Group simplification through reduction of personnel, branches and other costs Personnel evolution Branch network evolution # of employees # of Branch -153 • Lean banking model through further organizational Lean banking simplification and a specific cost optimization program 4,055 503 3,964 < 3.700 439 350 • Migration from traditional channel to digital ones also Digital migration through the development of an advanced online 2016 3Q 2017 2020E 2016 3Q 2017 2020E banking and innovative self-branches concept Other administrative expenses Personnel expenses • Development of Creval Sistemi e Servizi, also through Data in € M Data in € M partnership, in order to optimize the cost base, improve ICT management the time to market and to face the investment needed in -13,3% -22,9% the future (blockchain, cyber security…) 285 210 247 162 210 155 Industrial • IT Investments for around 44€M to support the transformation industrial transformation and evolution of the Group 2016 3Q 2017 2020E 2016 3Q 2017 2020E 10
Commercial improvement Indirect funding net inflows Costumer deposits evolution • Improvement of the bancassurance performance also Data in € M Data in € M Bancassurance through the partnership with major insurance players CAGR 1.690 and AUM • Further development of the strategic partnership with ANIMA -1,2% 21.109 Life premium 51,1% 20.096 19.896 Big data • Big data management through CRM development AuM 48,9% • Further improvement of the digital offer strategy Digital banking Total 2018 - 2020 E 2016 3Q 2017 2020E (Bancaperta) Loans disbursement by segment Loans disbursement by rating Performance • Development of performance management tools Data in € M Data in € M designed for real time monitoring management 7.469 7.469 4% Other Individuals 30% AAA-A 43% Value lending • "Value lending" development (i.e. personal loans) 21% Retail BBB-B 38% CCC-C 45% Corporate • Factoring business already put in place; strengthening 15% Unrated of the trade finance business through dedicated 4% High value product resources and budget and development of a dedicated Total 2018 - 2020 E Total 2018 - 2020 E offering for the agriculture sector 11
Capital increase and disposal of non core asset CET1 Impact (1) Action Description 700€m rights issue fully pre-underwritten by Mediobanca – Banca di Credito • Finanziario S.p.A. (2) • Issue of new ordinary shares with pre-emptive rights to current shareholders Capital increase • Timetable: +480 bps – EGM to approve transaction: December, the 19 th 2017 – Launch expected in 1Q2018 subject to market conditions and regulatory approval Disposal of non core • Disposal of non core assets / minority stakes with a positive impact on CET1 + 47 bps capital for c.60€m and c.40€m RWA release assets + 527 bps Notes: 1) Impact calculated on 30.9.2017 Expected; ratios estimated pre AIRB validation. 2) Pre-underwriting commitment of Mediobanca subject to conditions in line with market practice for similar transactions and other specific provisions – See the press release for details. 12
Evolution of the CET1 Ratio (1) fully loaded before AIRB validation and TBV + 240 bps 4,8 % 1,3 % 11,6 % 1,3 % 11,0 % -0,7 % 9,2 % -3,8 % -0,4 % CET1 ratio 30.9.2017 Capital increase Increase of Redundancy fund Asset disposals CET1 ratio Operating profit RWA impact CET1 ratio FULLY LOADED provisions, and other elements 31.12.2018E 2019 - 2020 net of 31.12.2020E derisking plan, FULLY LOADED expected dividends FULLY LOADED IFRS9 impact and TBV other RWA effects 1.316 1.587 1.818 (€m) Note: 1) Impact calculated on 30.9.2017 13
Potential AIRB impact on CET1 Ratio Creval potential impact after the Benchmark: Impact in terms of CET1 Ratio –AIRB Approach (1) implementation of the derisking plan New framework for the validation of AIRB models adopted by EBA +100-200 bps > 12% Trim exercise still under way 421 bps 11.0 % 284 bps 240 bps 237 bps 208 bps 160 bps Player 1 Player 2 Player 3 Player 4 Player 5 Average 1° step CET1 ratio AIRB CET1 ratio post 31.12.2018E AIRB validation FULLY LOADED Step 2 Step 1 .. Approval the AIRB model expected in 2018 (2) Note: 1) Only validations after 2009 are considered; capital impact calculated as the difference between the ratio between the reporting date before and after AIRB approval announcement. 2) Subject to regulatory approval 14
Agenda 1. Executive Summary 2. Creval Business Plan 2018 – 2020 Consolidated Results as at September 30 th 2017 3. 15
Creval Business Plan 2018 – 2020 November, 7 th 2017 16
Disclaimer This document may contain “forward-looking statements”, which includes all statements that do not relate solely to historical or current facts and which are therefore inherently uncertain. All forward-looking statements rely on a number of assumptions, expectations, projections and provisional data concerning future events and are subject to a number of uncertainties and other factors, many of which are outside the control of Credito Valtellinese. There are a variety of factors that may cause actual results and performance to be materially different from the explicit or implicit contents of any forward-looking statements and thus, such forward-looking statements are not a reliable indicator of future performance. Credito Valtellinese undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by applicable law. Neither this document nor any part of it nor the fact of its distribution may form the basis of, or be relied on or in connection with, any contract or investment decision. Neither Credito Valtellinese nor any member of the Credito Valtellinese Group nor any of its or their respective representatives, directors or employees accept any liability whatsoever in connection with this document or any of its contents or in relation to any loss arising from its use or from any reliance placed upon it. The information, statements and opinions contained in this document are for information purposes only. This document does not constitute an offer or an invitation to subscribe for or purchase any securities. The 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”), or in Australia, Canada or Japan or any other jurisdiction where such an offer or solicitation would require the approval of local authorities or otherwise be unlawful. The securities may not 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. Credito Valtellinese does not intend to register any portion of the offering of the securities in the United States or to conduct a public offering of the securities in the United States. Any public offering of securities to be made in the United States will be made by means of a prospectus that may be obtained from Credito Valtellinese and will contain detailed information about the bank and management, as well as financial statements. Copies of this document are not being made and may not be distributed or sent into the United States, Canada, Australia or Japan. 17
Agenda 1. 3Q 2017 results 2. Background 3. The three business plan pillars 4. Capital management initiatives 5. Asset quality 6. Relaunch efficiency and profitability 7. Economic and financial projections 2018 - 2020 18
