with a decreasing cost of funding

(-20bps on illimitybank.com June vs January)

• Focus on the Digital

Platform enhancement and improvement to increase stickiness and customer engagement

36k	Total Customers
at 31 July 2020

83%	Active Customers
o/w 26% already chosen illimity as primary bank

+70% Conveyed payrolls

June vs January

~15% « PSD2 » customers

30% Advanced analytics users(1)

Note: Data as of 30 June 2020. Non accounting figures 37

(1) Web users who interact with the Analysis tools

- What do they say about us…

Market

30

	26		27	27
	24	25
23		23
21

19

16 17 16

may

jun

jul

sep

oct

nov

dec

jan

feb

mar.

apr.

may

jun

'19

'19

'19

'19

'19

'19

'19

'20

'20

'20

'20

'20

'20

										Customers											Institutions
				Promoter				Neutral			Light detractor		Detractor
	5					6					5													8
											9		8
	10				13				12				9		10		9
	34				28				28				31		28		32
	51				53				55				51		54		51
	Onboarded	Onboarded	Onboarded	Onboarded	Onboarded	Onboarded
	customers till	customers till	customers till customers till	customers till	customers till
	31/12			31/01				29/02			31/03		30/04		31/05

30%	35		ABI
Brand		Net Promoter		Award
Awareness		Score
% of interviewed users who		vs 9 avg market value	for most innovative Retail Bank for
know illimity brand				families and young users

38

- The path towards an API-based economy

BUILD	PSD2	FULLY	PLATFORM	API
NATIVE	FLEDGED	ECONOMY

Development and	Born to be PSD2	Enrichment of the	From Open Banking to	What is the next level?
launch of a fully	compliant: first bank	commercial proposition	Open Business with the
digital direct bank	in Italy to launch both	with Third Parties	new illimity Hubs: a	To keep scaling on the
	Account Information	Products, in order to	complete and value-	banking and data
	and Payment Initiator	provide customers with a	added integration of non-	platform
	Services	complete product portfolio	financial partners within
			the illimity app

39

Silvia Benzi

Head of Investor Relations & Strategic Planning

Mobile: [phone]

Email: [e-mail]

40

Disclaimer (1/2)

• This document (the "Document") has been prepared by and is the sole responsibility of illimity Bank S.p.A. (the "Company") solely for information purposes. In accessing the Document you agree to be bound by the following terms and conditions. A limited number of copies have been made or may be made and these are strictly reserved for the person to whom they are or will be addressed: for this reason the information contained in the Document is confidential and must not be used, in whole or in part, or disclosed to third parties or copied, distributed, transmitted or reproduced.

• The Document is not directed to, or intended for distribution to or use by, any person or entity that is a citizen or resident of, or located in, any locality, state, country or other jurisdiction where such distribution or use would be contrary to law or regulation or which would require any registration or licensing within such jurisdiction. The Document is not for publication, release or distribution in the United States, Australia, Canada or Japan or in any jurisdiction where it is unlawful to do so. The release or distribution of the Document or access to this document in other jurisdictions may be restricted by law and persons into whose possession this document comes should inform themselves about and observe any such restriction. Any failure to comply with these restrictions (when applicable) may constitute a violation of the laws of any such other jurisdiction.

• The information and data contained in the Document are not intended and do not constitute in any way investment advice or a solicitation to purchase securities, nor is it an offer or invitation or promotional message for the purchase, sale or underwriting by any person in any jurisdiction or country where such activity is contrary to law or regulation, except where there are exemptions that apply under related law.

• The terms, data and information contained in the Document are subject to revision and update; the Company and its consultants assume no responsibility to communicate, in advance or subsequently, should such revisions and updates become necessary or opportune nor for any damages that may result from improper use of the information (including communications of revisions and updates) included in the Document. Within the limits of law, the Company, its corporate executives, managers, employees, and consultants make no statement, give no guarantee or assume any responsibility, express or implied, regarding the accuracy, the adequacy, completeness and up to date nature of the information contained in the Document nor regarding any eventual errors, omissions, inaccuracies or oversights contained herein. The Document does not attempt to describe all terms and conditions that will pertain to the proposed transaction nor does it set forth the specific phrasing to be used in the documentation.

• The securities referred to herein (the "Securities") have not been and will not be registered under the United States Securities Act of 1933, as amended (the "Securities Act"), or the securities laws of any state of the United States or any other jurisdiction and may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act.

