Banco BPM S p A : Inside Information / Ad Hoc Information - BANCO BPM SOCIETA PER AZIONI

Milan, 21 May 2025

Schedule of Underlying Transactions BANCO BPM S.p.A. Issue of EUR 50,000,000 3.74% Senior Preferred Notes due 27 March 2031 (the "Notes") under the €25,000,000,000 Euro Medium Term Note Programme, Series no. 30 - IT0005641540

This document constitutes the schedule of the Underlying Transactions ("Schedule of Underlying Transactions")] relating to the issue of Notes described in caption. Capitalised terms used but not defined herein shall have the same meaning of those defined in the prospectus relating to the Notes dated 26 March 2025 (the "Drawdown Prospectus"), including the documents incorporated by reference therein.

This Schedule of Underlying Transactions contains information on the composition the Underlying Transactions.

For additional information on the terms and conditions of the Notes, see the sections of the Drawdown Prospectus entitled "Issue Terms" and "Annex to the Issue Terms", as well as the section entitled "Terms and Conditions of the Dematerialised Notes" of the Base Prospectus dated 4 June 2024 which is incorporated by reference in the Drawdown Prospectus.

It is hereby specified that the Issuer has no obligation to repurchase the Notes from the Noteholders and has the right, in its sole and absolute discretion and for any reason, to reject any Noteholder's request to repurchase their Notes.

Trade Date	Arbitrage		Notional Amount	Currency
27/03/2025	Bond A	IT0005517195	100,000,000	EUR
	Bond B	IT0005340929
28/03/2025	Bond A	IT0005517195	50,000,000	EUR
	Bond B	IT0005340929
01/04/2025	Bond A	IT0005517195	100,000,000	EUR
	Bond B	IT0005340929
29/04/2025	Bond A	XS0098449456	49,000,000	EUR
	Bond B	IT0005495731
21/05/2025	Bond A	IT0005517195	25,000,000	EUR
	Bond B	IT0005340929

On any business day, the Underlying Transactions shall comprise all previously listed trades related to Index-Components Arbitrage, Asset Swap Arbitrage, and/or EU Allowances Arbitrage:

1. Index-Components Arbitrage

   "Index-Components Arbitrage" refers to a strategy where being long on a Credit Index while being short on its CDS Components, or vice versa, creates an arbitrage opportunity.

   A "Credit Index" refers to any of the Markit credit default swap indices, which may have maturities that extend beyond the Maturity Date and notionals that exceed the aggregate principal amount of the Notes. This includes any successor or replacement index, such as the Markit iTraxx® and Markit CDX™ indices, as determined solely and absolute discretion by the Issuer. Additionally, a Credit Index may consist of a portfolio of credit default swap tranches that together form a complete capital structure, effectively replicating a Markit credit default swap index.

   "CDS Components" refer to a basket of single-name credit default swap transactions that match the notional amount, maturity, coupons, and reference entities of the Credit Index components. They may also consist of a portfolio of credit default swap tranches that align in terms of maturity, aggregate notional, aggregate coupons, and aggregate reference entities with the Credit Index components.

2. Asset Swap Arbitrage

   Asset Swap Arbitrage refers to a strategy involving a long position in an asset swap on debt obligation (Bond A) and a short position in an asset swap on a different debt obligation (Bond B).

   Bond A and Bond B refer to debt obligation issued by the same entity, whether a government or another issuer, that have the same seniority, similar maturities and with coupon payments and/or redemption value that may be linked to a specific consumer price index or settled at par.

3. EU Allowances Arbitrage

EU Allowances Arbitrage refers to a strategy involving a long position in EU Allowances traded in the spot market and a short position in EU Allowances futures, or vice versa.

EU Allowances Spot, also referred to as EU Emission Allowances (EUAs), represents permits issued under the European Union Emissions Trading System (EU ETS). Each allowance entitles the holder to emit one tonne of carbon dioxide (CO2) or an equivalent amount of another greenhouse gas.

EU Allowances Future refers to financial contracts that create an obligation for the buyer to purchase and the seller to deliver a specified quantity of EU Emission Allowances (EUAs) at a predetermined price on a future settlement date.