Breakdown of credit portfolio Net customer loans evolution NPE evolution Past due Data in € M Data in € M Data in € M 216 205 1,3 €bn "portfolio 167 163 Elrond" disposal (1) 17.429 17.281 17.199 16.857 Dec-16 Mar-17 Jun-17 Sept-17 -25,5% UTP Data in € M 5.387 5.330 4,0% 3,8% 2.384 2.339 2.290 2.233 4.019 4.012 44,3% 43,9% 4,2% 4,1% 55,7% 57,0% Dec-16 Mar-17 Jun-17 Sept-17 Bad Loans 51,7% 52,3% 1,3 €bn "portfolio Data in € M 40,3% 38,9% Elrond" disposal (1) 2.787 2.786 Dec-16 Mar-17 Jun-17 Sept-17 Dec-16 Mar-17 Jun-17 Sept-17 1.562 1.616 PD UTP BAD LOANS Dec-16 Mar-17 Jun-17 Sept-17 Note: 1) Net of collection and other movement recorded from November, 30 th 2016 to June, 30 th 2017 19
Breakdown of coverage evolution Coverage Ratio NPE Ratio Data in % Data in % June, 30 th June, 30 th December, 31 st March, 31 st September,30 th December, 31 st March, 31 st September, 30 th 2016 2017 2017 2016 2017 2017 2017 2017 Increase of provisions in Q3 in relation to the new credit -6,2 p.p. value adjustments policy NPEs 27,3% 27,2% 41,5% 41,6% 41,0% 45,8% 21,6% 21,1% Coverage ratio Gross +4,8 pp NPE Ratio Bad loans 54,4% 54,1% 61,0% 61,5% Coverage ratio -5,4 p.p. UTP 29,4% 29,6% 29,8% 37,1% Coverage ratio 18,1% 18,0% 14,1% +7,3 pp 12,7% NET NPE Ratio Past due 8,2% 8,2% 8,5% 8,0% Coverage ratio 20
NPE portfolio composition (as of September, 30 th 2017) Data in % Secured/Unsecured NPEs Secured/Unsecured Bad loans Secured/Unsecured UTP Unsecured Unsecured Unsecured Secured Secured Secured Focus Secured NPEs Focus Secured Bad loans Focus Secured UTP Mortgage Mortgage Mortgage Other real Other collateral Other real collateral (Confidi) collateral Other collateral Other real Other collateral (Confidi) collateral (Confidi) Asset Protection Asset Protection Asset Protection Scheme (APS) Scheme (APS) Scheme (APS) 21
Capital ratios evolution Data in € M TIER 1 Ratio – phased in March, June, December, September, Overall capital 31 st 2016 30 th 2017 Data in % 31 st 2017 30 th 2017 Requirement 9,25% 11,8% 11,6% 10,5% 9,4% CET 1 – 1.713 1.702 1.511 1.295 phased in Dec-16 Mar-17 Jun-17 Sept-17 TIER 2 – 180 156 284 262 phased in TCR Ratio – phased in Overall capital Data in % Requirement 11,25% TCR – 1.893 1.858 1.795 1.567 phased in 13,0% 12,7% 12,5% 11,3% RWA – 14.539 14.664 14.361 13.739 phased in Dec-16 Mar-17 Jun-17 Sept-17 22
Breakdown P&L stated Data in € M December, 31 st 2016 March, 31 st 2017 June, 30 th 2017 September, 30 th 2017 Net interest income 421,7 99,7 198,7 294,6 Net commission income 280,4 67,7 142,3 213,2 Loss Elrond switch Net interest and commission income 702,1 167,4 341,0 507,8 from credit value adjustments to Other revenues (1) 5,6 17,4 24,6 -211,5 trading profit. Elrond effect in Q3 for about 22€ M Operating Revenues 707,7 184,8 365,6 296,3 Operating costs -590,2 -130,7 -255,9 -379,0 -346,2 -75,1 -134,3 -202,4 of which personnel expenses -210,1 -48,2 -107,7 -155,4 of which other administrative expenses of which impairment on tangible and intangible -33,9 -7,4 -13,9 -21,2 assets Gross operating income 117,5 54,1 109,7 -82,7 Top up provision in Q3 for the new credit Credit value adjustments -491,2 -47,9 -369,0 -386,1 value adjustments policy Other elements (2) -26,8 -1,1 68,8 68,2 Gross income -400,5 5,1 -190,5 -400,6 Notes: 1) It considers: other management fees / incomes, share of profits and similar incomes, outcome of net assets evaluated shareholdings, finance profits; 2) It considers adjustments for credits impairment, net reserves to risks and costs fund and profit from investments and shareholdings transfer 23
Extraordinary items and adjusted P&L Extraordinary Items (as of September, 30 th 2017) Adjusted P&L (as of September, 30 th 2017) Data in € M Data in € M Net interest income 294,6 Loss for NPE disposal (Elrond) -242,7 Net commission income 213,2 -13,4 Loss for UTP disposal (Algebris) Net interest and commission income 507,8 Sale of Anima stake 9,3 Other revenues (1) 33,3 Operating income (Elrond) 5,0 Operating Revenues 541,2 Operating costs (Elrond) -3,0 -379,6 Operating costs 7,5 Personnel extraordinary contribution -209,9 of which personnel expenses Other administrative expenses (Elrond) -7,0 -148,5 of which other administrative expenses of which impairment on tangible and -21,2 Write off of Atlante Fund and other -39,3 intangible assets 161,6 Effect of the new credit value adjustments Gross operating income -193,7 policy, Elrond residual effect -153,1 Credit value adjustments 69,7 Profit from sale of investment Other elements (2) -1,5 Extraordinary Items -407,6 7,0 Gross income Notes: 1) It considers: other management fees / incomes, share of profits and similar incomes, outcome of net assets evaluated shareholdings, finance profits; 2) It considers adjustments for credits impairment, net reserves to risks and costs fund and profit from investments and shareholdings transfer 24
P&L KPI (1) 4Q 2016 1Q 2017 2Q 2017 3Q 2017 -6% -1% -3% Interest income, quarterly 105,8 99,7 99,0 95,8 figures Data in € M +10% -5% -10% 75,5 74,6 70,9 67,7 Net commission income, quarterly figures Data in € M +318% +23% -44% New Policy on 242,5 Credit value adjustments, credit value 85,2 quarterly figures 58,0 adjustments 47,3 Data in € M Without Elrond effect 25
P&L KPI (2) December, 31 st 2016 March, 31 st 2017 June, 30 th 2017 September, 30 th 2017 2,4% 2,4% 2,3% 2,3% Net interest income / Loans Data in % 1,7% 1,7% 1,6% 1,6% Net commission income / Loans Data in % 3,5% 2,7% 2,7% 1,1% Cost of credit risk Data in % Provisions for Elrond disposal ~188 € M 26
P&L KPI (3) December, 31 st 2016 March, 31 st 2017 June, 30 th 2017 September, 30 th 2017 67,2% 68,6% 67,1% 64,7% Adjusted (1) Cost / Income Ratio Data in % 1,9% 2,0% 1,9% 1,9% Adjusted (1) Cost to Asset Ratio Data in % (annualized cost) 111,0 111,5 105,7 99,7 Gross Banking Asset (2) / branches Data in € M Notes: 1) Adjusted 31.12.2016 not includes redundancy fund, SRF, DGS, DTA fee and additional fees; Adjusted 31.3.2017 not includes SRF; Adjusted 30.6.2017 not includes SRF, DTA fee, Elrond expenses, NASPI; Adjusted 30.9.2017 not includes SRF, DTA fee, Elrond expenses, NASPI. 2) Calculated as: Direct deposit + Indirect funding + Customer loans 27
Agenda 1. 3Q 2017 results 2. Background 3. The three business plan pillars 4. Capital management initiatives 5. Asset quality 6. Relaunch efficiency and profitability 7. Economic and financial projections 2018 - 2020 28
Macro-economic scenario included in the projections Unemployment (1) Euribor (1)(2) House price index (2) 11,2% 11,1% 0,4% 0,3% 10,9% 10,5% n.d. -0,4% -0,2% -0,3% -0,3% -1,1% 2017E 2018E 2019E 2020E 2017E 2018E 2019E 2020E 2017E 2018E 2019E 2020E Inflation (consumer prices) (1) GDP (average annual data) (1) Spread BTP-BUND (in bps) (1) 1,4% 179 181 160 1,2% 155 1,8% 1,0% 0,9% 1,3% 1,3% 0,9% 2017E 2018E 2019E 2020E 2017E 2018E 2019E 2020E 2017E 2018E 2019E 2020E Source: (1) PROMETEIA – "Rapporto di Previsione Tavole dettagliate della previsione" - September 2017 ; (2) Nomisma – "Osservatorio sul mercato immobiliare 2 ° rapporto 2016“ Note: (2) Data as at 4Q 29
