Fitch Ratings has assigned Banco BPM S.p.A.'s (BBPM; BBB-/Stable) EUR25 billion EMTN programme a rating of 'BBB-' for the senior preferred (SP) debt class and 'BB+' for the senior non-preferred (SNP) debt class.

Key Rating Drivers

BBPM's SP debt is rated in line with the bank's Long-Term IDR as it is part of the bank's resolution buffers and we do not expect more junior debt buffers to exceed 10% of risk-weighted assets (RWA) on a sustained basis.

The SNP debt is rated one notch below the bank's Long-Term IDR to reflect the risk of below-average recoveries arising from the use of more senior debt to meet resolution buffer requirements.

Rating Sensitivities

Factors that could, individually or collectively, lead to negative rating action/downgrade:

BBPM's SP and SNP debt would be downgraded if its Long-Term IDR was downgraded.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

BBPM's SP and SNP debt ratings would be upgraded if its Long-Term IDR was upgraded.

BBPM's SP and SNP debt ratings could also be upgraded if BBPM is expected to meet the resolution buffer requirements of the consolidated entity exclusively with SNP and more junior instruments, or if we expect resolution buffers represented by SNP and more junior instruments to be at least 10% of RWA on a sustained basis, neither which is currently the case.

Best/Worst Case Rating Scenario

International scale credit ratings of Financial Institutions and Covered Bond issuers have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of three notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of four notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAA' to 'D'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

ESG Considerations

Unless otherwise disclosed in this section, the highest level of ESG credit relevance is a score of '3'. This means ESG issues are credit-neutral or have only a minimal credit impact on the entity, either due to their nature or the way in which they are being managed by the entity. For more information on Fitch's ESG Relevance Scores, visit www.fitchratings.com/esg

RATING ACTIONS

Entity / Debt

Rating

Banco BPM S.p.A.

Senior preferred

LT

BBB-

New Rating

Senior non-preferred

LT

BB+

New Rating

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VIEW ADDITIONAL RATING DETAILS

Additional information is available on www.fitchratings.com

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