• This Document does not constitute or form part of, and should not be construed as an offer or the solicitation of an offer to subscribe for or purchase the Securities, and nothing contained therein shall form the basis of or be relied on in connection with any contract, commitment or investment decision in relation thereto whatsoever, nor does it constitute a prospectus relating to the Securities or a recommendation by the Company or any of the Company's advisers and/or agents regarding the Securities.

• It is recommended that any eventual investment decision regarding an investment be based on the formal documents prepared by the Company as part of the transaction which may contain information different from those included in the Document and on audit from the investors own independent, professional financial and tax advisers.

• No representation, warranty or undertaking, express or implied, is made or given by the Company or any of its affiliates, parent or subsidiary undertakings, directors, officers, advisers, agents or employees or any other person as to, and no reliance should be placed on, the fairness, adequacy, accuracy, truthfulness, reasonableness, completeness or correctness of the Document or the opinions contained therein. The Document has not been independently verified and will not be updated. No responsibility or liability whatsoever (whether arising in tort, contract or otherwise) is accepted by the Company or any of its affiliates, parent or subsidiary undertakings, directors, officers advisers, agents or employees, or any other person for any loss howsoever arising, directly or indirectly, from any use of the Document or opinions contained therein or otherwise arising in connection therewith. The Document, including but not limited to forward-looking statements, applies only as of the date of this document and is not intended to give any assurances as to future results. The Company expressly disclaims any obligation or undertaking to disseminate any updates or revisions to the Document, including any financial data or forward-looking statements, and will not publicly release any revisions it may make to the Document that may result from any change in the Company's expectations, any change in events, conditions or circumstances on which these forward-looking statements are based, or other events or circumstances arising after the date of this document. Market data used in the Document not attributed to a specific source are estimates of the Company and have not been independently verified.

• Any expected return is not guaranteed and is based on data shown in Euro. The Document contains "forward-looking" and targets information which are based upon certain assumptions about future and/or ongoing events or conditions and may also be based on Company's expectations on ongoing and/or potential new initiatives and is exclusively intended to illustrate hypothetical target results under those assumptions (not all of which are specified herein). Such forward looking statements include all matters that are not historical facts. Forward-looking statements give the Company's intentions, beliefs or current expectations concerning, amongst other things, the Company's financial condition, liquidity, prospects, growth, potential deals, strategies and the industry in which it operates. By their nature, forward looking statements involve risks and uncertainties because they relate to events and depend on circumstances that may or may not occur, in whole or in part, in the future. These statements may include, without limitation, any statements preceded by, followed by or including words such as "target," "outcome," "believe," "expect," "aim," "intend," "may," "anticipate," "estimate," "insight," "plan," "project," "will," "can have," "likely," "should," "would," "could" and other words and terms of similar meaning or the negative thereof. Such forward-looking statements involve known and unknown risks, uncertainties and other important factors beyond the Company's control that could cause the Company's actual results, performance or achievements to be materially different from the expected results, performance or achievements expressed or implied by such forward-looking statements. Forward-looking statements take into account the Company's current expectations on the possible achievement of already disclosed or new targets or estimates, which are in no way guaranteed and may be reviewed in light of up to date market and business conditions. Such forward-looking statements are based on numerous assumptions regarding the Company's present and future business strategies and the environment in which it operates and will operate in the future.

• Actual events or conditions are unlikely to be consistent with, and may differ materially from, those assumed. In addition, not all relevant events or conditions may have been considered in developing such assumptions. Accordingly, actual results will vary, and the variations may be material. Prospective investors should understand such assumptions and evaluate whether they are appropriate for their purposes. Any data on past performance, modeling, scenario analysis or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modeling, scenario analysis or back-

testing; for investors resident in EC countries that are not part of the Eurozone these returns can increase or decrease due to exchange rate movements.

41

Disclaimer (2/2)