Competitive background 0,5% EURIBOR 3M Pressure on Yield curve 0,0% Expected increase of the Euribor post 2019 interest rates -0,5% 2016 2017 2018 2019 2020 2,0% 1,8% 1,8% Pressure on revenues Focus on fee based revenue generation 1,6% 1,7% 1,7% 1,6% and review of the NII spread Review of the business and customer engagement model business model Research of new products/services 2014 2015 2016 2017 E 2018 E 2019 E 2020 E Simplification and automation of processes 77,6% Improvement in Cost 70,8% 65,7% 60,3% 61,8% 61,7% 58,8% Redesign and efficiency of front-end and back office processes Income operating efficiency "Obsessive" cost management 2014 2015 2016 2017 E 2018 E 2019 E 2020 E Bad loans/ 9,6% 10,5% 12,2% 10,0% 7,5% 6,6% 5,8% Tot.loans Progressive asset Non performing stock expected decreasing from 2017 2,19% 1,82% 1,27% 1,28% 1,04% Cost of 0,94% 0,84% quality improvement Cost of risk expected under 100 basis point starting from 2019 risk 2014 2015 2016 2017 E 2018 E 2019 E 2020 E 5,30% 5,80% 4,70% 3,30% ROE expected equal to approx. 6% in 2020, still with a significant gap with the cost of capital 1,40% Pressure on -3,20% of the Italian banking sector and focusing banks on potential extraordinary operations to ROE -7,00% profitability boost productivity 2014 2015 2016 2017 E 2018 E 2019 E 2020 E SREP BRRD Guidelines on NPL for Introduction of several new guidelines and principles shaping different aspect of the bank Less Significant MIFID 2 MREL Regulatory impact operations and business model Calendar provisioning Riforma Popolari PSD2 Heavy adaptations needed in order to comply with new regulations IFRS 9 Guidance on NPL Source: Analysis on Prometeia Forecast Report – July 2017 30
Creval – main recent evolution Creval Group Entities Gross NPE Data in # Data in € M -14 -28,6% 20 5.620 4.012 6 2010 3Q 2017 2015 3Q 2017 HR and Branches evolution Operating Costs Data in # Data in € M Employees N° of branches -8,9% -518 552 -87 503 4.482 3.964 526 439 2011 3Q 2017 2015 3Q 2017 2011 3Q 2017 annualized 31
Creval has to improve asset quality and efficiency Net Interest and Commission Income / Total asset NPE Ratio Data in % Data in % + 1,5 pp + 0,4 p.p. 2,7% 21,1% 19,6% 2,3% 3Q 2017 annualized Benchmark 3Q 2017 Benchmark Operating income adjusted / Gross banking asset (1) Cost-income adjusted Data in % Data in % + 7,9 pp + 0,2 pp 1,5% 67,1% 59,2% 1,2% 3Q 2017 annualized Benchmark 3Q 2017 (2) Benchmark Notes: 1) Calculated as: Direct funding deposit + Indirect funding + Customer loans. 2) See page 9 for detail of adjustments 32 Source benchmark: Financial Statements 2016. Credem, Unicredit, Intesa San Paolo, Banca Popolare di Sondrio, UBI, Banco Desio, Banco BPM, MPS, BPER, Carige
Agenda 1. 3Q 2017 results 2. Background 3. The three business plan pillars 4. Capital management initiatives 5. Asset quality 6. Relaunch efficiency and profitability 7. Economic and financial projections 2018 - 2020 33
The three business plan pillars 1 • 700€m rights issue fully pre-underwritten (1) 803,2 €M 742,5 €M 700,0 €M • Non core assets disposals Capital strengthening • On top of the capital plan: AIRB models adoptions, Capital management o/w capital increase Use of capital for asset subject to regulatory approval initiatives (2) quality improvement 2 2016 3Q 2017 2018E 2020 E • Actions for decisive balance sheet derisking through: Asset quality and Coverage 41,5% 45,8% 50,3% 59,1% – NPEs disposal with GAGS (1,60€bn GBV) coverage ratio – Other NPEs disposal (0,5€bn GBV) 27,3% 21,1% Gross NPE 10,6% – Increase of NPEs coverage ratios 9,6% ratio 3 2016 3Q 2017 2018E 2020 E • Improve operational efficiency 69,7% 71,8% 67,1% 57,5% C/I ratio (3) • Redundancy fund Relaunch efficiency Including provisions for restructuring costs • Cost of risk reduction 268 bps 271 bps and profitability 94 bps 64 bps CoR (bps) • Further actions aimed at strengthening business profitability Neg. Neg. 4,6% 8,2% RoTE Notes: 1) Pre-underwriting commitment of Mediobanca subject to conditions in line with market practice for similar transactions and other specific provisions – See the press release for details. 2) Including 2018 expected net earnings. 3) Cost income adjusted. 34
Agenda 1. 3Q 2017 results 2. Background 3. The three business plan pillars 4. Capital management initiatives 5. Asset quality 6. Relaunch efficiency and profitability 7. Economic and financial projections 2018 - 2020 35
1 Capital increase and disposal of non core asset CET1 Impact (1) Action Description 700€m rights issue fully pre-underwritten by Mediobanca – Banca di Credito • Finanziario S.p.A. (2) • Issue of new ordinary shares with pre-emptive rights to current shareholders Capital increase • Timetable: +480 bps – EGM to approve transaction: December, the 19 th 2017 – Launch expected in 1Q2018 subject to market conditions and regulatory approval Disposal of non core • Disposal of non core assets / minority stakes with a positive impact on CET1 + 47 bps capital for c.60€m and c.40€m RWA release assets + 527 bps Notes: 1) Impact calculated on 30.9.2017 Expected; ratios estimated pre AIRB validation. 2) Pre-underwriting commitment of Mediobanca subject to conditions in line with market practice for similar transactions and other specific provisions – See the press release for details. 36
1 Capital reinforcement to cover derisking actions and improve efficiency levels Capital management actions (€m) Capital needs (€m) Data in € M Data in € M 80,7 803,2 61,0 803,5 742,5 61,0 700,0 -38,5 Source (€m) Usage (€m) Rights issue Estimated Asset disposal Expected net TOTAL Increase of provisions, Redundancy fund TOTAL transaction costs earnings 2018 derisking plan and (net of asset IFRS9 impact (1) disposal) .. Capital reinforcement measures aimed at decisive derisking Note: 1) Excluding the recurring cost of risk expected in 2018 37
Evolution of the CET1 Ratio (1) fully loaded before AIRB validation 1 + 240 bps 4,8 % 1,3 % 11,6 % 1,3 % 11,0 % -0,7 % 9,2 % -3,8 % -0,4 % CET1 ratio 30.9.2017 Capital increase Increase of Redundancy fund Asset disposals CET1 ratio Operating profit RWA impact CET1 ratio FULLY LOADED provisions, and other elements 31.12.2018E 2019 - 2020 net of 31.12.2020E derisking plan, FULLY LOADED expected dividends FULLY LOADED IFRS9 impact and other RWA effects Note: 1) Impact calculated on 30.9.2017 38
1 Creval AIRB framework 1 Corporate SME Retail Private individuals PD CREVAL deploys credit models since 2007. Internal models cover all relevant asset classes and have Internal Models Unique model for the different been or are being updated in order to include data as of LGD regulatory asset classes 31/12/2016 Unique model for the different EAD regulatory asset classes AIRB FRAMEWORK 2 RAF & Strategic Planning Pricing Risk Based In coherence with the progressive deployment of Credit Processes Performance Management System Bank's core internal parameters, all the relevant risk management, Reporting risk management Credit Policy credit approval and decision making processes have processes Generic and Specific provisions MBO been refined accordingly Credit Monitoring 3 Ad hoc AIRB architecture has been implemented in order to allow both the internal models development and the subsequent release into the Information System production environment for their effective use across Bank's internal processes 39
1 Potential AIRB impact on CET1 Ratio Creval potential impact after the Benchmark: Impact in terms of CET1 Ratio –AIRB Approach (1) implementation of the derisking plan New framework for the validation of AIRB models adopted by EBA +100-200 bps > 12% Trim exercise still under way 421 bps 11,0 % 284 bps 240 bps 237 bps 208 bps 160 bps Player 1 Player 2 Player 3 Player 4 Player 5 Average 1° step CET1 ratio AIRB CET1 ratio post 31.12.2018E AIRB validation FULLY LOADED Step 2 Step 1 .. Approval of the internal model expected in 2018 - subject to regulatory approval - Note: 1) Only validations after 2009 are considered; capital impact calculated as the difference between the ratio between the reporting date before and after AIRB approval announcement 40
Agenda 1. 3Q 2017 results 2. Background 3. The three business plan pillars 4. Capital management initiatives 5. Asset quality 6. Relaunch efficiency and profitability 7. Economic and financial projections 2018 - 2020 41
2 Improvement of the Creval’s risk profile Gross NPE ratio at 30-06-2017 (1) BAD Loans coverage ratio at 30-06-2017 (1) UTP coverage at 30-06-2017 (1) Player 1 22,6 % Player 1 46,3 % Player 1 15,6 % June - 2017 CreVal 21,6 % Player 2 58,7 % Player 2 22,3 % Player 2 21,1 % Player 3 58,8 % Player 3 26,4 % Player 3 15,6 % Player 4 59,9 % Player 4 28,0 % June - 2017 Player 4 14,1 % Player 5 60,6 % Creval 2017 29,8 % Player 5 12,9 % Player 6 60,7 % Player 5 31,5 % June - 2017 Player 6 11,7 % Creval 2017 61,0 % Player 6 33,2 % Player 7 11,0 % Player 7 64,5 % Player 7 34,3 % CreVal Dec. - 2018 10,6 % Player 8 66,5 % Player 8 43,6 % Target 2020E 9,6% Dec. - 2018 Dec. - 2018 Player 8 5,8 % Creval 2018 74,2 % Creval 2018 44,9 % Target 2020E Target 2020E 47,0% 77,7% Notes: 1) Data including write-offs Source: Data as of June, 30 th 2017 for other Italian banks. Player : Unicredit, Intesa Sanpaolo, Banco BPM, Bper, Cariparma, Banca Popolare di Sondrio, Credem, Ubi Banca 42
2 Asset quality and derisking Driver Background and rationale Main impacts Gross NPE 27,3% 21,1% 10,6% 9,6% Disposal of: 5,4 €bn - 1,6 €bn NPEs via a GACS securitization in the first half of 2018; 4,0 €bn Deleveraging of NPE 1,9 €bn 1,8 €bn - 0,5 €bn through other disposal operations in the second half of 2018. 2016 3Q 2017 2018 E 2020 E Gross NPE ratio NPE coverage Envisaged a series of initiatives to increase the coverage of the NPEs portfolio up to about 59% in order to reduce significantly Credito Valtellinese’s risk profile: 59,1% 50,3% 45,8% 41,5% Coverage - Additional ~ 280€m provisions on UTP (including project Aragorn) - Additional ~ 180€m provisions on bad loans (including project Aragorn and other disposal) - Additional provisions in relation to IFRS 9 (Stage1+ Stage2) 2016 3Q 2017 2018 E 2020 E Recovery rate - Concentration of the NPE Unit on a smaller portfolio UTP Bad loans - Increasing UTP and Bad Loans Recovery Rate with less loans to manage 11,9% 6,5% NPE management model 3,9% - Cash flow on “going concern” basis from restructured loans and under restructuring 5,6% 3,3% 4,7% 3,9% 1,7% - Incremental cash flow projections in relation to a positive Real Estate market development 2017 (1) 2020 E (2) 2017 (1) 2016 2018 E 2016 2018 E 2020 E - Bad Loans recovery rate increased for the effect of the partnership with Cerved Default rate - Adoption of a new credit policy model, in order to strongly oversee the credit quality Credit strategy and Early 4,6% - Further reinforcement of credit quality KPIs in the performance management model 2,4% 1,6% 1,3% Warning - Reinforcement of the Early Warning system to promptly manage any problematic situations - Adoption of AIRB model 2016 2017 (1) 2018 E 2020 E Notes: 1) Data June, 30 th 2017 annualized; 2) 2020 influenced by significant outflows to performing exposure related to restructuring of 'going concern' positions 43
2 Asset quality and derisking – track record and new transactions Total disposal 2017 - 2020 3,5€bn Year Disposal Description Disposed assets Status Small portfolio • Disposed 50€m GBV secured bad loans at ( 44% valorization ) 50 €M disposal 2017 • Disposed 1,4€bn bad loans through securitization in 2017 through GACS Project - Portfolio composition: 73,5% secured and 26,5% unsecured 1.400 €M Elrond - Price/gross book value: 34,5% Project • 1,6€bn bad loans portfolio to be disposed in 2018 through GACS Started 1.600 €M • Expected price in the range 30-35% Aragorn 2018 Project • 0,5€bn bad loans portfolio to be disposed in second half of 2018 2,2 €bn 500 €M To be activated • Expected price in the range 20-25% Gimli Capital buffer against deviations Single 2019 – vis-à-vis the expected prices: 2020 80 €M name • Single Name NPE disposal for 80€m (UTP and bad loans) in 2019 - 2020 To be activated FTA phasing in regime, recurring disposal profitability, AIRB validation effect (subject to regulatory approval) 44
2 NPE plan – main expected results Gross Net NPE Stock NPE evolution 3°Q 2017 – 2020 (data in € M) NPE ratio ratio 3 ° Q 2017 4.012 21,1% 12,7% NPE inflows 694 +3,6% +3,0% NPE recoveries 515 -2,7% -2,7% Collateral liquidation 44 -0,3% -0,3% Foreclosure 26 -0,2% -0,0% -55,2 % NPE disposal 2.180 -11,6% -4,5% Write-off 67 -0,4% -0,0% Debt forgiveness 76 -0,4% -0,1% and D/E Swap +0,5 (1) -0,1% (2) Dilution of NPE ratio 0 Coverage increase -3,8% (3) N.a. 0 and NPE mix End of 2020 9,6% 4,2% 1.798 Notes: 1) Increase of the gross NPE ratio due to growth of gross performing exposues (-1,2% the effect on NPE ratio) and decrease of gross NPE (+1,7% the effet on NPE ratio). 2) Decrease of the net NPE ratio due to growth of net performing exposues (-0,7% the effect on NPE ratio) and decrease of net NPE (+0,6% the effet on NPE ratio). 3) Decrease of net NPE ratio due to coverage increase and variation in the NPE mix. 45
2 NPE plan – evolution of coverage ratio Bad loans coverage ratio Past due coverage ratio GBV Bad GBV Past 0,2 €bn 0,2 €bn 0,1 €bn 0,1 €bn 2,8 €bn 1,6 €bn 0,5 €bn 0,8 €bn Loans Due (€bn) (€bn) +23,3 p.p. +7,3 p.p. 77,7% 74,2% 61,5% 54,4% 15,5% 12,7% 8,2% 8,0% 2016 3Q 2017 2018 E 2020 E 2016 3Q 2017 2018 E 2020 E UTP coverage ratio Texas ratio (1) GBV UTP 2,4 €bn 2,2 €bn 1,3 €bn 1,0 €bn (€bn) -74,3 p.p. +17,6 p.p. 136,7% 127,3% 109,1% 47,0% 44,9% 37,1% 74,7% 62,4% 29,4% 2016 3Q 2017 2018 E 2020 E 2016 3Q 2017 2018 E 2020 E 2016 market average Note: 1) Calculated as = Gross NPE / (tangible book value + analytics adjustment funds) 46
2 NPE portfolio breakdown NPE portfolio 2018 NPE portfolio 2020 34,7% 37,0% 63,0% 65,3% 80,6% 73,1% 59,1% 50,3% 46,6% 38,1% Coverage secured Coverage unsecured Total coverage Coverage secured Coverage unsecured Total coverage Unsecured Secured 47
2 IFRS9 and Phasing-in of the FTA reserves Stage 1 Stage 2 Stage 3 Performing + initial Under-performing Non-performing recognition (with exception) • P&L in the Creval’s Lifetime expected credit Business Plan prepared Depreciation 12 – month ECL losses in continuity with IAS 39 Credit risk is critically improved from initial recognition Lifetime IFRS9 expected principle, taking into + credit losses Objective Value considerations all the parameter loss Effective interest Effective interest estimated impacts Effective interest Interest rate on gross rate on net rate on gross evalutaion financial value financial value related to First Time financial value Adoption (FTA) of the new IFRS9 principle REDUCTION/SOLIDITY Credit risk change from recognition INCREASE • No material impacts expected on the estimated cost of risk during the Business Plan horizon – for stage • Credito Valtellinese is evaluating to activate – when all the framework will be finally determined PHASING-IN OF 1, stage 2 loans – due and stabilized - the Phasing-in (1) option for the FTA regulatory treatment, in order to increase FTA RESERVES to the conservative provisions and, at the same time, to achieve the maximum capital flexibility. approach to be adopted on FTA process Note: 1) Phasing-in option to be defined 48