• The tax consequences of an investment depend on the individual circumstances of each investor and may be subject to change in the future; therefore, the present document may not be considered to have been prepared in order to offer an opinion, legal advice or tax opinion regarding the possible tax consequences of the transaction. Every prospective investor is advised to evaluate any potential investment in the transaction on the basis of independent accounting, fiscal ad legal advice and should also obtain from their own financial advisors analyses of the adequacy of the transaction, the risks, the protection and the cash flows associated with the transaction, insofar as such analyses are appropriate for ascertaining the risks and merits of the transaction.
• Prospective investors must rely on their own evaluation that a potential investment in the transaction described herein does not contravene the laws and regulations of the country of residence of the investor and must also be responsible for obtaining any necessary prior authorization required to make the investment.
• Certain industry and market data contained in this Document has come from third party sources. Third party industry publications, studies and surveys generally state that the data contained therein have been obtained from sources believed to be reliable, but that there is no guarantee of the accuracy or completeness of such data. While the Company believes that each of these publications, studies and surveys has been prepared by a reputable source, neither the Company nor its respective affiliates has independently verified the data contained therein. In addition, certain of the industry and market data contained in this document comes 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. While the Company believes that such research and estimates are reasonable and reliable, they, 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, no reliance should be placed on any of the industry or market data contained in the information. By receiving this document and attending the presentation, you are certifying that (a) if you are in the European Economic Area, you are a "Qualified Investor"; (b) if you are in the United Kingdom, you are a "Relevant Person"; (c) you are not located in a jurisdiction where it is unlawful to do so and (d) you acknowledge and agree to the limitations and conditions set forth herein.
• Acceptance of delivery of the Document by the recipient constitutes acceptance of the terms and conditions set out in this Disclaimer.
• Solely for the purposes of the product governance requirements contained within: (a) EU Directive 2014/65/EU on markets in financial instruments, as amended ("MiFID II"); (b) Articles 9 and 10 of Commission Delegated Directive (EU) 2017/593 supplementing MiFID II; and (c) local implementing measures (together, the "MiFID II Product Governance Requirements"), and disclaiming all and any liability, whether arising in tort, contract or otherwise, which any "manufacturer" (for the purposes of the MiFID II Product Governance Requirements) may otherwise have with respect thereto, the ordinary shares and other instruments of illimity Bank S.p.A. (the "Securities") have been subject to a product approval process, which has determined that such Securities are: (i) compatible with an end target market of retail investors and investors who meet the criteria of professional clients and eligible counterparties, each as defined in MiFID II; and (ii) eligible for distribution through all distribution channels as are permitted by MiFID II (the "Target Market Assessment").
• Notwithstanding the Target Market Assessment, Distributors should note that: the price of the Securities may decline and investors could lose all or part of their investment; the Securities offer no guaranteed income and no capital protection and an investment in the Securities is compatible only with investors who do not need a guaranteed income or capital protection, who (either alone or in conjunction with an appropriate financial or other adviser) are capable of evaluating the merits and risks of such an investment and who have sufficient resources to be able to bear any losses that may result therefrom. The Target Market Assessment is without prejudice to the requirements of any contractual, legal or regulatory selling restrictions in relation to the Offer. Furthermore, it is noted that, notwithstanding the Target Market Assessment, the Manufacturers will only procure investors who meet the criteria of professional clients and eligible counterparties.
• For the avoidance of doubt, the Target Market Assessment does not constitute: (a) an assessment of suitability or appropriateness for the purposes of MiFID II; or (b) a recommendation to any investor or group of investors to invest in, or purchase, or take any other action whatsoever with respect to the Securities.
• Each distributor is responsible for undertaking its own target market assessment in respect of the Securities and determining appropriate distribution channels.
• By accepting or accessing this Document, you shall be deemed to have represented and warranted that (i) you have read and agreed to comply with the foregoing limitations and restrictions, (ii) you are able to receive this presentation without contravention of any applicable legal or regulatory restrictions, (iii) if you are in a member state of the European Economic Area (other than the United Kingdom), you are a Qualified Investor; (iv) if you are in the United Kingdom, you are a Relevant Person; (v) if you are in Italy, you are an Italian Qualified Investor; and (vi) you acknowledge that you understand that there are legal and regulatory sanctions attached to the misuse, disclosure or improper circulation of this document.
• This document includes industry and market data pertaining to Company's business and markets. Such information is based on the Company's analysis of multiple sources such as industry publications and surveys, industry reports prepared by consultants, internal surveys and customer feedback. The market, economic and industry data have primarily been derived and extrapolated from reports provided by third parties. In addition, certain statistics, data and other information relating to markets, market sizes, market shares, market positions and other industry data pertaining to Company's business and markets in this document are not based on published data obtained from independent third parties or extrapolations therefrom, but rather are based upon analysis, which are in turn based upon multiple third party sources.
• All figures and numbers included in this document are rounded.
• Pursuant to Article 154-bis, paragraph 2, of the Legislative Decree no. 58/1998 (Unified Financial Act), the Financial Reporting Officer, Mr. Sergio Fagioli, declares that the accounting information contained in this Document corresponds to the document results, books and accounting records.

42