Agenda 1. 3Q 2017 results 2. Background 3. The three business plan pillars 4. Capital management initiatives 5. Asset quality 6. Relaunch efficiency and profitability 7. Economic and financial projections 2018 - 2020 49
3 Cost management and commercial improvement • Merge by incorporation of Credito Siciliano into Credito Valtellinese Cost income ratio (%) • Personnel reduction through the activation of redundancy fund for c.170 -12,2 p.p. Efficiency and cost base FTE optimization • Review of branch network with target of c.350 branches by 2018 69,7% 67,1% 57,5% • Reinforcement of cost management structure • Cost cutting plan implementation 3Q 2017 (1) 2016 2020E CoR (bps) • Credit origination to SMEs and households with low expected loss Risk approach and cost of risk • Strict risk approach on new lending 268 bps 271 bps evolution • Activation of the new Early Warning model 64 bps • AIRB model implementation 2016 3Q 2017 2020E Net interest and commission income (€ M) • Bancassurance agreement with best in class player CAGR Asset management improvement (1,7 €bn of net inflows over the horizon) • 1,3% Further commercial • 'Value lending' (i.e. personal loans) development 740,0 702,1 improvement 507,8 • Reinforcement of the international and agricultural business • Development and implementation of performance management tools 2016 3Q 2017 2020E Note: 1) See page 10 for detail of adjustments 50
3 Personnel surplus management GROUP SAVINGS GROUP PERSONNEL SURPLUS # HR Data in €mln 40 400 60 13 28 25 275 -170 175 15 Expected launch of a -55 redundancy fund to encourage personnel exit in line with requirements (~ 170) Closing of Credito Siciliano Corporate center Process Total HR surplus Redundancy fund Personnel re- Surplus to Redundancy Further savings Total saving branches integration optimization optimization and arrangement on be managed fund saving managed with digital banking big branches agreements 51
3 Group simplification through reduction of personnel, branches and other costs Personnel evolution Branch network evolution # of employees # of Branch -153 • Lean banking model through further organizational Lean banking simplification and a specific cost optimization program 4.055 503 3.964 < 3.700 439 350 • Migration from traditional channel to digital ones also Digital migration through the development of an advanced online 2016 3Q 2017 2020E 2016 3Q 2017 2020E banking and innovative self-branches concept Other administrative expenses Personnel expenses • Development of Creval Sistemi e Servizi, also through Data in € M Data in € M partnership, in order to optimize the cost base, improve ICT management the time to market and to face the investment needed in -13,3% -22,9% the future (blockchain, cyber security…) 285 210 247 162 210 155 Industrial • IT Investments for around 44€M to support the transformation industrial transformation and evolution of the Group 2016 3Q 2017 2020E 2016 3Q 2017 2020E 52
3 Cost saving program (“LightBank60”) Operating cost savings Data in € M 63€M 502,6 29,3 28,0 439,8 36,0 1,2 30,5 198,1 162,0 275,2 247,3 Operating cost 3Q 2017 annualized Personnel expenses savings Other administrative expenses savings Depreciation Operating cost 2020E Value adjustments on tangible and intangible assets Other administrative expenses Personnel expenses saving 53
3 Cost of risk reduction through new credit policies, new early warning model and AIRB Results yet achieved Cost of risk evolution Data in bps Expected loss -13,5% New underwriting Data in % -204 bps standards / policy 0,74% 0,64% 271 bps 268 bps 2016 3Q 2017 New credit policies PD loans Corporate PD portfolio PD new loans Data in % 7,2% 5,4% 4,5% 64 bps 3,8% 3,3% 2,4% New early warning model 2015 2016 3Q.17 2016 3Q 2017 2020E PD loans Retail Data in % PD portfolio PD new loans 5,7% AIRB model Thanks to the actions envisaged in the 5,0% 4,3% implementation 3,8% Business Plan is expected a strong 3,1% 3,0% reduction of the cost of credit 2015 2016 3Q.17 54
3 Commercial improvement Loans disbursement by segment Loans disbursement by rating Data in € M Data in € M Value lending 7.469 • "Value lending" development (i.e. personal loans) 7.469 4% Other Individuals 30% 43% AAA-A • Factoring business already put in place; strengthening 21% Retail of the trade finance business through dedicated High value product resources and budget and development of a dedicated BBB-B 38% offering for the agriculture sector CCC-C 45% Corporate Unrated 15% 4% • Improvement of the bancassurance performance also Bancassurance Total 2018 - 2020 E Total 2018 - 2020 E through the partnership with major insurance players Costumer deposits evolution Indirect funding net inflows Data in € M Data in € M Big data • Big data management through CRM development CAGR 1.690 -1,2% 21.109 Life premium 51,1% 20.096 19.896 • Further improvement of the digital offer strategy Bancaperta (Bancaperta) AuM 48,9% Performance • Development of performance management tools designed for real time monitoring 2016 3Q 2017 2020E Total 2018 - 2020 E management 55
3 Net interest income and net commission evolution Net interest income Net commission Data in € M Data in € M CAGR CAGR 0,4% 2,6% 429 311 422 280 295 213 2016 3Q 2017 2020E 2016 3Q 2017 2020E Detail at slide 42 Details at slide 43 Gross banking asset (1) by branch Net interest and commission income by branch Data in € M Data in € M +50,7% +51,6% 2,1 151,1 111,5 1,4 99,7 1,2 2016 3Q 2017 2020E 2016 3Q 2017 2020E Legend: CAGR % xx 56 Note: 1) Calculated as: Direct deposit + Indirect funding + Customer loans
3 Net interest income evolution 3Q 2017 annualized – 2020E Euribor (1) +75 bps 0,42 -0,03 -0,33 -0,33 NII evolution (Net Interest Income) 10,8 2017 2018 2019 2020 24,3 6,3 7,9 1,5 NII Q3 2017 44,0 392,8 annualized 30,6 Volumes effect Yield effect Transfer to Euribor Securities portfolio Other effects Total effects on bad loans and treasury interest income Δ Interest income 7,9 TLTRO -17,7 substitution other institutional funding volumes effect -3,7 3,5 12,3 Δ Interest expense 28,1 21,4 15,6 2,5 28,1 22,6 428,8 NII 2020 E Volumes effect Yield effect Retail Wholesale Other institutional Other effects Total effect on subordinated bond bond issuance funding effect interest expense – not renewed Note: 1) Euribor annual average rate 57
3 Net commission evolution 3Q 2017 annualized – 2020E Data in €M +3,1% CAGR 311 296 3 18 284 3 17 43 41 60 60 72 62 115 112 Q3 2017E annualized 2018E 2020E Other services Commercial porfolio Payment systems Current account Credit AuM, Bancassurance and third parties products Legend: CAGR % xx 58
3 Creval Group investments between 2018 and 2020 Actions Capex Data in € M OPEN BANK DIGITAL BANKING 16,6 43,9 BIG DATA OPERATING EFFICIENCY 14,6 CREDIT PROCESSES MOBILE BANKING 12,6 DATACENTER CYBER SECURITY 2018 2019 2020 Total investment 2018 - 2020 ICT PROCESSES REGULATION IT Investment 59
Agenda 1. 3Q 2017 results 2. Background 3. The three business plan pillars 4. Capital management initiatives 5. Asset quality 6. Relaunch efficiency and profitability 7. Economic and financial projections 2018 - 2020 60
Economic and financial projections 3Q 2017 - 2020 CAGR 3Q 2017 3Q 2017 Adj 2018E 2020E Annualized – 2020E Net interest income 295 394 429 +3,0% Net commission income 213 296 311 +3,1% Net interest and commission income 508 690 740 +3,0% Other revenues (1) 33 33 24 n.a. Income Operating costs -380 -520 -440 -2,6% statement Value adjustments -153 -161 -113 -39,1% (€M) Other elements (2) -2 52 -2 n.a. Income before taxes 7 95 210 n.a. Taxes - -18 -60 n.a. Net income (3) - 73 150 n.a. Direct deposits 19.896 20.068 20.096 +0,3% Indirect deposits 11.918 12.799 14.050 +5,6% Balance sheet Customer loans 17.119 16.832 17.417 0,6% (€M) Book value 1.361 1.603 1.834 +10,5% Tangible book value 1.316 1.587 1.818 +11,4% Legend: Bankit Schemes Notes: (1) It considers: other management fees / incomes, share of profits and similar incomes, outcome of net assets evaluated shareholdings, finance profits; (2) It considers, net reserves to risks and costs fund and profit from investments and shareholdings transfer (3) P&L prepared taking into considerations all the estimated impairment increase on stage 3 financial assets related to First Time Adoption (FTA) of the new IFRS9 principle (reported in 61 equity)
Key business plan targets 3Q 2017 2018E 2020E CET1 pre AIRB 9,2% 11,0% 11,6% (fully loaded) Texas ratio 127,3% 74,7% 62,4% LCR 191% >100% >100% NPE ratio 21,1% 10,6% 9,6% NPE coverage 45,8% 50,3% 59,1% C/I ratio 67,1% 71,8% 57,5% RoTE Neg. 4,6% 8,2% 62
Creval Business Plan 2018 – 2020 November, 7 th 2017 63
Agenda 1. Executive Summary 2. Creval Business Plan 2018 – 2020 Consolidated Results as at September 30 th 2017 3. 64
Consolidated Results as at September 30 th 2017 65
Disclaimer • This document has been prepared by Credito Valtellinese for information purpose only and does not constitute a public offer under any applicable legislation or an offer to sell or solicitation of an offer to purchase or subscribe for securities or financial instruments or any advice or recommendation with respect of such securities or other financial instruments. • The information, opinions, estimates and forecasts contained herein have not been independently verified. They have been obtained from, are based upon, sources that company believes to be reliable but makes no representations (either express or implied) or warranty on their completeness, timeliness or accuracy. • The document may contain forward-looking statements, which are therefore inherently uncertain. All forward-looking statements rely on a number of assumptions, expectations, projections and provisional data concerning future events and are subject to significant risks and uncertainties, many of which are outside the company’s control. There are a variety of factors that may cause actual results and performance to be materially different from the explicit or implicit contents any forward-looking statements and thus, such forward-looking statements are not a reliable indicator of future performance. The company undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required by applicable law. The information and opinions contained in this Presentation are provided as at the date hereof and are subject to change without notice. • Pursuant the consolidated law on financial intermediation of 24 February 1998 (article 154-bis, paragraph 2), Simona Orietti, in her capacity as manager in charge of financial reporting declares that the accounting information contained in this Presentation reflects the group’s documented results, financial accounts and accounting records. 66
Agenda 1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes 67
Credit policies and asset quality - Loans to customers analysis Quarterly trend (€mn) Commercial Loans * (gross amounts) ~ 1.3 € bn “Portfolio Elrond” disposal 1 18,854 18,879 23,064 21,279 20,074 20,106 19,825 19,741 19,315 18,990 18,871 17,578 17,603 12.12 12.13 12.14 12.15 03.16 06.16 09.16 12.16 03.17 06.17 09.17 1 Net of collections and other movement (expenses, * Total gross loans to customers net of exposures with institutions, mainly CCG (Cassa Compensazione e Garanzia) time value, etc.) recorded from 30 November 2016 and CDP (Cassa Depositi e Prestiti) to 30 June 2017. Total gross loans by asset class** Performing loans by sector (ATECO classification) ** Households Construction Other Other sector 26.1% 3.7% 7.4% 10.7% Real estate ~ 70% of total loan 10.1% book to SMEs Retail Industrial Households 16.8% 20.4% SME Corporate 29.2% 37.7% SME corporate: revenue or total assets < 25 mn Services Commercial Corporate : revenue or total asset ≥ 25 mn Corporate 11.6% 10.6% Retail: Small Retail exposure ≥ 100k, Micro Retail < 100k exposure 15.7% **Source: internal data 68
Credit policies and asset quality - Focus on new loans ~ 1,662 mn of newly granted loans (Individuals and SMEs/Corporate) over the period Expected Loss performing portfolio -5 bps since June 2017 Amount Average Chg % % Fixed YoY Rate* INDIVIDUALS Individuals 478 mn -20.4 % 33.1 % 2.54 % Expected Loss new Of which substitutions («surroghe»): 36.7 mn performing exposures disbursed in the period Amount Chg % Individual: 31 bps YoY Corporate: 52 bps Retail: 60 bps Mortgage 203 mn -5.7 % SME & CORPORATE Total new originated loans Average Rate Other secured 344 mn -19.1 % Portfolio 3Q 2017: 48 bps 2.24 %* Unsecured 637 mn +15.5 % 1,184 mn** Total amount -0.7 % **Net of institutional loans *Average rate from the beginning of the year Source: internal data 69
Credit policies and asset quality - Non performing exposures (Gross amount) Mn € ~ 1.3 € bn “Portfolio Elrond” disposal -1,171 mn Bad loans Unlikely to pay -151 mn -6.3% -42.0% 2,787 2,786 2,684 2,643 2,384 2,339 2,290 2,233 1,562 1,616 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 “Portfolio Elrond” disposal Non-performing exposures Past due -25.5% -53 mn since -1,311 -7 -183 -57 Dec-16 -24.4% 5,570 5,387 5,330 243 4,019 4,012 216 205 167 163 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 70
Credit policies and asset quality – Asset quality (1/2) Mn € Net NPEs -1,148 mn since September 2016 (-34.5%) 3,324 3,154 3,114 222 198 188 2,369 2,176 153 1,885 1,684 1,647 151 1,607 1,404 1,272 1,279 1,217 609 621 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 Net Bad loans Net Unlikely to pay Net Past due 71
Credit policies and asset quality – Asset quality (2/2) Mn € Coverage Ratios 31/12/2016 30/09/2017 64.7% proforma including Bad loans 54.4% 61.5% write off (3.2%) Unlikely to pay 29.4% 37.1% Past due 8.2% 8.0% Non-performing exposures Coverage Coverage Bonis + 5.5% YtD 0.61% 0.58% 0.48% 47.7% 45.8% 41.5% 40.3% September 2016 December 2016 September 2017 September 2016 December 2016 September 2017 September 2017 Annual trend in line with the portfolio including write off improvement effect and new credit policy 72
Cost of credit – Trend 3.48% Loss recorded for Elrond disposals (~188 ml) 2.23% 3.41% 2.68% 2.71% Increase of 2.31% provisions in Q3 1.61% driven by the first 1.32% 1.25% 1.09% effects of the 0.76% 0.75% 0.61% 0.55% 0.52% adoption of a new credit value 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 1Q 2017 2Q 2017 3Q 2017 adjustment policy 73
NPEs by sector – ATECO classification as at September 30, 2017 Breakdown Npe by sector (ATECO classification)** Other sector 6.3% Construction Households 25.3% 11.5% ~ 47% of gross NPE Services 8.3% real estate related Commercial Real estate 10.5% 21.5% Industrial 16.6% Breakdown bad loans by sector (ATECO classification) ** Breakdown UTP by sector (ATECO classification)** Other sector Other sector 4.4% 8.0% Construction Households Construction 25.2% 11.3% Households 26.0% 10.2% Services 7.4% Services 8.9% Real estate Commercial 13.3% Commercial 6.7% 15.9% Real estate Industrial 27.6% Industrial 12.6% 22.5% **Source: internal data 74
Breakdown on Npe as at September 30, 2017 Gross Npe – Guarantees Gross Npe - Segment Other 3.1% Individuals Unsecured 11.4% 32.2% Retail 20.3% Secured 67.8% Corporate 65.2% Personal guarantees not included Source: internal data 75
Breakdown of bad loans as at September 30, 2017 Gross BAD LOANS – Guarantees Gross BAD LOANS – Segment Other 1.8% Individuals 11.3% Unsecured Secured 47.6% 52.4% Corporate 55.2% Retail 31.7% Personal guarantees not included Source: internal data 76
Breakdown of UTP as at September 30, 2017 Gross UTP – Guarantees Gross UTP - Segment Other 4.2% Unsecured Individuals 22.4% 10.2% Retail 12.1% Corporate Secured 73.5% 77.6% Personal guarantees not included Source: internal data 77
Credit policies and asset quality – NPE’s analysis including collateral NPE Coverage Ratio (%) 12.9% Commercial 19.8% and Other 21.6% 102.0% Residential 1.9% 47.7% 45.8% NPE coverage ratio 30/09 Write-off NPE coverage ratio 30/09 Real Guarantees Other Guarantees* NPE coverage ratio proforma post write-off (1st line) (> 1st line) 30/09 post guarantees Source: internal data * Real estate 2 nd line + judicial + financial + APS + Confidi Real estate value equal to the last market value (according to the specific appraisal, delivered by third party appraiser), capped at the maximum amount represented by the value of the loans. Only «cash guarantees» considered , like financial guarantees, APS. No consideration at all for personal guarantees. 78
Credit policies and asset quality – NPL’s analysis - including collateral Bad Loans – Total Coverage Ratio (%) 1.6% 0.6% 0.8% 5.3% 16.4% Commercial and Other 16.3% 3.2% Residential 105.7% 61.5% Cash Coverage Cash Coverage Real estate Real estate Financial Asset protection Confidi Total Covarage Ratio related to bad loans mortgage -market mortgage (judicial) - Guarantees scheme Ratio write off value (1st-2nd line) market value Source: internal data Real estate value equal to the last market value (according to the specific appraisal, delivered by third party appraiser), capped at the maximum amount represented by the value of the loans. Only «cash guarantees» considered , like financial guarantees, APS. No consideration at all for personal guarantees. 79
Agenda 1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes 80
Funding, liquidity and securities portfolio - Direct deposits Quarterly trend (€mn) Retail funding * 19,654 19,028 19,041 18,532 18,239 18,376 17,867 17,794 17,622 17,330 16,988 12.12 12.13 12.14 12.15 03.16 06.16 09.16 12.16 03.17 06.17 09.17 * Total funding net of CCG, CDP and institutionals Composition of Direct Funding (mn €) 31/12/2016 30/09/2017 Chg. % Saving Deposits 503 443 -12.0% -5.7% Securities issued Time deposits 1,528 877 -42.6% Current accounts 13,118 13,474 2.7% Deposits due to customers Securitizations 304 227 -25.2% Wholesale bonds (senior + subordinated) 133 278 108.3% 85% 86% -4.6% Senior retail bonds 2,090 1,771 -15.3% Subordinated retail bonds 375 221 -41.1% Deposit certificates 110 131 19.4% Deposits CCG & CDP 2,754 2,287 -17.0% -12.2% 15% 14% Other 194 187 -3.6% DIRECT FUNDING 21,109 19,896 -5.7% 31/12/2016 30/09/2017 81
Funding, liquidity and securities portfolio - Bonds by maturities and ECB funding Wholesale bonds (€ mn) Retail: bonds senior + subordinated (€ mn) Issue 150 mn Tier 2 - 473 mn on April 5, 2017 150 642 169 Issues 2017 Maturities 2017 Issues 2017 ECB funding Creval September 2017 (€ mn) 2017 – 2019 Maturities Retail + Wholesale (€ mn) TLTRO 940 620 2,500 186 2017 2018 2019 September 2017 Source: internal data 82
Funding, liquidity and securities portfolio – Liquidity position Gross commercial loans / Retail funding LCR as at 30 th September 2017 111,3 108,7 108,5 108,1 107,4 107,1 106,7 191% 103,6 101,4 NSFR as at 30 th June 2017 30/09/2015 31/12/2015 31/03/2016 30/06/2016 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 112% Short-term liquidity position – September, 27 th 2017 (€ mn) 1d 2d 3d 4d 5d 2w 3w 1m 2m 3m Net balance of cumulative - 208 - 154 - 633 - 617 - 555 - 555 - 579 - 849 - 1,068 - 1,278 expiring positions Counterbalancing Capacity 3,351 3,291 3,746 3,857 3,757 3,737 3,805 3,901 4,060 4,210 Net balance of overall liquidity 3,142 3,136 3,113 3,240 3,203 3,182 3,226 3,052 2,992 2,932 Net liquidity balance ~ 12.6% of the Total Asset of the Group 83
Funding, liquidity and securities portfolio - Securities portfolio diversification Breakdown by accounting portfolio Breakdown of HTM portfolio HFT 0.5% 31/12/2016 30/06/2017 30/09/2017 HTM 16.4% HFT Portfolio 19 20 27 Other Sovereign AFS Portfolio 5,436 4,496 4,475 24.2% BTP HTM Portfolio - 810 885 75.8% Current Average Duration of Govie’s AFS portfolio* 3.21 AFS 83.1% Breakdown of AFS portfolio 31/12/2016 30/06/2017 30/09/2017 Debt instruments 5,199 4,293 4,217 Equity instruments 127 118 117 Debt instruments CCT 94.2% 5.4% OEIC Units 110 85 141 Other equities • AFS reserve as at 30 September -18.5 mn € 6.1% Equity • AFS reserve on Govies, as at 30 September ~ - 22.2 mn € instruments BTP • AFS reserve as at 03 November ~ 15.3 mn € 2.6% 77.8% OEIC units • AFS reserve as at 30 June -37.7 mn € Other bonds 3.2% 10.7% • AFS reserve on Govies, as at 30 June ~ - 38.4 mn € * As at 30 th September 2017: Italian, Spanish and Portuguese government bonds. 84
Funding, liquidity and securities portfolio - Indirect deposits analysis Quarterly trend (€mn) Indirect Funding +1.5% -0.02% +1.0% +1.7% Placement of “PIR”: 11,716 11,918 11,429 11,603 11,600 91.2 mn 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 Indirect deposits breakdown AUM Development of the strategic +2.7% partnership with ANIMA SGR Under custody 37% 36% (mn €) 31/12/2016 30/09/2017 Chg. % +0.2% Funds & Sicav 2,550 2,982 17.0% Custody 4,312 4,321 0.2% 63% 64% Individual accounts 2,149 1,907 -11.2% +4.2% Insurance 2,592 2,708 4.5% Total 11,603 11,918 2.7% 31/12/2016 30/09/2017 85
Agenda 1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes 86
Capital ratio- Capital ratios evolution Capital ratios evolution, phased-in calculation 13.7% 13.0% 12.4% 12.4% 12.7% 12.5% 11.8% 11.8% 11.6% 11.6% 11.3% 10.5% 10.5% 9.4% 9.4% 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 Common Equity Tier 1 ratio Tier 1 ratio Total capital ratio Leverage ratio as at Capital ratio 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 Obtainment of the GACS 30/06/2017 guarantee and incremental COMMON EQUITY (€ mn) 1,839 1,713 1,702 1,511 1,295 5.5% (fully loaded) TIER 1 (€ mn) 1,839 1,713 1,702 1,511 1,295 provisions on NPEs TIER 2 (€ mn) 195 180 156 284 262 TOTAL CAPITAL (€ mn) 2,033 1,893 1,858 1,795 1,557 RWA (€ mn) 14,819 14,539 14,664 14,361 13,739 TIER 1 RATIO 12.4% 11.8% 11.6% 10.5% 9.4% Requirements 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 Credit 90.3% 90.3% 90.2% 90.1% 88.8% Indicator 30/09/2016 31/12/2016 31/03/2017 30/06/2017 30/09/2017 CVA 0.2% 0.2% 0.2% 0.2% 0.2% Market 0.04% 0.02% 0.1% 0.1% 0.9% Gross Loan Risk weighted 66.4% 64.1% 65.3% 65.5% 62.0% Operational 9.5% 9.5% 9.5% 9.7% 10.1% RWA/Assets 56.8% 57.1% 56.4% 56.6% 55.0% 87
Agenda 1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes 88
Revenues development – Operating income development 3.9 213.2 -229,7 14.3 294.6 296.3 NII Net fees and Div. & profits on inv. in Trading income Other net income Operating income commissions ass. comp. Chg % 3Q 2017 – -6.7% -21.3% n.s. +11.7% +4.0% -47.0% 3Q 2016 89
Revenues development – Focus on interest income (1/2) Interest Income, Quarterly figures (€/1,000) -5.7% +0.9% -0.7% -3.2% 104,826 105,769 99,725 99,047 95,838 3Q-16 4Q-16 1Q-17 2Q-17 3Q-17 Trend euribor quarterly (2014-2017) 0,08% 0,08% 0,02% -0,01% -0,04% -0,13% -0,24% -0,29% -0,30% -0,32% -0,33% -0,33% -0,33% Sept 14 Dec 14 Mar 15 Jun 15 Sept 15 Dec 15 Mar 16 Jun 16 Sept 16 Dec 16 Mar 17 Jun 17 Sep 17 NIM* (2014-2017) 2,56% 2,52% 2,52% 2,46% 2,48% 2,44% 2,42% 2,36% 2,36% 2,31% 2,27% 2,27% 2,29% Sept 14 Dec 14 Mar 15 Jun 15 Sept 15 Dec 15 Mar 16 Jun 16 Sept 16 Dec 16 Mar 17 Jun 17 Sep 17 * NIM = Interest income / Loans to customers 90
Revenues development – Focus on interest income (2/2) Carry trade, finance, interbank and other Commercial interest margin 107,734 106,307 104,767 101,310 99,473 99,272 98,349 93,197 3.3% of NII related to carry trade, 94,662 92,679 finance and interbank 12,749 3,159 8,054 7,846 4,385 6,181 5,260 5,554 6,296 6,528 2Q15 3Q15 4Q15 1Q16 2Q16 3Q16 4Q16 1Q17 2Q17 3Q17 The amounts include the effect of the issuance (April 2017) of sub debt for 150 ml *Interest financial assets – Interest due to central counterparties – Interest term deposits with central bank – Hedging results – Interest loans to banks – Interest income securities – Interest banks – Other interest 91
Revenues development – Focus on net fees Net fees quarterly trend (€/1,000) +10.1% -10.4% +10.3% -5.0% 75,545 74,646 68,620 70,881 67,670 3Q16 4Q16 1Q17 2Q17 3Q17 Net fees breakdown - YoY Loans and other +4.0% 22.2% Asset management, trading Asset management, trading and ~ 10.5% of up front +17.8% and advisory services 78,268 66,431 advisory services 36.7% fees on total fees at Payment and collection services September 2017* 44,171 -4.0% 42,398 Current account Loans and other 43,192 Current account 45,300 +4.9% 21.2% 51,106 47,231 -7.6% Payment and collection services 19.9% 3Q-16 3Q-17 * Up front fees: placement of insurance and AUM, fees received from commercial partners (Alba Leasing, Compass, IBL) and Factoring fees 92
Agenda 1. Credit policies and asset quality 2. Funding, liquidity and securities portfolio 3. Capital ratio 4. Revenues development 5. Cost management and Net profit development 6. Annexes 93
Cost management and Net profit development - Operating result and cost income Operating result development (€ mn) Including 14.6 mn of provisions for SRF and DGS and 1.6 mn for DTA 202.4 296.3 155,4 Action plan Creval 2017-2018: -82.7 87 branches closed 21,2 (of which 23 in 2016 and 64 in 2017) Operating Income Personnel expenses Other admin. expenses Amortization Net operating margin Chg % 3Q 2017 – -13.2% n.s. -47.0% -7.5% +10.5% 3Q 2016 Operating expenses* (€ /1,000) Cost income ratio* Cost to asset ratio* -2.5% 1.9% 1.9% 67.1% 62.0% 372,620 363,354 3Q-16 3Q-17 Operating expenses annualized / Total Asset 3Q-16 3Q-17 3Q-16 3Q-17 * Pro-forma indicators (excluding extraordinary items in both periods). 94
Cost management and Net profit development – branches and personnel Number of employees -550 employees 4,514 4,482 4,362 since 2010 (-12%) 4,312 4,275 4,123 4,055 3,964 3,938 2010 2011 2012 2013 2014 2015 2016 giu-17 set-17 Number of branches -104 branches since 543 543 544 543 539 2013 (-19%) 526 503 438 439 2010 2011 2012 2013 2014 2015 2016 giu-17 set-17 95
Executive summary - Strengthening “Customer base” as at 30.09.2017 967 k customers Cross selling ~ 4.2 Retention rate** ~ 94.3% Active Internet Banking Users Bancaperta access 3Q 2017 + 2.9 % + 26.0 % ~ 183,949 downloaded apps* 281,482 +8% YtD … … 32.457.552 25.769.545 12.14 12.15 12.16 09.17 3Q 2016 3Q 2017 **Source: customer satisfaction survey – households – as at 30.09.2017 *As at 30/09/2017; source: internal data 96
App Bancaperta: download +8% YtD Active app as at September 30, 2017: more than 183.000 (at least one access in the last 180 days) From app the 44% average daily access WP 5,733 iOS 75,643 ANDROID 102,573 0 20.000 40.000 60.000 80.000 100.000 120.000 140.000 Reviews Rank Reviews Rank Reviews Rank Average rank 4.5 Credito Valtellinese 2,432 4.5 164 4.2 143 4.4 Fineco 30,260 4.5 8,284 4.2 588 4.1 4.4 4.3 Unicredit 69,913 4.3 9,475 4.1 1,950 3.9 Credem 1,961 4.3 454 3.0 117 4.3 4.1 Bancaperta considered by users 4.2 Banca Pop. Sondrio 1,827 4.2 438 4.0 n.d. n.d. the best banking app 6,781 3.8 1,091 3.5 n.d. n.d. 3.8 Banca Pop. Milano 3.8 BPER 2,737 3.9 388 3.0 n.d. n.d. 3.5 UBI Banca 5,905 3.7 989 2.5 n.d. n.d. 3.8 Mediolanum 6,525 4.1 1,112 2.5 234 2.3 3.5 Intesa Sanpaolo 28,667 3.6 2,906 2.5 940 2.9 4.0 CheBanca! 11,777 4.1 1,919 3.5 423 2.5 Source: internal data 97
Cost management and Net profit development - Online data trend % money transfer online % F24 online + 3.3% + 2.8% 79,0% 81,7% 76,8% 79,1% Q3 2016 Q3 2017 Q3 2016 Q3 2017 Fees and commissions on trading online % trading online + 5.0% + 5.7% 78,4% 56,2% 74,7% 53,2% Q3 2016 Q3 2017 Q3 2016 Q3 2017 Source: internal data 98
Cost management and Net profit development – Net profit development Of which Atlante and other stake 39.3 mn € / 1.000 3Q 2017 3Q 2016 Chg % Increase of provisions in Q3 driven by the first effects of the adoption of Net operating margin - 82,719 174,999 n.s. a new credit value Value adjustments - 386,060 - 388,691 -0.7% adjustments policy Net accruals to provisions for risks and charges - 681 - 828 -17.8% Net gains on sales of investments 68,877 26,261 n.s. Of which Income before taxes - 400,583 - 188,259 n.s. real estate deal Tax for the period 126 55,169 n.s. 69.7 mn Minorities - 2,159 - 2,956 -27.0% Net result - 402,616 - 136,046 n.s. 99
Extraordinary Items Extraordinary Items September 2017 Loss for NLP disposal (Elrond) -242.7 Loss for UTP disposal -13.4 Sale of Anima stake 9.3 Operating income (Elrond) 5.0 Operating costs (Elrond) -3.0 Personnel extraordinary contribution 7.5 Other administrative expenses (Elrond) -7.0 Write off of Atlante Fund and other -39.3 Effects of the adoption of a new credit value adjustment policy -193.7 and minor Elrond effects Profit from sale of investment 69.7 Extraordinary Items -407.6 Pre-Tax Result -400.6 Restated Pre-Tax Result 7.0 100
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